Frost Kempner Correlations

FIKTX Fund

USD 8.45 0.01 0.12%

The current 90-days correlation between Frost Kempner Treasury and City National Rochdale is 0.33 (i.e., Weak diversification). The correlation of Frost Kempner is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak. If the correlation is 0, the equities are not correlated; they are entirely random.

Frost Kempner Correlation With Market

Good diversification

The correlation between Frost Kempner Treasury and DJI is -0.09 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Frost Kempner Treasury and DJI in the same portfolio, assuming nothing else is changed.

Check out Investing Opportunities to better understand how to build diversified portfolios, which includes a position in Frost Kempner Treasury. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as signals in estimate.

Moving together with Frost Mutual Fund

0.77	FPTKX	Fidelity Freedom 2015	Pair Corr
0.8	FPXTX	Fidelity Pennsylvania	Pair Corr
0.7	FQIFX	Fidelity Freedom Index	Pair Corr
0.81	FRAMX	Fidelity Income Repl	Pair Corr
0.81	FRASX	Fidelity Income Repl	Pair Corr
0.64	FRIFX	Fidelity Real Estate	Pair Corr
0.82	FRIMX	Fidelity Income Repl	Pair Corr
0.63	FRINX	Fidelity Real Estate	Pair Corr
0.63	FRIQX	Fidelity Real Estate	Pair Corr
0.82	FRHMX	Fidelity Managed Ret	Pair Corr
0.82	FRKMX	Fidelity Managed Ret	Pair Corr
0.63	FRIRX	Fidelity Real Estate	Pair Corr
0.81	FROGX	Fidelity Municipal Income	Pair Corr
0.82	FRQHX	Fidelity Managed Ret	Pair Corr
0.82	FRQIX	Fidelity Income Repl	Pair Corr
0.82	FRQKX	Fidelity Managed Ret	Pair Corr
0.81	FRQAX	Fidelity Income Repl	Pair Corr
0.78	FACFX	Fidelity Advisor Freedom	Pair Corr

Moving against Frost Mutual Fund

0.59	FRPDX	Fidelity Sai Alternative	Pair Corr
0.31	FABLX	Fidelity Advisor Balanced	Pair Corr

Related Correlations Analysis

	RIMOX	AHYMX	BUFHX	BHYRX	NHIEX	MRHYX
RIMOX		0.53	0.8	0.59	0.68	0.62	RIMOX
AHYMX	0.53		0.6	0.8	0.79	0.64	AHYMX
BUFHX	0.8	0.6		0.79	0.83	0.9	BUFHX
BHYRX	0.59	0.8	0.79		0.98	0.85	BHYRX
NHIEX	0.68	0.79	0.83	0.98		0.87	NHIEX
MRHYX	0.62	0.64	0.9	0.85	0.87		MRHYX
	RIMOX	AHYMX	BUFHX	BHYRX	NHIEX	MRHYX

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Risk-Adjusted Indicators

There is a big difference between Frost Mutual Fund performing well and Frost Kempner Mutual Fund doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze Frost Kempner's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
RIMOX	0.05	0.01	(0.61)	1.06	0.00	(0.07)	0.15	(0.10)	0.56
AHYMX	0.10	0.00	(0.32)	0.03	0.12	(0.17)	0.22	(0.22)	0.98
BUFHX	0.09	0.01	(0.38)	0.26	0.00	(0.13)	0.19	(0.09)	0.83
BHYRX	0.11	0.00	(0.47)	0.11	0.00	(0.20)	0.28	(0.14)	0.84
NHIEX	0.12	0.00	(0.47)	0.17	0.00	(0.19)	0.26	(0.26)	0.92
MRHYX	0.11	0.00	(0.39)	0.14	0.00	(0.14)	0.24	(0.12)	0.82

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