Gotham Absolute Correlations

GARIX Fund

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The current 90-days correlation between Gotham Absolute Return and Ab High Income is 0.3 (i.e., Weak diversification). The correlation of Gotham Absolute 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.

Gotham Absolute Correlation With Market

Significant diversification

The correlation between Gotham Absolute Return and DJI is 0.06 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Gotham Absolute Return and DJI in the same portfolio, assuming nothing else is changed.

Check out Risk vs Return Analysis to better understand how to build diversified portfolios, which includes a position in Gotham Absolute Return. 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 gross domestic product.

Moving together with Gotham Mutual Fund

0.98	GCHDX	Gotham Hedged E	Pair Corr
0.82	GDLFX	Gotham Defensive Long	Pair Corr
0.97	GVALX	Gotham Large Value	Pair Corr
0.9	GEFPX	Gotham Enhanced 500	Pair Corr
1.0	GENIX	Gotham Enhanced Return	Pair Corr
0.63	GINDX	Gotham Index Plus	Pair Corr
0.72	GONIX	Gotham Neutral	Pair Corr
0.93	GSPFX	Gotham Enhanced Sp	Pair Corr
0.95	GTRFX	Gotham Total Return	Pair Corr
0.71	DHLSX	Diamond Hill Long	Pair Corr
0.7	JNJ	Johnson Johnson Fiscal Year End 28th of January 2025	Pair Corr
0.62	HD	Home Depot	Pair Corr
0.69	INTC	Intel Fiscal Year End 23rd of January 2025	Pair Corr
0.66	AA	Alcoa Corp Earnings Call This Week	Pair Corr
0.84	CAT	Caterpillar Fiscal Year End 3rd of February 2025	Pair Corr
0.72	VZ	Verizon Communications Fiscal Year End 28th of January 2025	Pair Corr
0.9	DD	Dupont De Nemours Fiscal Year End 4th of February 2025	Pair Corr

Moving against Gotham Mutual Fund

0.53	JSOSX	Jpmorgan Strategic Income	Pair Corr
0.46	QLERX	Aqr Long Short	Pair Corr
0.39	TCHTX	Cleartrack 2020 Class	Pair Corr
0.37	VIGAX	Vanguard Growth Index	Pair Corr
0.34	NLSIX	Neuberger Berman Long	Pair Corr
0.42	WMT	Walmart Aggressive Push	Pair Corr
0.39	CSCO	Cisco Systems	Pair Corr
0.39	AXP	American Express Fiscal Year End 24th of January 2025	Pair Corr

Related Correlations Analysis

	AGDZX	DNHYX	VRHYX	AGDIX	PHDTX	HIICX	XHIEX	RYIHX
AGDZX		0.89	0.96	1.0	0.95	0.73	0.66	-0.35	AGDZX
DNHYX	0.89		0.89	0.89	0.85	0.87	0.59	-0.54	DNHYX
VRHYX	0.96	0.89		0.96	0.89	0.8	0.66	-0.31	VRHYX
AGDIX	1.0	0.89	0.96		0.94	0.73	0.65	-0.36	AGDIX
PHDTX	0.95	0.85	0.89	0.94		0.71	0.7	-0.33	PHDTX
HIICX	0.73	0.87	0.8	0.73	0.71		0.63	-0.47	HIICX
XHIEX	0.66	0.59	0.66	0.65	0.7	0.63		-0.15	XHIEX
RYIHX	-0.35	-0.54	-0.31	-0.36	-0.33	-0.47	-0.15		RYIHX
	AGDZX	DNHYX	VRHYX	AGDIX	PHDTX	HIICX	XHIEX	RYIHX

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

AGDIX	+ 1.0	AGDZX
VRHYX	+ 0.96	AGDZX
AGDIX	+ 0.96	VRHYX
PHDTX	+ 0.95	AGDZX
PHDTX	+ 0.94	AGDIX
DNHYX	+ 0.89	AGDZX

High negative correlations

RYIHX	- 0.54	DNHYX
RYIHX	- 0.47	HIICX
RYIHX	- 0.36	AGDIX
RYIHX	- 0.35	AGDZX
RYIHX	- 0.33	PHDTX
RYIHX	- 0.31	VRHYX

Risk-Adjusted Indicators

There is a big difference between Gotham Mutual Fund performing well and Gotham Absolute 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 Gotham Absolute'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
AGDZX	0.11	0.00	(0.07)	0.03	0.06	(0.21)	0.29	(0.28)	1.14
DNHYX	0.14	(0.01)	(0.09)	(0.12)	0.21	(0.16)	0.23	(0.23)	1.15
VRHYX	0.12	0.00	(0.05)	0.08	0.08	(0.35)	0.26	(0.26)	1.30
AGDIX	0.12	0.00	(0.07)	0.03	0.07	(0.21)	0.29	(0.29)	1.14
PHDTX	0.10	0.00	(0.06)	0.06	0.08	(0.13)	0.22	(0.23)	0.79
HIICX	0.19	0.00	(0.04)	(0.01)	0.22	(0.31)	0.27	(0.27)	1.34
XHIEX	0.17	0.00	(0.02)	0.03	0.17	(0.39)	0.32	(0.40)	2.41
RYIHX	0.22	0.03	0.02	(0.12)	0.14	(0.31)	0.46	(0.38)	1.73

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