Gotham Defensive Correlations

GDLFX Fund

USD 18.86 0.11 0.59%

The current 90-days correlation between Gotham Defensive Long and Locorr Market Trend is 0.23 (i.e., Modest diversification). The correlation of Gotham Defensive 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 Defensive Correlation With Market

Average diversification

The correlation between Gotham Defensive Long and DJI is 0.13 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Gotham Defensive Long 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 Defensive Long. 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 census.

Moving together with GOTHAM Mutual Fund

0.77	GCHDX	Gotham Hedged E	Pair Corr
0.83	GVALX	Gotham Large Value	Pair Corr
0.84	GEFPX	Gotham Enhanced 500	Pair Corr
0.75	GENIX	Gotham Enhanced Return	Pair Corr
0.78	GINDX	Gotham Index Plus	Pair Corr
0.86	GNNDX	Gotham Index Plus	Pair Corr
0.72	GARIX	Gotham Absolute Return	Pair Corr
0.82	GSPFX	Gotham Enhanced Sp	Pair Corr
0.78	GTRFX	Gotham Total Return	Pair Corr
0.71	DHLSX	Diamond Hill Long	Pair Corr
0.74	DIAYX	Diamond Hill Long	Pair Corr
0.7	DIAMX	Diamond Hill Long	Pair Corr
0.72	PWLIX	Pimco Rae Worldwide	Pair Corr
0.71	PWLMX	Pimco Rae Worldwide	Pair Corr
0.82	ASLAX	Ab Select Longshort	Pair Corr
0.61	LSHUX	Horizon Spin Off	Pair Corr
0.66	TSIPX	Tiaa Cref Lifestyle	Pair Corr
0.68	LABYX	Lord Abbett Balanced	Pair Corr

Moving against GOTHAM Mutual Fund

0.57	VRSBX	Virtus Seix Corporate	Pair Corr
0.44	QMHRX	Aqr Managed Futures	Pair Corr
0.38	PCLPX	Pimco Commoditiesplus	Pair Corr

Related Correlations Analysis

	LOTCX	CDHIX	QNZIX	RYWWX	HMXAX	SPMIX	EMDQX
LOTCX		-0.36	0.91	0.55	0.52	-0.61	-0.62	LOTCX
CDHIX	-0.36		-0.36	-0.85	0.27	0.42	0.87	CDHIX
QNZIX	0.91	-0.36		0.57	0.58	-0.63	-0.6	QNZIX
RYWWX	0.55	-0.85	0.57		0.06	-0.4	-0.84	RYWWX
HMXAX	0.52	0.27	0.58	0.06		0.02	0.05	HMXAX
SPMIX	-0.61	0.42	-0.63	-0.4	0.02		0.59	SPMIX
EMDQX	-0.62	0.87	-0.6	-0.84	0.05	0.59		EMDQX
	LOTCX	CDHIX	QNZIX	RYWWX	HMXAX	SPMIX	EMDQX

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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

QNZIX	+ 0.91	LOTCX
EMDQX	+ 0.87	CDHIX
EMDQX	+ 0.59	SPMIX
HMXAX	+ 0.58	QNZIX
RYWWX	+ 0.57	QNZIX
RYWWX	+ 0.55	LOTCX

High negative correlations

RYWWX	- 0.85	CDHIX
EMDQX	- 0.84	RYWWX
SPMIX	- 0.63	QNZIX
EMDQX	- 0.62	LOTCX
SPMIX	- 0.61	LOTCX
EMDQX	- 0.6	QNZIX

Risk-Adjusted Indicators

There is a big difference between GOTHAM Mutual Fund performing well and Gotham Defensive 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 Defensive'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
LOTCX	0.52	0.01	(0.05)	(0.10)	0.68	(0.57)	0.78	(1.17)	3.77
CDHIX	0.58	(0.04)	0.00	(0.09)	0.00	0.00	1.20	(1.11)	3.77
QNZIX	0.56	0.08	0.05	0.86	0.65	(0.57)	1.05	(1.01)	3.78
RYWWX	1.55	0.14	0.03	(0.13)	1.96	(1.72)	4.24	(3.69)	10.16
HMXAX	0.46	0.02	(0.01)	0.11	0.66	(0.44)	0.90	(0.89)	4.29
SPMIX	0.85	(0.12)	0.00	(0.17)	0.00	0.00	1.63	(1.29)	12.47
EMDQX	0.37	(0.04)	0.00	(0.20)	0.00	0.00	0.89	(0.66)	1.77

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