Gotham Enhanced Correlations

GENIX Fund

USD 13.01 0.02 0.15%

The current 90-days correlation between Gotham Enhanced Return and Ab Bond Inflation is 0.44 (i.e., Very weak diversification). The correlation of Gotham Enhanced 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 Enhanced Correlation With Market

Average diversification

The correlation between Gotham Enhanced Return and DJI is 0.14 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Gotham Enhanced 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 Enhanced 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

1.0	GCHDX	Gotham Hedged E	Pair Corr
0.75	GDLFX	Gotham Defensive Long	Pair Corr
0.89	GVALX	Gotham Large Value	Pair Corr
0.87	GEFPX	Gotham Enhanced 500	Pair Corr
0.65	GINDX	Gotham Index Plus	Pair Corr
0.74	GNNDX	Gotham Index Plus	Pair Corr
0.7	GONIX	Gotham Neutral	Pair Corr
1.0	GARIX	Gotham Absolute Return	Pair Corr
0.98	GSPFX	Gotham Enhanced Sp	Pair Corr
0.97	GTRFX	Gotham Total Return	Pair Corr
0.61	VIMAX	Vanguard Mid Cap	Pair Corr
0.61	VIMSX	Vanguard Mid Cap	Pair Corr
0.61	VMCPX	Vanguard Mid Cap	Pair Corr
0.61	VMCIX	Vanguard Mid Cap	Pair Corr
0.63	AORHX	One Choice Portfolio	Pair Corr

Moving against Gotham Mutual Fund

0.32

LETRX

Voya Russia Fund

Pair Corr

Related Correlations Analysis

	ABNYX	TIIHX	ABNTX	CSQAX	ABYIX	MFTFX	ABNOX	TIILX
ABNYX		0.99	0.99	0.03	-0.32	-0.02	0.99	0.99	ABNYX
TIIHX	0.99		0.99	0.05	-0.3	-0.01	0.98	1.0	TIIHX
ABNTX	0.99	0.99		0.03	-0.3	-0.01	0.99	0.99	ABNTX
CSQAX	0.03	0.05	0.03		0.64	0.74	0.05	0.04	CSQAX
ABYIX	-0.32	-0.3	-0.3	0.64		0.81	-0.34	-0.31	ABYIX
MFTFX	-0.02	-0.01	-0.01	0.74	0.81		-0.04	-0.02	MFTFX
ABNOX	0.99	0.98	0.99	0.05	-0.34	-0.04		0.98	ABNOX
TIILX	0.99	1.0	0.99	0.04	-0.31	-0.02	0.98		TIILX
	ABNYX	TIIHX	ABNTX	CSQAX	ABYIX	MFTFX	ABNOX	TIILX

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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

TIILX	+ 1.0	TIIHX
TIIHX	+ 0.99	ABNYX
ABNTX	+ 0.99	ABNYX
ABNOX	+ 0.99	ABNYX
TIILX	+ 0.99	ABNYX
ABNTX	+ 0.99	TIIHX

High negative correlations

ABNOX	- 0.34	ABYIX
ABYIX	- 0.32	ABNYX
TIILX	- 0.31	ABYIX
ABYIX	- 0.3	ABNTX
ABYIX	- 0.3	TIIHX
ABNOX	- 0.04	MFTFX

Risk-Adjusted Indicators

There is a big difference between Gotham Mutual Fund performing well and Gotham Enhanced 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 Enhanced'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
ABNYX	0.15	(0.02)	0.00	(0.49)	0.00	0.00	0.19	(0.29)	0.87
TIIHX	0.14	(0.02)	0.00	(0.53)	0.00	0.00	0.29	(0.29)	0.86
ABNTX	0.14	(0.02)	0.00	(0.60)	0.00	0.00	0.20	(0.30)	0.79
CSQAX	0.24	0.02	(0.05)	0.26	0.19	(0.31)	0.59	(0.47)	1.89
ABYIX	0.33	0.02	(0.04)	1.07	0.37	(0.36)	0.65	(0.73)	1.94
MFTFX	0.99	0.04	(0.01)	(0.64)	1.36	(0.95)	1.70	(2.06)	5.15
ABNOX	0.15	(0.02)	0.00	(0.48)	0.00	0.00	0.20	(0.30)	0.89
TIILX	0.14	(0.02)	0.00	(0.57)	0.00	0.00	0.29	(0.29)	0.86

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