Gotham Index Correlations

GINDX Fund

USD 29.41 0.03 0.10%

The current 90-days correlation between Gotham Index Plus and Gotham Enhanced Return is 0.08 (i.e., Significant diversification). The correlation of Gotham Index 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 Index Correlation With Market

Poor diversification

The correlation between Gotham Index Plus and DJI is 0.67 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Gotham Index Plus 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 Index Plus. 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 unemployment.

Moving together with Gotham Mutual Fund

0.66	GCHDX	Gotham Hedged E	Pair Corr
0.78	GDLFX	Gotham Defensive Long	Pair Corr
0.67	GVALX	Gotham Large Value	Pair Corr
0.61	GEFPX	Gotham Enhanced 500	Pair Corr
0.65	GENIX	Gotham Enhanced Return	Pair Corr
0.88	GNNDX	Gotham Index Plus	Pair Corr
0.61	GARIX	Gotham Absolute Return	Pair Corr
0.72	GSPFX	Gotham Enhanced Sp	Pair Corr
0.73	GTRFX	Gotham Total Return	Pair Corr
0.61	GPBFX	Gmo E Plus	Pair Corr
0.64	AADVX	American Century One	Pair Corr
0.7	TCTKX	Transamerica Cleartrack	Pair Corr
0.69	IHSUX	Hartford Small	Pair Corr
0.84	FGRIX	Fidelity Growth Income	Pair Corr

Moving against Gotham Mutual Fund

0.49	PQTAX	Pimco Trends Managed	Pair Corr
0.48	PQTNX	Pimco Trends Managed	Pair Corr
0.48	PQTIX	Aa Pimco Tr Potential Growth	Pair Corr

Related Correlations Analysis

	GENIX	GARIX	GVALX	GONIX	GNNDX
GENIX		1.0	0.95	0.7	0.74	GENIX
GARIX	1.0		0.94	0.71	0.7	GARIX
GVALX	0.95	0.94		0.61	0.76	GVALX
GONIX	0.7	0.71	0.61		0.5	GONIX
GNNDX	0.74	0.7	0.76	0.5		GNNDX
	GENIX	GARIX	GVALX	GONIX	GNNDX

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Risk-Adjusted Indicators

There is a big difference between Gotham Mutual Fund performing well and Gotham Index 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 Index'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
GENIX	0.95	(0.24)	0.00	(0.55)	0.00	0.00	1.27	(1.20)	20.20
GARIX	0.76	(0.25)	0.00	(0.92)	0.00	0.00	0.79	(0.91)	17.95
GVALX	0.70	(0.11)	0.00	1.23	0.00	0.00	1.15	(1.01)	12.44
GONIX	0.24	(0.02)	0.00	(0.22)	0.00	0.00	0.49	(0.42)	1.54
GNNDX	0.69	0.04	0.01	0.14	1.17	(0.69)	1.27	(1.10)	8.00

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