Grant Park Correlations

GPACX Fund

USD 10.08 0.06 0.60%

The current 90-days correlation between Grant Park Multi and Fidelity California Municipal is 0.05 (i.e., Significant diversification). The correlation of Grant Park 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.

Grant Park Correlation With Market

Weak diversification

The correlation between Grant Park Multi and DJI is 0.35 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Grant Park Multi 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 Grant Park Multi. 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 main economic indicators.

Moving together with Grant Mutual Fund

0.99	GPAAX	Grant Park Multi	Pair Corr
0.99	GPAIX	Grant Park Multi	Pair Corr
0.75	AQMRX	Aqr Managed Futures	Pair Corr
0.75	ABYCX	Abbey Capital Futures	Pair Corr
0.75	ABYAX	Abbey Capital Futures	Pair Corr
0.75	ABYIX	Abbey Capital Futures	Pair Corr

Related Correlations Analysis

	FCMAX	FCSCX	MNBCX	PRINX	RYAQX	AUNTX
FCMAX		0.34	0.97	0.99	-0.63	0.87	FCMAX
FCSCX	0.34		0.44	0.35	0.32	0.06	FCSCX
MNBCX	0.97	0.44		0.97	-0.5	0.82	MNBCX
PRINX	0.99	0.35	0.97		-0.61	0.86	PRINX
RYAQX	-0.63	0.32	-0.5	-0.61		-0.65	RYAQX
AUNTX	0.87	0.06	0.82	0.86	-0.65		AUNTX
	FCMAX	FCSCX	MNBCX	PRINX	RYAQX	AUNTX

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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

PRINX	+ 0.99	FCMAX
MNBCX	+ 0.97	FCMAX
PRINX	+ 0.97	MNBCX
AUNTX	+ 0.87	FCMAX
AUNTX	+ 0.86	PRINX
AUNTX	+ 0.82	MNBCX

High negative correlations

AUNTX	- 0.65	RYAQX
RYAQX	- 0.63	FCMAX
RYAQX	- 0.61	PRINX
RYAQX	- 0.5	MNBCX

Risk-Adjusted Indicators

There is a big difference between Grant Mutual Fund performing well and Grant Park 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 Grant Park'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
FCMAX	0.20	(0.04)	0.00	(0.68)	0.00	0.00	0.33	(0.49)	1.64
FCSCX	0.04	(0.01)	0.04	(0.45)	0.00	(0.30)	0.13	(0.13)	0.67
MNBCX	0.33	(0.05)	0.00	(0.57)	0.00	0.00	0.62	(1.08)	3.33
PRINX	0.21	(0.04)	0.00	(0.79)	0.00	0.00	0.44	(0.53)	1.60
RYAQX	0.66	0.17	0.22	(1.83)	0.58	(0.79)	1.52	(1.27)	5.22
AUNTX	0.13	(0.02)	0.00	(0.68)	0.00	0.00	0.28	(0.28)	1.31

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