Grant Park Correlations

GPAIX Fund

USD 10.55 0.04 0.38%

The current 90-days correlation between Grant Park Multi and Grant Park Multi is 0.13 (i.e., Average 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

Modest diversification

The correlation between Grant Park Multi and DJI is 0.27 (i.e., Modest 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 gross domestic product.

Moving together with Grant Mutual Fund

0.94	GPAAX	Grant Park Multi	Pair Corr
0.94	GPANX	Grant Park Multi	Pair Corr
0.87	AMFNX	Asg Managed Futures	Pair Corr
0.7	ABYCX	Abbey Capital Futures	Pair Corr
0.72	ABYAX	Abbey Capital Futures	Pair Corr
0.72	ABYIX	Abbey Capital Futures	Pair Corr
0.86	AMFAX	Asg Managed Futures	Pair Corr
0.78	ASFYX	Asg Managed Futures	Pair Corr
0.76	IIF	Morgan Stanley India	Pair Corr
0.72	IFN	India Closed	Pair Corr

Moving against Grant Mutual Fund

0.43	ETV	Eaton Vance Tax	Pair Corr
0.34	CII	Blackrock Enhanced	Pair Corr
0.33	ASG	Liberty All Star	Pair Corr
0.67	VMRXX	Vanguard Money Market	Pair Corr
0.57	RUSIX	Rbc Ultra Short	Pair Corr
0.56	ODIDX	Oaktree Diversifiedome	Pair Corr
0.54	PCBSX	Blackrock Tactical	Pair Corr
0.46	CLM	Cornerstone Strategic	Pair Corr
0.45	CSFRX	Columbia Large Cap	Pair Corr
0.45	LGLAX	Lord Abbett Growth	Pair Corr
0.43	ETY	Eaton Vance Tax	Pair Corr
0.41	CRF	Cornerstone Strategic	Pair Corr
0.38	VLPIX	Virtus Select Mlp	Pair Corr
0.36	VFINX	Vanguard 500 Index	Pair Corr
0.36	PSIAX	Prudential Qma Stock	Pair Corr
0.32	CPRSX	Clarion Partners Real	Pair Corr
0.87	RYILX	Rydex Sers Fds	Pair Corr
0.6	FFRIX	Fidelity Advisor Floating	Pair Corr
0.6	FFRCX	Fidelity Advisor Floating	Pair Corr
0.58	FRSAX	Federated Floating Rate	Pair Corr

Related Correlations Analysis

	GPAAX	GPAIX	GPANX	CUSBX	TEEFX	FADTX	ESFCX	LEQIX	RBCRX
GPAAX		0.94	1.0	-0.63	-0.44	-0.53	-0.28	-0.33	0.13	GPAAX
GPAIX	0.94		0.94	-0.61	-0.41	-0.51	-0.38	-0.3	0.0	GPAIX
GPANX	1.0	0.94		-0.63	-0.44	-0.53	-0.28	-0.33	0.13	GPANX
CUSBX	-0.63	-0.61	-0.63		0.8	0.78	-0.05	0.83	-0.28	CUSBX
TEEFX	-0.44	-0.41	-0.44	0.8		0.98	-0.29	0.92	-0.44	TEEFX
FADTX	-0.53	-0.51	-0.53	0.78	0.98		-0.24	0.88	-0.44	FADTX
ESFCX	-0.28	-0.38	-0.28	-0.05	-0.29	-0.24		-0.36	0.8	ESFCX
LEQIX	-0.33	-0.3	-0.33	0.83	0.92	0.88	-0.36		-0.49	LEQIX
RBCRX	0.13	0.0	0.13	-0.28	-0.44	-0.44	0.8	-0.49		RBCRX
	GPAAX	GPAIX	GPANX	CUSBX	TEEFX	FADTX	ESFCX	LEQIX	RBCRX

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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

GPANX	+ 1.0	GPAAX
FADTX	+ 0.98	TEEFX
GPAIX	+ 0.94	GPAAX
GPANX	+ 0.94	GPAIX
LEQIX	+ 0.92	TEEFX
LEQIX	+ 0.88	FADTX

High negative correlations

CUSBX	- 0.63	GPANX
CUSBX	- 0.63	GPAAX
CUSBX	- 0.61	GPAIX
FADTX	- 0.53	GPANX
FADTX	- 0.53	GPAAX
FADTX	- 0.51	GPAIX

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
GPAAX	0.36	(0.07)	0.00	(1.81)	0.00	0.00	0.66	(0.91)	2.62
GPAIX	0.37	(0.08)	0.00	(0.44)	0.00	0.00	0.56	(0.90)	2.86
GPANX	0.36	(0.07)	0.00	(2.03)	0.00	0.00	0.57	(0.91)	2.61
CUSBX	0.03	0.00	0.00	1.39	0.00	0.00	0.11	0.00	0.54
TEEFX	0.69	0.10	0.08	0.16	1.07	(0.69)	1.65	(1.46)	5.92
FADTX	0.91	0.17	0.11	0.22	1.18	(0.89)	1.79	(2.33)	5.85
ESFCX	0.20	0.01	(0.06)	(0.15)	0.18	(0.38)	0.44	(0.43)	1.93
LEQIX	0.39	0.05	0.07	0.14	0.36	(0.46)	0.93	(0.71)	2.95
RBCRX	1.85	0.13	0.03	(0.33)	2.25	(2.23)	5.37	(3.69)	15.95

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