Quantitative Correlations

GTLSX Fund

USD 13.70 0.01 0.07%

The current 90-days correlation between Quantitative Longshort and International Portfolio International is 0.28 (i.e., Modest diversification). The correlation of Quantitative 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.

Quantitative Correlation With Market

Good diversification

The correlation between Quantitative Longshort Equity and DJI is -0.13 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Quantitative Longshort Equity 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 Quantitative Longshort Equity. 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 state.

Moving together with Quantitative Mutual Fund

0.62	NOVIX	Glenmede International	Pair Corr
0.69	GEQIX	Equity Income Portfolio	Pair Corr
0.89	GWILX	Woman In Leadership	Pair Corr
0.8	RESGX	Responsible Esg Equity	Pair Corr
0.71	GLSOX	Secured Options Portfolio	Pair Corr
0.86	GQLVX	Quantitative U S	Pair Corr
1.0	GTAPX	Longshort Portfolio	Pair Corr
0.79	GTCEX	Strategic Equity Por	Pair Corr
0.64	GTCSX	Small Cap Equity	Pair Corr
0.82	GTILX	Large Cap Growth	Pair Corr
0.85	GTLIX	Large Cap Core	Pair Corr
0.86	GTLLX	Large Cap Growth	Pair Corr
0.89	GTLOX	Large Cap E	Pair Corr
0.72	GTSOX	Secured Options Portfolio	Pair Corr
0.64	GTSCX	Small Cap Equity	Pair Corr
0.92	GTTMX	Total Market Portfolio	Pair Corr
0.86	NLSCX	Neuberger Berman Long	Pair Corr
0.86	NLSAX	Neuberger Berman Long	Pair Corr
0.86	NLSIX	Neuberger Berman Long	Pair Corr
0.62	DHLSX	Diamond Hill Long	Pair Corr
0.62	DIAYX	Diamond Hill Long	Pair Corr
0.63	DIAMX	Diamond Hill Long	Pair Corr
0.83	ASLAX	Ab Select Longshort	Pair Corr
0.74	VSTSX	Vanguard Total Stock	Pair Corr
0.74	VSMPX	Vanguard Total Stock	Pair Corr
0.74	VITSX	Vanguard Total Stock	Pair Corr
0.78	VFFSX	Vanguard 500 Index	Pair Corr
0.78	VFIAX	Vanguard 500 Index	Pair Corr
0.68	VINIX	Vanguard Institutional	Pair Corr
0.79	VTSAX	Vanguard Total Stock	Pair Corr

Related Correlations Analysis

	GTCIX	GTCSX	GTLOX	MIPTX	GTSOX
GTCIX		-0.76	-0.36	0.64	-0.44	GTCIX
GTCSX	-0.76		0.83	-0.38	0.8	GTCSX
GTLOX	-0.36	0.83		-0.16	0.92	GTLOX
MIPTX	0.64	-0.38	-0.16		-0.21	MIPTX
GTSOX	-0.44	0.8	0.92	-0.21		GTSOX
	GTCIX	GTCSX	GTLOX	MIPTX	GTSOX

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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

GTSOX	+ 0.92	GTLOX
GTLOX	+ 0.83	GTCSX
GTSOX	+ 0.8	GTCSX
MIPTX	+ 0.64	GTCIX

High negative correlations

GTCSX	- 0.76	GTCIX
GTSOX	- 0.44	GTCIX
MIPTX	- 0.38	GTCSX
GTLOX	- 0.36	GTCIX
GTSOX	- 0.21	MIPTX
MIPTX	- 0.16	GTLOX

Risk-Adjusted Indicators

There is a big difference between Quantitative Mutual Fund performing well and Quantitative 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 Quantitative'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
GTCIX	0.59	0.15	0.25	(0.91)	0.46	(0.67)	1.29	(1.10)	3.63
GTCSX	0.84	(0.11)	0.00	(0.12)	0.00	0.00	1.84	(2.32)	4.34
GTLOX	0.70	(0.02)	0.00	0.32	0.00	0.00	1.24	(1.64)	3.39
MIPTX	0.85	0.03	0.03	0.04	1.20	(0.79)	2.00	(2.01)	6.57
GTSOX	0.36	(0.04)	0.00	0.29	0.00	0.00	1.05	(1.01)	3.37

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