Gotham Large Correlations

GVALX Fund

USD 13.77 0.11 0.79%

The current 90-days correlation between Gotham Large Value and Gotham Index Plus is 0.76 (i.e., Poor diversification). The correlation of Gotham Large 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 Large Correlation With Market

Weak diversification

The correlation between Gotham Large Value and DJI is 0.36 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Gotham Large Value 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 Large Value. 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 bureau of economic analysis.

Moving together with Gotham Mutual Fund

0.78	GENIX	Gotham Enhanced Return	Pair Corr
0.73	GINDX	Gotham Index Plus	Pair Corr
0.79	GARIX	Gotham Absolute Return	Pair Corr
0.74	VVIAX	Vanguard Value Index	Pair Corr
0.68	DOXGX	Dodge Cox Stock	Pair Corr
0.82	AFMFX	American Mutual	Pair Corr
0.82	FFMMX	American Funds American	Pair Corr
0.82	FFFMX	American Funds American	Pair Corr
0.82	AMRMX	American Mutual	Pair Corr
0.82	AMFFX	American Mutual	Pair Corr
0.82	AMFCX	American Mutual	Pair Corr
0.88	DODGX	Dodge Stock Fund	Pair Corr
0.74	VIVAX	Vanguard Value Index	Pair Corr

Related Correlations Analysis

	GINDX	GSPY	GDLFX	GSPFX	GENIX
GINDX		0.77	0.32	-0.21	0.62	GINDX
GSPY	0.77		0.07	-0.2	0.43	GSPY
GDLFX	0.32	0.07		0.3	0.08	GDLFX
GSPFX	-0.21	-0.2	0.3		0.1	GSPFX
GENIX	0.62	0.43	0.08	0.1		GENIX
	GINDX	GSPY	GDLFX	GSPFX	GENIX

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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

GSPY	+ 0.77	GINDX
GENIX	+ 0.62	GINDX
GENIX	+ 0.43	GSPY
GDLFX	+ 0.32	GINDX
GSPFX	+ 0.3	GDLFX
GENIX	+ 0.1	GSPFX

High negative correlations

GSPFX	- 0.21	GINDX
GSPFX	- 0.2	GSPY

Risk-Adjusted Indicators

There is a big difference between Gotham Mutual Fund performing well and Gotham Large 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 Large'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	Treynor Ratio	Potential Upside	Value @Risk	Maximum Drawdown
GINDX	0.87	(0.05)	(0.20)	1.26	(2.24)	5.13
GSPY	0.77	(0.12)	(0.75)	1.17	(1.63)	4.47
GDLFX	0.63	(0.07)	0.50	1.12	(1.21)	4.31
GSPFX	0.84	(0.31)	0.61	1.18	(1.56)	12.32
GENIX	1.09	(0.30)	(0.54)	1.32	(1.96)	18.35

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