Floating Rate Correlations

LFRIX Fund

USD 8.08 0.01 0.12%

The correlation of Floating Rate 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.

Floating Rate Correlation With Market

Good diversification

The correlation between Floating Rate Fund and DJI is -0.17 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Floating Rate Fund and DJI in the same portfolio, assuming nothing else is changed.

Check out Correlation Analysis to better understand how to build diversified portfolios, which includes a position in Floating Rate Fund. 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 Floating Mutual Fund

0.74	LFRAX	Floating Rate	Pair Corr
0.99	LFRFX	Floating Rate	Pair Corr
0.9	LFRRX	Lord Abbett Inv	Pair Corr
0.83	LFROX	Lord Abbett Floating	Pair Corr
0.63	HYMCX	Lord Abbett High	Pair Corr
0.71	HYMIX	Lord Abbett High	Pair Corr

Moving against Floating Mutual Fund

0.33

LFSFX

Lord Abbett Focused

Pair Corr

Related Correlations Analysis

	OWFIX	TRWIX	DDCFX	SPRDX	TOIIX	ARTNX	QMNIX	PEIRX
OWFIX		0.85	0.91	0.84	0.81	0.67	0.8	0.5	OWFIX
TRWIX	0.85		0.91	0.91	0.98	0.77	0.94	0.6	TRWIX
DDCFX	0.91	0.91		0.89	0.92	0.62	0.88	0.58	DDCFX
SPRDX	0.84	0.91	0.89		0.89	0.74	0.79	0.7	SPRDX
TOIIX	0.81	0.98	0.92	0.89		0.68	0.96	0.58	TOIIX
ARTNX	0.67	0.77	0.62	0.74	0.68		0.73	0.52	ARTNX
QMNIX	0.8	0.94	0.88	0.79	0.96	0.73		0.46	QMNIX
PEIRX	0.5	0.6	0.58	0.7	0.58	0.52	0.46		PEIRX
	OWFIX	TRWIX	DDCFX	SPRDX	TOIIX	ARTNX	QMNIX	PEIRX

Click cells to compare fundamentals

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Backtest Portfolio

Risk-Adjusted Indicators

There is a big difference between Floating Mutual Fund performing well and Floating Rate 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 Floating Rate'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
OWFIX	0.18	0.00	0.12	(0.07)	0.22	(0.22)	0.40	(0.40)	1.39
TRWIX	0.72	0.15	0.13	0.21	0.92	(0.69)	1.99	(1.76)	5.45
DDCFX	0.21	0.02	0.22	(0.41)	0.11	(0.27)	0.54	(0.33)	1.22
SPRDX	0.70	(0.01)	0.02	0.04	1.18	(0.64)	1.35	(1.59)	4.63
TOIIX	0.65	0.21	0.26	0.39	0.59	(0.72)	1.51	(1.47)	5.44
ARTNX	0.64	0.03	0.07	(0.24)	0.84	(0.68)	1.23	(1.48)	3.96
QMNIX	0.30	0.14	0.45	0.89	0.00	(0.41)	0.68	(0.39)	1.97
PEIRX	0.81	(0.06)	0.00	(0.17)	0.00	0.00	1.57	(1.66)	9.14

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