Lord Abbett Correlations

LFSFX Fund

USD 29.04 0.08 0.28%

The current 90-days correlation between Lord Abbett Focused and Aqr Alternative Risk is 0.29 (i.e., Modest diversification). The correlation of Lord Abbett 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.

Lord Abbett Correlation With Market

Very weak diversification

The correlation between Lord Abbett Focused and DJI is 0.52 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Lord Abbett Focused 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 Lord Abbett Focused. 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 census.

Moving together with Lord Mutual Fund

1.0	LFVAX	Lord Abbett Focused	Pair Corr
1.0	LFVCX	Lord Abbett Focused	Pair Corr

Moving against Lord Mutual Fund

0.76	LFROX	Lord Abbett Floating	Pair Corr
0.74	LFRIX	Floating Rate	Pair Corr
0.73	LFRAX	Floating Rate	Pair Corr
0.73	LFRFX	Floating Rate	Pair Corr
0.72	LFRRX	Lord Abbett Inv	Pair Corr
0.32	LGLOX	Lord Abbett Growth	Pair Corr
0.75	LGRAX	Lord Abbett Investment	Pair Corr
0.74	LGRYX	Lord Abbett Investment	Pair Corr
0.73	LGRUX	Lord Abbett Investment	Pair Corr

Related Correlations Analysis

	QRPNX	GHVIX	AGDZX	HIMYX	AHYMX	AQRRX	MRHYX
QRPNX		0.83	0.7	0.45	0.46	0.92	0.89	QRPNX
GHVIX	0.83		0.89	0.73	0.74	0.93	0.96	GHVIX
AGDZX	0.7	0.89		0.69	0.62	0.77	0.86	AGDZX
HIMYX	0.45	0.73	0.69		0.86	0.64	0.69	HIMYX
AHYMX	0.46	0.74	0.62	0.86		0.65	0.64	AHYMX
AQRRX	0.92	0.93	0.77	0.64	0.65		0.97	AQRRX
MRHYX	0.89	0.96	0.86	0.69	0.64	0.97		MRHYX
	QRPNX	GHVIX	AGDZX	HIMYX	AHYMX	AQRRX	MRHYX

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Risk-Adjusted Indicators

There is a big difference between Lord Mutual Fund performing well and Lord Abbett 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 Lord Abbett'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
QRPNX	0.42	0.13	0.18	0.56	0.39	(0.47)	0.98	(0.81)	2.23
GHVIX	0.14	0.02	0.08	(1.97)	0.00	(0.17)	0.30	(0.24)	0.90
AGDZX	0.12	0.01	0.04	(0.67)	0.00	(0.24)	0.29	(0.28)	1.14
HIMYX	0.17	0.02	0.04	0.49	0.14	(0.27)	0.49	(0.33)	1.31
AHYMX	0.11	0.01	0.01	(0.33)	0.06	(0.17)	0.22	(0.22)	0.98
AQRRX	0.42	0.08	0.12	0.26	0.47	(0.48)	0.93	(0.86)	3.19
MRHYX	0.12	0.02	0.07	0.31	0.00	(0.16)	0.24	(0.24)	0.59

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