Abbey Capital Correlations

MAFAX Fund

USD 11.05 0.05 0.45%

The current 90-days correlation between Abbey Capital Multi and Summit Global Investments is 0.16 (i.e., Average diversification). The correlation of Abbey Capital 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.

Abbey Capital Correlation With Market

Very weak diversification

The correlation between Abbey Capital Multi and DJI is 0.46 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Abbey Capital Multi 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 Abbey Capital 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 nation.

Moving together with Abbey Mutual Fund

0.86	ABYIX	Abbey Capital Futures	Pair Corr
0.86	ABYAX	Abbey Capital Futures	Pair Corr
0.87	ABYCX	Abbey Capital Futures	Pair Corr
1.0	MAFCX	Abbey Capital Multi	Pair Corr
1.0	MAFIX	Abbey Capital Multi	Pair Corr

Moving against Abbey Mutual Fund

0.69	QSPRX	Aqr Style Premia	Pair Corr
0.54	BIMBX	Blackrock Alternative	Pair Corr
0.54	BKMBX	Blackrock Systematic	Pair Corr
0.53	BAMBX	Blackrock Alternative	Pair Corr
0.52	BMBCX	Blackrock Alternative	Pair Corr
0.51	NHS	Neuberger Berman High	Pair Corr
0.83	VSGDX	Vanguard Short Term	Pair Corr
0.78	CIHCX	Cullen International High	Pair Corr
0.77	VTAPX	Vanguard Short Term	Pair Corr
0.76	HRBDX	Harbor Bond Fund	Pair Corr
0.74	LIRRX	Lord Abbett International	Pair Corr
0.71	EPDPX	Europac International	Pair Corr
0.67	VMLTX	Vanguard Limited Term	Pair Corr
0.67	PYCTX	Payden Rygel	Pair Corr
0.56	SAEMX	Sa Emerging Markets	Pair Corr
0.44	VGWAX	Vanguard Global Well	Pair Corr
0.32	CTYCX	American Funds Lege	Pair Corr
0.86	AMAPX	Amana Participation	Pair Corr
0.81	TASTX	Transamerica Short Term	Pair Corr
0.78	USGDX	Morgan Stanley Government	Pair Corr
0.77	PSDNX	Putnam Ultra Short	Pair Corr
0.76	BISMX	Brandes International	Pair Corr
0.75	ABNOX	Ab Bond Inflation	Pair Corr

Related Correlations Analysis

	SGICX	ARECX	TEDIX	MSTGX	PHTTX	XEHIX	LMLRX
SGICX		0.27	0.36	-0.13	0.32	0.78	0.29	SGICX
ARECX	0.27		0.7	0.76	0.92	0.52	0.83	ARECX
TEDIX	0.36	0.7		0.81	0.65	0.43	0.49	TEDIX
MSTGX	-0.13	0.76	0.81		0.69	0.08	0.55	MSTGX
PHTTX	0.32	0.92	0.65	0.69		0.58	0.97	PHTTX
XEHIX	0.78	0.52	0.43	0.08	0.58		0.59	XEHIX
LMLRX	0.29	0.83	0.49	0.55	0.97	0.59		LMLRX
	SGICX	ARECX	TEDIX	MSTGX	PHTTX	XEHIX	LMLRX

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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

LMLRX	+ 0.97	PHTTX
PHTTX	+ 0.92	ARECX
LMLRX	+ 0.83	ARECX
MSTGX	+ 0.81	TEDIX
XEHIX	+ 0.78	SGICX
MSTGX	+ 0.76	ARECX

High negative correlations

MSTGX

- 0.13

SGICX

Risk-Adjusted Indicators

There is a big difference between Abbey Mutual Fund performing well and Abbey Capital 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 Abbey Capital'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
SGICX	0.91	(0.34)	0.00	(2.47)	0.00	0.00	1.09	(1.37)	19.11
ARECX	0.77	(0.01)	0.00	(0.09)	0.00	0.00	1.56	(1.47)	4.45
TEDIX	0.66	0.01	0.00	(0.06)	0.00	0.00	1.01	(1.47)	7.35
MSTGX	0.31	0.07	0.23	0.14	0.34	(0.34)	0.74	(0.62)	1.58
PHTTX	0.35	0.00	0.00	(0.07)	0.00	0.00	0.67	(0.67)	1.95
XEHIX	0.21	(0.03)	0.00	(0.35)	0.00	0.00	0.43	(0.71)	1.74
LMLRX	0.33	0.01	0.00	(0.05)	0.00	0.00	0.61	(0.69)	2.17

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