North Square Correlations

NKMCX Fund

12.73 0.05 0.39%

The current 90-days correlation between North Square Kennedy and Highland Longshort Healthcare is 0.73 (i.e., Poor diversification). The correlation of North Square 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.

North Square Correlation With Market

Very poor diversification

The correlation between North Square Kennedy and DJI is 0.85 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding North Square Kennedy 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 North Square Kennedy. 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 main economic indicators.

Moving together with North Mutual Fund

0.98	ADVGX	Advisory Research All	Pair Corr
0.89	PORYX	Oak Ridge Multi	Pair Corr
0.64	ORDNX	Oak Ridge Dividend	Pair Corr
0.97	ORIYX	Oak Ridge Small	Pair Corr
0.97	ORIGX	Oak Ridge Small	Pair Corr
0.88	ORILX	Oak Ridge Multi	Pair Corr
0.95	ORSAX	Oak Ridge Dynamic	Pair Corr
0.95	ORSIX	Oak Ridge Dynamic	Pair Corr
0.97	VSMAX	Vanguard Small Cap	Pair Corr
0.97	VSCIX	Vanguard Small Cap	Pair Corr
0.97	VSCPX	Vanguard Small Cap	Pair Corr
0.97	NAESX	Vanguard Small Cap	Pair Corr
0.98	FSSNX	Fidelity Small Cap	Pair Corr
0.97	DFSTX	Us Small Cap	Pair Corr
0.98	PASVX	T Rowe Price	Pair Corr
0.98	PRVIX	T Rowe Price	Pair Corr
0.98	TRZVX	T Rowe Price	Pair Corr
0.98	PRSVX	T Rowe Price	Pair Corr
0.89	FTCAX	Templeton Strained Bond	Pair Corr
0.66	PYAIX	Payden Absolute Return	Pair Corr
0.68	PYARX	Payden Absolute Return	Pair Corr
0.78	BCAAX	Brandywineglobal C	Pair Corr
0.97	JVAIX	Jpmorgan Value Advantage	Pair Corr
0.98	FRBCX	Regional Bank	Pair Corr
0.95	WSMRX	William Blair Small	Pair Corr
0.8	JDBRX	Janus Balanced	Pair Corr
0.67	AMHYX	Invesco High Yield	Pair Corr
0.97	GSCYX	Small Cap Equity	Pair Corr
0.95	SSCCX	Small Capitalization	Pair Corr

Moving against North Mutual Fund

0.73	NSIVX	North Square Investments	Pair Corr
0.66	NMKYX	North Square Mckee	Pair Corr
0.66	NMKBX	North Square Mckee	Pair Corr
0.94	UIPIX	Ultrashort Mid Cap	Pair Corr
0.8	USPSX	Profunds Ultrashort	Pair Corr
0.8	USPIX	Profunds Ultrashort	Pair Corr

Related Correlations Analysis

	HHCZX	AHSCX	LYFAX	BHSRX	GGHYX	SHISX	SHPCX
HHCZX		-0.13	-0.32	-0.69	-0.75	-0.69	-0.59	HHCZX
AHSCX	-0.13		0.79	0.6	0.56	0.6	0.68	AHSCX
LYFAX	-0.32	0.79		0.71	0.67	0.71	0.79	LYFAX
BHSRX	-0.69	0.6	0.71		0.99	1.0	0.84	BHSRX
GGHYX	-0.75	0.56	0.67	0.99		0.99	0.85	GGHYX
SHISX	-0.69	0.6	0.71	1.0	0.99		0.84	SHISX
SHPCX	-0.59	0.68	0.79	0.84	0.85	0.84		SHPCX
	HHCZX	AHSCX	LYFAX	BHSRX	GGHYX	SHISX	SHPCX

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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

SHISX	+ 1.0	BHSRX
GGHYX	+ 0.99	BHSRX
SHISX	+ 0.99	GGHYX
SHPCX	+ 0.85	GGHYX
SHPCX	+ 0.84	BHSRX
SHPCX	+ 0.84	SHISX

High negative correlations

GGHYX	- 0.75	HHCZX
SHISX	- 0.69	HHCZX
BHSRX	- 0.69	HHCZX
SHPCX	- 0.59	HHCZX
LYFAX	- 0.32	HHCZX
AHSCX	- 0.13	HHCZX

Risk-Adjusted Indicators

There is a big difference between North Mutual Fund performing well and North Square 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 North Square'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
HHCZX	0.16	0.00	(0.46)	0.15	0.00	(0.19)	0.37	(0.31)	1.14
AHSCX	0.57	(0.06)	(0.16)	0.00	0.75	(0.56)	0.82	(1.25)	4.55
LYFAX	0.64	(0.12)	0.00	(0.07)	0.00	0.00	1.10	(1.65)	3.82
BHSRX	0.59	(0.14)	0.00	(0.11)	0.00	0.00	0.91	(1.31)	3.39
GGHYX	0.63	(0.17)	0.00	(0.16)	0.00	0.00	0.93	(1.30)	3.73
SHISX	0.59	(0.14)	0.00	(0.11)	0.00	0.00	0.90	(1.31)	3.38
SHPCX	0.62	(0.16)	0.00	(0.15)	0.00	0.00	0.96	(1.23)	4.21

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