The Arbitrage Correlations

AGCAX Fund

USD 9.83 0.01 0.10%

The current 90-days correlation between Arbitrage Credit and Putnam Global Financials is 0.09 (i.e., Significant diversification). The correlation of The Arbitrage 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.

The Arbitrage Correlation With Market

Average diversification

The correlation between The Arbitrage Credit and DJI is 0.15 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding The Arbitrage Credit and DJI in the same portfolio, assuming nothing else is changed.

Check out Trending Equities to better understand how to build diversified portfolios, which includes a position in The Arbitrage Credit. 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 The Mutual Fund

0.86	ARBNX	The Arbitrage	Pair Corr
0.85	ARBFX	The Arbitrage	Pair Corr
0.82	ARBCX	The Arbitrage	Pair Corr
0.99	ARCFX	Arbitrage Credit	Pair Corr
0.85	ARGAX	Arbitrage Fund	Pair Corr
0.99	ACFIX	Arbitrage Credit	Pair Corr
0.9	AEDNX	Arbitrage Event	Pair Corr
0.89	AEDFX	Arbitrage Event	Pair Corr
0.89	AGEAX	Arbitrage Event	Pair Corr
0.94	BSIKX	Blackrock Strategic	Pair Corr
0.92	BSICX	Blackrock Strategic Opps	Pair Corr
0.93	BASIX	Blackrock Strategic Opps	Pair Corr
0.94	BSIIX	Blackrock Strategic	Pair Corr
0.93	JSORX	Jpmorgan Strategic Income	Pair Corr
0.95	JSOZX	Jpmorgan Strategic Income	Pair Corr
0.94	JSOCX	Jpmorgan Strategic Income	Pair Corr
0.94	JSOSX	Jpmorgan Strategic Income	Pair Corr
0.92	JSOAX	Jpmorgan Strategic Income	Pair Corr
0.86	PMZCX	Pimco Mortgage Oppor	Pair Corr
0.89	VSTSX	Vanguard Total Stock	Pair Corr
0.89	VSMPX	Vanguard Total Stock	Pair Corr
0.89	VITSX	Vanguard Total Stock	Pair Corr
0.89	VFFSX	Vanguard 500 Index	Pair Corr
0.89	VFIAX	Vanguard 500 Index	Pair Corr
0.87	VTISX	Vanguard Total Inter	Pair Corr
0.88	VTSNX	Vanguard Total Inter	Pair Corr
0.88	VTPSX	Vanguard Total Inter	Pair Corr
0.89	VINIX	Vanguard Institutional	Pair Corr
0.89	VTSAX	Vanguard Total Stock	Pair Corr
0.89	MLORX	Cohen Steers Mlp	Pair Corr
0.73	BIIGX	Buffalo Growth	Pair Corr
0.9	SIRJX	Sierra E Retirement	Pair Corr
0.7	GSXPX	Goldman Sachs Small	Pair Corr
0.82	VWINX	Vanguard Wellesley Income	Pair Corr
0.91	SEDAX	Siit Emerging Markets	Pair Corr
0.91	PXMAX	Putnam Massachusetts Tax	Pair Corr
0.91	LOTAX	Locorr Market Trend	Pair Corr
0.86	RMQCX	Monthly Rebalance	Pair Corr

Related Correlations Analysis

	PGFMX	IAAEX	BTO	MSVIX	FTIXX	RMBLX	GCFSX
PGFMX		-0.29	-0.63	0.17	0.0	-0.4	-0.03	PGFMX
IAAEX	-0.29		0.69	0.53	0.0	0.49	0.34	IAAEX
BTO	-0.63	0.69		0.51	0.0	0.76	0.24	BTO
MSVIX	0.17	0.53	0.51		0.0	0.57	0.29	MSVIX
FTIXX	0.0	0.0	0.0	0.0		0.0	0.0	FTIXX
RMBLX	-0.4	0.49	0.76	0.57	0.0		0.6	RMBLX
GCFSX	-0.03	0.34	0.24	0.29	0.0	0.6		GCFSX
	PGFMX	IAAEX	BTO	MSVIX	FTIXX	RMBLX	GCFSX

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

RMBLX	+ 0.76	BTO
BTO	+ 0.69	IAAEX
GCFSX	+ 0.6	RMBLX
RMBLX	+ 0.57	MSVIX
MSVIX	+ 0.53	IAAEX
MSVIX	+ 0.51	BTO

High negative correlations

BTO	- 0.63	PGFMX
RMBLX	- 0.4	PGFMX
IAAEX	- 0.29	PGFMX
GCFSX	- 0.03	PGFMX
GCFSX	- 0.0	FTIXX
RMBLX	- 0.0	FTIXX

Risk-Adjusted Indicators

There is a big difference between The Mutual Fund performing well and The Arbitrage 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 The Arbitrage'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
PGFMX	0.28	0.03	(0.08)	1.35	0.28	(0.31)	0.62	(0.62)	1.90
IAAEX	0.59	(0.03)	0.00	0.88	0.00	0.00	1.15	(1.13)	4.64
BTO	0.97	(0.15)	0.00	(0.10)	0.00	0.00	1.61	(2.12)	7.35
MSVIX	0.78	(0.07)	(0.06)	0.01	0.97	(0.85)	1.67	(1.51)	6.50
FTIXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
RMBLX	0.92	(0.05)	(0.03)	0.02	1.21	(1.01)	2.47	(1.38)	9.45
GCFSX	0.52	0.04	(0.05)	(0.40)	0.56	(0.60)	1.06	(0.96)	4.17

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