Absolute Convertible Correlations

ARBOX Fund

USD 11.59 0.01 0.09%

The current 90-days correlation between Absolute Convertible and Absolute Cef Opportunities is -0.04 (i.e., Good diversification). The correlation of Absolute Convertible 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.

Absolute Convertible Correlation With Market

Average diversification

The correlation between Absolute Convertible Arbitrage and DJI is 0.19 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Absolute Convertible Arbitrage 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 Absolute Convertible Arbitrage. 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 metropolitan statistical area.

Moving together with Absolute Mutual Fund

0.62	ARBIX	Absolute Convertible	Pair Corr
0.63	CMNIX	Calamos Market Neutral	Pair Corr

Moving against Absolute Mutual Fund

0.55

CAPOX

Absolute Capital Opp

Pair Corr

Related Correlations Analysis

	ARBOX	ACEFX	CAPOX	SMTFX	SEVAX	FMXKX	SFITX	PEFIX	NSIVX	FNSTX
ARBOX		0.1	-0.55	0.47	-0.33	0.71	0.17	0.28	0.1	0.75	ARBOX
ACEFX	0.1		-0.06	0.58	0.53	0.4	0.76	0.69	0.61	0.37	ACEFX
CAPOX	-0.55	-0.06		-0.62	0.54	-0.31	-0.26	-0.46	-0.03	-0.44	CAPOX
SMTFX	0.47	0.58	-0.62		-0.06	0.41	0.68	0.74	0.43	0.56	SMTFX
SEVAX	-0.33	0.53	0.54	-0.06		0.26	0.29	0.22	0.61	0.01	SEVAX
FMXKX	0.71	0.4	-0.31	0.41	0.26		0.23	0.43	0.45	0.64	FMXKX
SFITX	0.17	0.76	-0.26	0.68	0.29	0.23		0.7	0.48	0.36	SFITX
PEFIX	0.28	0.69	-0.46	0.74	0.22	0.43	0.7		0.57	0.3	PEFIX
NSIVX	0.1	0.61	-0.03	0.43	0.61	0.45	0.48	0.57		0.3	NSIVX
FNSTX	0.75	0.37	-0.44	0.56	0.01	0.64	0.36	0.3	0.3		FNSTX
	ARBOX	ACEFX	CAPOX	SMTFX	SEVAX	FMXKX	SFITX	PEFIX	NSIVX	FNSTX

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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

SFITX	+ 0.76	ACEFX
FNSTX	+ 0.75	ARBOX
PEFIX	+ 0.74	SMTFX
FMXKX	+ 0.71	ARBOX
PEFIX	+ 0.7	SFITX
PEFIX	+ 0.69	ACEFX

High negative correlations

SMTFX	- 0.62	CAPOX
CAPOX	- 0.55	ARBOX
PEFIX	- 0.46	CAPOX
FNSTX	- 0.44	CAPOX
SEVAX	- 0.33	ARBOX
FMXKX	- 0.31	CAPOX

Risk-Adjusted Indicators

There is a big difference between Absolute Mutual Fund performing well and Absolute Convertible 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 Absolute Convertible'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
ARBOX	0.12	(0.04)	0.00	(0.31)	0.00	0.00	0.17	(0.08)	3.34
ACEFX	0.24	0.02	(0.15)	0.49	0.12	(0.34)	0.64	(0.32)	1.12
CAPOX	0.40	(0.04)	0.00	(0.27)	0.00	0.00	0.67	(0.77)	2.33
SMTFX	0.10	0.02	(0.25)	(1.09)	0.00	(0.18)	0.31	(0.21)	0.73
SEVAX	0.65	(0.03)	(0.03)	0.03	0.84	(0.66)	1.38	(1.36)	3.69
FMXKX	0.70	(0.14)	0.00	(0.09)	0.00	0.00	1.28	(1.61)	8.83
SFITX	0.09	0.01	(0.43)	(0.66)	0.00	(0.16)	0.21	(0.10)	0.72
PEFIX	0.54	0.03	(0.01)	0.13	0.62	(0.63)	1.23	(1.14)	3.64
NSIVX	0.51	(0.01)	(0.04)	0.05	0.65	(0.52)	0.99	(0.92)	2.86
FNSTX	0.80	(0.05)	(0.04)	0.00	1.35	(0.78)	1.62	(1.86)	7.26

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