The Arbitrage Correlations

ARCFX Fund

USD 9.87 0.01 0.10%

The current 90-days correlation between Arbitrage Credit and American Beacon Ahl is 0.43 (i.e., Very weak 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

Weak diversification

The correlation between The Arbitrage Credit and DJI is 0.34 (i.e., Weak 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 census.

Moving together with The Mutual Fund

0.61	ARBNX	The Arbitrage	Pair Corr
0.92	ACFIX	Arbitrage Credit	Pair Corr
0.82	AEDNX	Arbitrage Event	Pair Corr
0.82	AEDFX	Arbitrage Event	Pair Corr
0.95	AGCAX	Arbitrage Credit	Pair Corr
0.8	AGEAX	Arbitrage Event	Pair Corr
0.67	BASIX	Blackrock Strategic Opps	Pair Corr
0.69	BSIIX	Blackrock Strategic	Pair Corr
0.78	BSIKX	Blackrock Strategic	Pair Corr
0.85	JSORX	Jpmorgan Strategic Income	Pair Corr
0.85	PMZNX	Pimco Mortgage Oppor	Pair Corr
0.8	PMZCX	Pimco Mortgage Oppor	Pair Corr
0.78	PMZAX	Pimco Mortgage Oppor	Pair Corr
0.85	JSOZX	Jpmorgan Strategic Income	Pair Corr
0.84	JSOCX	Jpmorgan Strategic Income	Pair Corr
0.62	MGGYX	Mirova Global Green	Pair Corr
0.78	HLDIX	Hartford Emerging	Pair Corr
0.79	HLDRX	Hartford Emerging	Pair Corr
0.76	HLDAX	Hartford Emerging	Pair Corr
0.76	HLDCX	Hartford Emerging	Pair Corr
0.82	HLDTX	Hartford Emerging	Pair Corr
0.64	FBLEX	Fidelity Series Stock	Pair Corr
0.88	WEDIX	William Blair Emerging	Pair Corr
0.61	PRBLX	Parnassus E Equity	Pair Corr
0.65	VFINX	Vanguard 500 Index	Pair Corr
0.64	GHAAX	Global Hard Assets	Pair Corr
0.85	PLUIX	Pacific Funds Ultra	Pair Corr
0.65	JGMCX	Janus Triton	Pair Corr

Related Correlations Analysis

	AHTPX	GWMNX	RYSPX	WSBFX	WELNX	NXDT	TVSVX	TASCX	FLRUX	ALSRX
AHTPX		0.58	0.82	0.65	0.63	0.32	0.61	0.63	0.77	0.64	AHTPX
GWMNX	0.58		0.33	0.35	0.38	-0.04	0.3	0.34	0.37	0.08	GWMNX
RYSPX	0.82	0.33		0.92	0.39	0.67	0.82	0.76	0.93	0.75	RYSPX
WSBFX	0.65	0.35	0.92		0.16	0.74	0.87	0.78	0.88	0.61	WSBFX
WELNX	0.63	0.38	0.39	0.16		0.09	0.01	-0.01	0.23	0.19	WELNX
NXDT	0.32	-0.04	0.67	0.74	0.09		0.58	0.38	0.71	0.45	NXDT
TVSVX	0.61	0.3	0.82	0.87	0.01	0.58		0.96	0.86	0.63	TVSVX
TASCX	0.63	0.34	0.76	0.78	-0.01	0.38	0.96		0.78	0.61	TASCX
FLRUX	0.77	0.37	0.93	0.88	0.23	0.71	0.86	0.78		0.77	FLRUX
ALSRX	0.64	0.08	0.75	0.61	0.19	0.45	0.63	0.61	0.77		ALSRX
	AHTPX	GWMNX	RYSPX	WSBFX	WELNX	NXDT	TVSVX	TASCX	FLRUX	ALSRX

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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

TASCX	+ 0.96	TVSVX
FLRUX	+ 0.93	RYSPX
WSBFX	+ 0.92	RYSPX
FLRUX	+ 0.88	WSBFX
TVSVX	+ 0.87	WSBFX
FLRUX	+ 0.86	TVSVX

High negative correlations

NXDT	- 0.04	GWMNX
TASCX	- 0.01	WELNX

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
AHTPX	0.60	0.02	(0.01)	0.10	0.68	(0.66)	1.43	(1.35)	3.59
GWMNX	0.10	0.02	(0.27)	(0.95)	0.00	(0.19)	0.22	(0.22)	0.78
RYSPX	0.61	0.01	0.00	0.09	0.81	(0.64)	1.54	(1.17)	3.63
WSBFX	0.45	0.13	0.18	0.41	0.00	(0.58)	0.90	(0.57)	7.37
WELNX	0.75	(0.01)	(0.02)	0.06	1.10	(0.77)	1.99	(1.62)	4.20
NXDT	3.93	0.15	0.04	0.15	4.93	(4.24)	10.00	(6.93)	28.03
TVSVX	0.83	0.09	0.10	0.16	0.70	(1.05)	1.94	(1.30)	6.76
TASCX	0.76	0.04	0.04	0.11	0.74	(0.90)	1.89	(1.35)	4.25
FLRUX	0.25	0.00	(0.14)	0.08	0.22	(0.30)	0.54	(0.55)	1.99
ALSRX	1.23	(0.01)	0.01	0.07	1.42	(1.33)	2.32	(2.35)	6.93

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