Arbitrage Event Correlations

AEDFX Fund

USD 12.69 0.02 0.16%

The current 90-days correlation between Arbitrage Event and Perritt Microcap Opportunities is -0.01 (i.e., Good diversification). The correlation of Arbitrage Event 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.

Arbitrage Event Correlation With Market

Very weak diversification

The correlation between The Arbitrage Event Driven and DJI is 0.41 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding The Arbitrage Event Driven 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 Event Driven. 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 price.

Moving together with Arbitrage Mutual Fund

0.99	ARBNX	Arbitrage Fund	Pair Corr
0.8	ARBFX	Arbitrage Fund	Pair Corr
0.91	ARBCX	Arbitrage Fund	Pair Corr
0.88	ARCFX	Arbitrage Credit	Pair Corr
0.78	AEDNX	Arbitrage Event	Pair Corr
0.69	AGCAX	Arbitrage Credit	Pair Corr
1.0	AGEAX	Arbitrage Event	Pair Corr
0.87	MERIX	Merger Fund	Pair Corr
0.87	MERFX	Merger Fund	Pair Corr
0.84	VARAX	Vivaldi Merger Arbitrage	Pair Corr
0.9	HMEZX	Highland Merger Arbitrage	Pair Corr
0.96	HMEAX	Highland Merger Arbitrage	Pair Corr
0.89	GAAVX	Gmo Alternative Allo	Pair Corr
0.73	GCAVX	Gmo Small Cap	Pair Corr
0.64	GHVIX	Gmo High Yield	Pair Corr
0.85	GMCQX	Gmo Equity Allocation	Pair Corr
0.67	CMGUX	Cmg Ultra Short	Pair Corr
0.67	AILCX	American Beacon Inte	Pair Corr
0.61	VFWAX	Vanguard Ftse All	Pair Corr
0.67	PCBKX	Pioneer Classic Balanced	Pair Corr
0.82	FMNEX	Free Market International	Pair Corr
0.81	RIRAX	Capital Income Builder	Pair Corr
0.7	CCLFX	Cliffwater Corporate	Pair Corr
0.62	JMUTX	Janus Multi Sector	Pair Corr
0.64	BBALX	Northern Global Tactical	Pair Corr
0.75	AMDWX	Amana Developing World	Pair Corr

Moving against Arbitrage Mutual Fund

0.45	VARBX	Vivaldi Merger Arbitrage	Pair Corr
0.45	VARCX	First Trust Merger	Pair Corr

Related Correlations Analysis

	PRCGX	CAMMX	TFESX	TFEQX	ICCNX	ICCIX	HIMGX	EAAAX	HDSVX	AUERX
PRCGX		0.79	0.52	0.52	0.5	0.51	0.0	0.68	0.65	0.38	PRCGX
CAMMX	0.79		0.66	0.66	0.59	0.59	0.0	0.76	0.72	0.45	CAMMX
TFESX	0.52	0.66		1.0	0.88	0.88	0.0	0.49	0.26	0.35	TFESX
TFEQX	0.52	0.66	1.0		0.88	0.88	0.0	0.49	0.25	0.35	TFEQX
ICCNX	0.5	0.59	0.88	0.88		1.0	0.0	0.6	0.09	0.4	ICCNX
ICCIX	0.51	0.59	0.88	0.88	1.0		0.0	0.61	0.09	0.41	ICCIX
HIMGX	0.0	0.0	0.0	0.0	0.0	0.0		0.0	0.0	0.0	HIMGX
EAAAX	0.68	0.76	0.49	0.49	0.6	0.61	0.0		0.41	0.5	EAAAX
HDSVX	0.65	0.72	0.26	0.25	0.09	0.09	0.0	0.41		0.16	HDSVX
AUERX	0.38	0.45	0.35	0.35	0.4	0.41	0.0	0.5	0.16		AUERX
	PRCGX	CAMMX	TFESX	TFEQX	ICCNX	ICCIX	HIMGX	EAAAX	HDSVX	AUERX

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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

TFEQX	+ 1.0	TFESX
ICCIX	+ 1.0	ICCNX
ICCNX	+ 0.88	TFESX
ICCIX	+ 0.88	TFESX
ICCNX	+ 0.88	TFEQX
ICCIX	+ 0.88	TFEQX

High negative correlations

AUERX	- 0.0	HIMGX
HDSVX	- 0.0	HIMGX
EAAAX	- 0.0	HIMGX
HIMGX	- 0.0	ICCIX
HIMGX	- 0.0	ICCNX
HIMGX	- 0.0	TFEQX

Risk-Adjusted Indicators

There is a big difference between Arbitrage Mutual Fund performing well and Arbitrage Event 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 Arbitrage Event'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
PRCGX	1.22	0.18	0.12	0.77	0.99	(1.64)	2.25	(2.32)	13.84
CAMMX	0.68	(0.04)	(0.05)	0.02	0.83	(0.75)	1.82	(1.18)	4.02
TFESX	0.61	(0.01)	(0.03)	0.05	0.80	(0.60)	1.33	(1.22)	3.38
TFEQX	0.60	(0.01)	(0.02)	0.05	0.82	(0.58)	1.37	(1.18)	3.40
ICCNX	0.58	(0.01)	(0.03)	0.05	0.77	(0.58)	0.98	(1.31)	2.97
ICCIX	0.58	(0.01)	(0.03)	0.05	0.77	(0.59)	1.04	(1.25)	3.05
HIMGX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
EAAAX	0.46	0.05	(0.01)	0.54	0.44	(0.53)	1.06	(0.88)	2.44
HDSVX	0.96	(0.04)	0.00	0.62	0.00	0.00	2.37	(2.07)	5.29
AUERX	1.06	(0.13)	0.00	(0.04)	0.00	0.00	1.96	(1.80)	12.88

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