Quantitative Correlations

GTLSX Fund

USD 13.78 0.03 0.22%

The current 90-days correlation between Quantitative Longshort and Global Gold Fund is 0.07 (i.e., Significant diversification). The correlation of Quantitative 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.

Quantitative Correlation With Market

Poor diversification

The correlation between Quantitative Longshort Equity and DJI is 0.62 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Quantitative Longshort Equity and DJI in the same portfolio, assuming nothing else is changed.

Check out Risk vs Return Analysis to better understand how to build diversified portfolios, which includes a position in Quantitative Longshort Equity. 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 state.

Moving together with Quantitative Mutual Fund

0.8	NOVIX	Glenmede International	Pair Corr
0.82	GQLVX	Quantitative U S	Pair Corr
0.82	GTCIX	International Portfolio	Pair Corr
0.8	GTCSX	Small Cap Equity	Pair Corr
0.86	GTLOX	Large Cap E	Pair Corr
0.9	QLERX	Aqr Long Short	Pair Corr
0.74	PDI	Pimco Dynamic Income	Pair Corr

Moving against Quantitative Mutual Fund

0.88	USPSX	Profunds Ultrashort	Pair Corr
0.87	USPIX	Profunds Ultrashort	Pair Corr
0.87	UIPIX	Ultrashort Mid Cap	Pair Corr
0.57	PWLIX	Pimco Rae Worldwide	Pair Corr
0.39	PWLMX	Pimco Rae Worldwide	Pair Corr
0.31	APOCX	Short Duration Inflation	Pair Corr

Related Correlations Analysis

	AGGWX	GCEBX	UNWPX	FEGOX	XGGNX	IOGYX	FGDIX
AGGWX		0.62	0.86	1.0	0.86	0.95	0.89	AGGWX
GCEBX	0.62		0.86	0.61	0.76	0.62	0.69	GCEBX
UNWPX	0.86	0.86		0.86	0.88	0.84	0.86	UNWPX
FEGOX	1.0	0.61	0.86		0.85	0.94	0.88	FEGOX
XGGNX	0.86	0.76	0.88	0.85		0.89	0.83	XGGNX
IOGYX	0.95	0.62	0.84	0.94	0.89		0.85	IOGYX
FGDIX	0.89	0.69	0.86	0.88	0.83	0.85		FGDIX
	AGGWX	GCEBX	UNWPX	FEGOX	XGGNX	IOGYX	FGDIX

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Risk-Adjusted Indicators

There is a big difference between Quantitative Mutual Fund performing well and Quantitative 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 Quantitative'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
AGGWX	1.55	0.04	(0.06)	0.43	2.18	(1.56)	3.08	(3.46)	11.80
GCEBX	0.72	0.20	(0.02)	3.19	0.62	(0.90)	1.86	(1.31)	4.42
UNWPX	1.21	0.25	0.00	(2.80)	1.13	(1.57)	2.72	(2.14)	7.43
FEGOX	1.38	0.03	(0.08)	0.36	1.83	(1.47)	2.57	(2.99)	9.95
XGGNX	0.62	0.06	(0.19)	4.24	0.69	(0.74)	1.39	(1.35)	4.00
IOGYX	1.40	0.04	(0.06)	0.35	1.94	(1.41)	2.84	(3.66)	10.46
FGDIX	1.57	0.36	(0.06)	(0.07)	2.15	(1.61)	3.17	(3.72)	12.28

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