Gotham Total Correlations

GTRFX Fund

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The current 90-days correlation between Gotham Total Return and Astor Star Fund is 0.83 (i.e., Very poor diversification). The correlation of Gotham Total 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.

Gotham Total Correlation With Market

Good diversification

The correlation between Gotham Total Return and DJI is -0.15 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Gotham Total Return 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 Gotham Total Return. 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 Gotham Mutual Fund

0.86	GVALX	Gotham Large Value	Pair Corr
0.95	GENIX	Gotham Enhanced Return	Pair Corr
0.95	GINDX	Gotham Index Plus	Pair Corr
0.95	GNNDX	Gotham Index Plus	Pair Corr
0.86	GARIX	Gotham Absolute Return	Pair Corr
0.97	GSPFX	Gotham Enhanced Sp	Pair Corr
0.83	NLSCX	Neuberger Berman Long	Pair Corr
0.85	NLSAX	Neuberger Berman Long	Pair Corr
0.82	NLSIX	Neuberger Berman Long	Pair Corr
0.92	QLERX	Aqr Long Short	Pair Corr
0.93	DHLSX	Diamond Hill Long	Pair Corr
0.93	DIAYX	Diamond Hill Long	Pair Corr
0.93	DIAMX	Diamond Hill Long	Pair Corr
0.97	ASLAX	Ab Select Longshort	Pair Corr
0.7	SMPSX	Semiconductor Ultrasector	Pair Corr
0.7	SMPIX	Semiconductor Ultrasector	Pair Corr
0.81	FELIX	Fidelity Advisor Sem	Pair Corr
0.85	ONERX	One Rock Fund	Pair Corr
0.85	RYVYX	Nasdaq 100 2x	Pair Corr
0.85	RYVLX	Nasdaq 100 2x	Pair Corr
0.81	FSELX	Fidelity Select Semi	Pair Corr
0.82	FNYAX	Franklin New York	Pair Corr
0.84	LGASX	Clearbridge Small Cap	Pair Corr
0.76	JGQIX	Jensen Global Quality	Pair Corr
0.83	PYGIX	Payden Global Fixed	Pair Corr
0.89	FOKPX	Oklahoma College Savings	Pair Corr
0.9	ADKSX	Adirondack Small Cap	Pair Corr
0.84	TILPX	Tiaa Cref Large	Pair Corr
0.82	JAFLX	Flexible Bond Portfolio	Pair Corr
0.96	MACFX	Mfs Servative Allocation	Pair Corr

Moving against Gotham Mutual Fund

0.56	GCHDX	Gotham Hedged E	Pair Corr
0.45	GDLFX	Gotham Defensive Long	Pair Corr
0.42	GEFPX	Gotham Enhanced 500	Pair Corr

Related Correlations Analysis

	STARX	HEQCX	RW	DFII	KMDNX	EQCHX	RMNY	GOPIX	FOVAX	RYFIX
STARX		0.74	-0.59	-0.13	0.92	0.92	0.92	0.94	-0.3	0.31	STARX
HEQCX	0.74		-0.52	-0.22	0.63	0.67	0.61	0.79	0.36	0.69	HEQCX
RW	-0.59	-0.52		0.42	-0.71	-0.63	-0.55	-0.65	0.19	-0.01	RW
DFII	-0.13	-0.22	0.42		-0.28	-0.16	-0.23	-0.24	0.05	0.1	DFII
KMDNX	0.92	0.63	-0.71	-0.28		0.96	0.95	0.94	-0.46	0.15	KMDNX
EQCHX	0.92	0.67	-0.63	-0.16	0.96		0.91	0.94	-0.41	0.27	EQCHX
RMNY	0.92	0.61	-0.55	-0.23	0.95	0.91		0.91	-0.45	0.18	RMNY
GOPIX	0.94	0.79	-0.65	-0.24	0.94	0.94	0.91		-0.24	0.42	GOPIX
FOVAX	-0.3	0.36	0.19	0.05	-0.46	-0.41	-0.45	-0.24		0.56	FOVAX
RYFIX	0.31	0.69	-0.01	0.1	0.15	0.27	0.18	0.42	0.56		RYFIX
	STARX	HEQCX	RW	DFII	KMDNX	EQCHX	RMNY	GOPIX	FOVAX	RYFIX

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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

EQCHX	+ 0.96	KMDNX
RMNY	+ 0.95	KMDNX
GOPIX	+ 0.94	STARX
GOPIX	+ 0.94	KMDNX
GOPIX	+ 0.94	EQCHX
KMDNX	+ 0.92	STARX

High negative correlations

KMDNX	- 0.71	RW
GOPIX	- 0.65	RW
EQCHX	- 0.63	RW
RW	- 0.59	STARX
RMNY	- 0.55	RW
RW	- 0.52	HEQCX

Risk-Adjusted Indicators

There is a big difference between Gotham Mutual Fund performing well and Gotham Total 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 Gotham Total'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
STARX	0.29	0.06	(0.03)	(0.34)	0.34	(0.34)	0.75	(0.43)	2.68
HEQCX	0.66	0.08	0.01	(0.41)	0.68	(0.82)	1.62	(1.05)	5.59
RW	0.50	(0.10)	0.00	(0.12)	0.00	0.00	0.91	(1.15)	2.88
DFII	1.58	(0.22)	0.00	(0.14)	0.00	0.00	2.44	(3.51)	8.26
KMDNX	0.03	0.01	0.00	(2.60)	0.00	0.00	0.10	0.00	0.20
EQCHX	0.74	0.08	0.06	0.15	0.86	(0.79)	1.74	(1.48)	4.54
RMNY	0.17	0.08	0.07	63.40	0.00	(0.23)	0.47	(0.34)	1.19
GOPIX	0.63	0.19	0.14	8.39	0.43	(0.80)	1.86	(1.41)	4.22
FOVAX	0.95	0.00	0.00	0.09	0.00	0.00	2.02	(1.54)	6.46
RYFIX	0.58	(0.09)	0.00	(0.03)	0.00	0.00	1.34	(1.01)	4.63

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