Lord Abbett Correlations

LAIIX Fund

USD 10.33 0.01 0.1%

The current 90-days correlation between Lord Abbett Intermediate and Lord Abbett Trust is 0.1 (i.e., Average diversification). The correlation of Lord Abbett 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.

Lord Abbett Correlation With Market

Significant diversification

The correlation between Lord Abbett Intermediate and DJI is 0.07 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Lord Abbett Intermediate and DJI in the same portfolio, assuming nothing else is changed.

Check out Correlation Analysis to better understand how to build diversified portfolios, which includes a position in Lord Abbett Intermediate. 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 gross domestic product.

Moving together with Lord Mutual Fund

0.94	ELMFX	Lord Abbett Trust	Pair Corr
0.94	ELMCX	Lord Abbett Trust	Pair Corr
0.8	LFRFX	Floating Rate	Pair Corr
0.83	LFRRX	Lord Abbett Inv	Pair Corr
0.83	LFROX	Lord Abbett Floating	Pair Corr
0.99	HYMIX	Lord Abbett High	Pair Corr
0.71	LGCAX	Lord Abbett Global	Pair Corr
0.72	LGCFX	Lord Abbett Global	Pair Corr
0.71	LGCRX	Lord Abbett Global	Pair Corr
0.72	LGCVX	Lord Abbett Global	Pair Corr
0.72	LGCYX	Lord Abbett Global	Pair Corr
0.72	LGLSX	L Abbett Growth	Pair Corr
0.73	LGLVX	L Abbett Growth	Pair Corr
0.82	LHCCX	Lord Abbett Health Steady Growth	Pair Corr
0.8	LHYVX	Lord Abbett High	Pair Corr
0.82	LICSX	Lord Abbett Intl	Pair Corr
0.96	LIGFX	Lord Abbett Diversified	Pair Corr
0.95	LIGQX	Lord Abbett Diversified	Pair Corr
0.65	LIFAX	Lord Abbett Inflation	Pair Corr
0.64	LIFRX	Lord Abbett Inflation	Pair Corr
0.92	LLDYX	Lord Abbett Short	Pair Corr
0.84	LMIYX	Lord Abbett Micro	Pair Corr
0.91	LOCFX	Lord Abbett Convertible	Pair Corr
1.0	LOISX	Lord Abbett Intermediate	Pair Corr
0.92	LOLDX	Lord Abbett Short	Pair Corr
1.0	LONSX	Lord Abbett National	Pair Corr
0.9	LRAGX	Lord Abbett International	Pair Corr
0.81	LRRKX	Floating Rate	Pair Corr
0.91	LACFX	Lord Abbett Vertible	Pair Corr
0.88	LADVX	Lord Abbett Developing	Pair Corr
0.88	LAGWX	Lord Abbett Developing	Pair Corr
0.92	LALDX	Lord Abbett Short	Pair Corr
0.9	LAMPX	Lord Abbett Calibrated	Pair Corr
0.94	LAURX	Lord Abbett Income	Pair Corr

Moving against Lord Mutual Fund

0.41	LFSFX	Lord Abbett Focused	Pair Corr
0.41	LMVYX	Lord Abbett Micro	Pair Corr
0.38	LRSCX	Small Cap Value	Pair Corr
0.36	LRSOX	Lord Abbett Small	Pair Corr

Related Correlations Analysis

	ELMFX	ELMCX	LFSFX	LFRAX	LFRFX	LFRIX	LFRRX	LFROX	LFVAX	LFVCX
ELMFX		1.0	-0.42	0.8	0.82	0.83	0.84	0.83	-0.43	-0.45	ELMFX
ELMCX	1.0		-0.41	0.8	0.81	0.82	0.84	0.82	-0.42	-0.44	ELMCX
LFSFX	-0.42	-0.41		-0.43	-0.49	-0.5	-0.47	-0.45	1.0	1.0	LFSFX
LFRAX	0.8	0.8	-0.43		0.99	0.99	0.99	0.99	-0.44	-0.46	LFRAX
LFRFX	0.82	0.81	-0.49	0.99		1.0	0.99	0.99	-0.5	-0.51	LFRFX
LFRIX	0.83	0.82	-0.5	0.99	1.0		0.99	0.99	-0.51	-0.53	LFRIX
LFRRX	0.84	0.84	-0.47	0.99	0.99	0.99		0.99	-0.48	-0.5	LFRRX
LFROX	0.83	0.82	-0.45	0.99	0.99	0.99	0.99		-0.45	-0.47	LFROX
LFVAX	-0.43	-0.42	1.0	-0.44	-0.5	-0.51	-0.48	-0.45		1.0	LFVAX
LFVCX	-0.45	-0.44	1.0	-0.46	-0.51	-0.53	-0.5	-0.47	1.0		LFVCX
	ELMFX	ELMCX	LFSFX	LFRAX	LFRFX	LFRIX	LFRRX	LFROX	LFVAX	LFVCX

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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

ELMCX	+ 1.0	ELMFX
LFVAX	+ 1.0	LFSFX
LFVCX	+ 1.0	LFSFX
LFRIX	+ 1.0	LFRFX
LFVCX	+ 1.0	LFVAX
LFRFX	+ 0.99	LFRAX

High negative correlations

LFVCX	- 0.53	LFRIX
LFVAX	- 0.51	LFRIX
LFVCX	- 0.51	LFRFX
LFVCX	- 0.5	LFRRX
LFVAX	- 0.5	LFRFX
LFRIX	- 0.5	LFSFX

Risk-Adjusted Indicators

There is a big difference between Lord Mutual Fund performing well and Lord Abbett 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 Lord Abbett'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
ELMFX	0.73	0.06	0.05	0.14	0.88	(0.80)	1.60	(1.06)	5.64
ELMCX	0.73	0.06	0.05	0.14	0.87	(0.78)	1.58	(1.02)	5.72
LFSFX	0.79	(0.14)	0.00	(0.04)	0.00	0.00	1.92	(1.55)	7.39
LFRAX	0.07	0.01	(0.34)	0.34	0.00	(0.29)	0.13	(0.12)	0.88
LFRFX	0.07	0.01	(0.31)	0.40	0.00	(0.30)	0.13	(0.12)	0.88
LFRIX	0.06	0.01	0.00	0.46	0.00	0.00	0.13	(0.12)	0.88
LFRRX	0.06	0.01	0.00	0.52	0.00	0.00	0.13	(0.12)	0.88
LFROX	0.08	0.01	(0.34)	0.55	0.00	(0.27)	0.13	(0.13)	1.00
LFVAX	0.80	(0.14)	0.00	(0.04)	0.00	0.00	1.93	(1.54)	7.44
LFVCX	0.80	(0.14)	0.00	(0.04)	0.00	0.00	1.92	(1.55)	7.44

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