Lord Abbett Correlations

LMVYX Fund

USD 28.16 0.11 0.39%

The current 90-days correlation between Lord Abbett Micro and Perkins Select Value is 0.95 (i.e., Almost no 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

Poor diversification

The correlation between Lord Abbett Micro Cap and DJI is 0.77 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Lord Abbett Micro Cap 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 Micro Cap. 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 population.

Moving together with Lord Mutual Fund

1.0	LFSFX	Lord Abbett Focused	Pair Corr
0.99	LRSCX	Small Cap Value	Pair Corr
0.99	LRSOX	Lord Abbett Small	Pair Corr

Moving against Lord Mutual Fund

0.54	LHCCX	Lord Abbett Health Steady Growth	Pair Corr
0.47	LFRRX	Lord Abbett Inv	Pair Corr
0.45	LFROX	Lord Abbett Floating	Pair Corr
0.44	LOCFX	Lord Abbett Convertible	Pair Corr
0.44	LACFX	Lord Abbett Vertible	Pair Corr
0.42	ELMFX	Lord Abbett Trust	Pair Corr
0.42	LICSX	Lord Abbett Intl	Pair Corr
0.42	LOISX	Lord Abbett Intermediate	Pair Corr
0.42	LRRKX	Floating Rate	Pair Corr
0.41	ELMCX	Lord Abbett Trust	Pair Corr
0.41	LAIIX	Lord Abbett Intermediate	Pair Corr
0.38	LRAGX	Lord Abbett International	Pair Corr
0.36	LALDX	Lord Abbett Short	Pair Corr
0.31	LMIYX	Lord Abbett Micro	Pair Corr
0.5	LUSNX	Lord Abbett Ultra	Pair Corr
0.44	LBCQX	Lord Abbett Vertible	Pair Corr
0.44	LCFTX	Lord Abbett Vertible	Pair Corr
0.43	LCFYX	Lord Abbett Convertible	Pair Corr
0.4	CALAX	Lord Abbett California	Pair Corr
0.37	LCDIX	Lord Abbett Emerging	Pair Corr
0.37	LDLAX	Lord Abbett Short	Pair Corr
0.36	LDLVX	Lord Abbett Short	Pair Corr
0.32	LDLRX	Lord Abbett Short	Pair Corr
0.31	LDLKX	Lord Abbett Short	Pair Corr

Related Correlations Analysis

	JVSAX	JVSNX	JSVSX	JVSCX	TAAGX	ETIEX	DEVDX	USBNX	CHASX	VGI
JVSAX		1.0	1.0	1.0	-0.43	-0.26	-0.42	0.91	-0.42	-0.09	JVSAX
JVSNX	1.0		1.0	1.0	-0.42	-0.25	-0.41	0.9	-0.41	-0.09	JVSNX
JSVSX	1.0	1.0		1.0	-0.43	-0.26	-0.42	0.91	-0.42	-0.09	JSVSX
JVSCX	1.0	1.0	1.0		-0.46	-0.29	-0.45	0.92	-0.45	-0.11	JVSCX
TAAGX	-0.43	-0.42	-0.43	-0.46		0.92	0.84	-0.51	0.95	0.55	TAAGX
ETIEX	-0.26	-0.25	-0.26	-0.29	0.92		0.66	-0.31	0.9	0.64	ETIEX
DEVDX	-0.42	-0.41	-0.42	-0.45	0.84	0.66		-0.55	0.77	0.38	DEVDX
USBNX	0.91	0.9	0.91	0.92	-0.51	-0.31	-0.55		-0.53	-0.02	USBNX
CHASX	-0.42	-0.41	-0.42	-0.45	0.95	0.9	0.77	-0.53		0.5	CHASX
VGI	-0.09	-0.09	-0.09	-0.11	0.55	0.64	0.38	-0.02	0.5		VGI
	JVSAX	JVSNX	JSVSX	JVSCX	TAAGX	ETIEX	DEVDX	USBNX	CHASX	VGI

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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

JVSNX	+ 1.0	JVSAX
JSVSX	+ 1.0	JVSAX
JVSCX	+ 1.0	JVSAX
JSVSX	+ 1.0	JVSNX
JVSCX	+ 1.0	JVSNX
JVSCX	+ 1.0	JSVSX

High negative correlations

USBNX	- 0.55	DEVDX
CHASX	- 0.53	USBNX
USBNX	- 0.51	TAAGX
TAAGX	- 0.46	JVSCX
CHASX	- 0.45	JVSCX
DEVDX	- 0.45	JVSCX

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
JVSAX	0.76	(0.12)	0.00	(0.04)	0.00	0.00	1.69	(1.32)	5.95
JVSNX	0.76	(0.12)	0.00	(0.03)	0.00	0.00	1.68	(1.31)	5.95
JSVSX	0.76	(0.12)	0.00	(0.03)	0.00	0.00	1.71	(1.33)	5.93
JVSCX	0.75	(0.12)	0.00	(0.04)	0.00	0.00	1.73	(1.33)	5.90
TAAGX	0.90	0.05	0.05	0.11	1.00	(1.05)	1.91	(1.87)	5.30
ETIEX	1.04	0.00	0.01	0.06	1.42	(1.11)	2.26	(2.01)	7.53
DEVDX	0.30	0.03	(0.08)	0.17	0.14	(0.41)	0.70	(0.54)	1.96
USBNX	0.67	(0.11)	0.00	(0.04)	0.00	0.00	1.52	(1.45)	6.13
CHASX	0.75	0.03	0.03	0.10	0.92	(0.83)	1.79	(1.49)	5.21
VGI	0.31	0.01	(0.10)	0.10	0.40	(0.34)	0.65	(0.64)	2.31

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