Floating Rate Correlations

LRRKX Fund

USD 8.10 0.01 0.12%

The current 90-days correlation between Floating Rate and John Hancock Financial is 0.26 (i.e., Modest diversification). The correlation of Floating Rate 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.

Floating Rate Correlation With Market

Weak diversification

The correlation between Floating Rate Fund and DJI is 0.35 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Floating Rate Fund 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 Floating Rate Fund. 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 industry.

Moving together with Floating Mutual Fund

0.97	ELMFX	Lord Abbett Trust	Pair Corr
0.97	ELMCX	Lord Abbett Trust	Pair Corr
0.95	LFSFX	Lord Abbett Focused	Pair Corr
1.0	LFRAX	Floating Rate	Pair Corr
1.0	LFRFX	Floating Rate	Pair Corr
1.0	LFRIX	Floating Rate	Pair Corr
1.0	LFRRX	Lord Abbett Inv	Pair Corr
1.0	LFROX	Lord Abbett Floating	Pair Corr
0.95	LFVAX	Lord Abbett Focused	Pair Corr
0.95	LFVCX	Lord Abbett Focused	Pair Corr
0.92	HYMQX	Lord Abbett Short	Pair Corr
0.97	LGCAX	Lord Abbett Global	Pair Corr
0.98	LGCFX	Lord Abbett Global	Pair Corr
0.97	LGCCX	Lord Abbett Global	Pair Corr
0.97	LGCRX	Lord Abbett Global	Pair Corr
0.98	LGCOX	Lord Abbett Global	Pair Corr
0.98	LGCVX	Lord Abbett Global	Pair Corr
0.97	LGCSX	Lord Abbett Global	Pair Corr
0.98	LGCYX	Lord Abbett Global	Pair Corr
0.98	LGCWX	Lord Abbett Global	Pair Corr
0.98	LGLCX	Lord Abbett Growth	Pair Corr
0.98	LGLAX	Lord Abbett Growth	Pair Corr
0.98	LGLFX	Lord Abbett Growth	Pair Corr
0.98	LGLIX	Lord Abbett Growth	Pair Corr
0.98	LGLOX	Lord Abbett Growth	Pair Corr
0.98	LGLSX	L Abbett Growth	Pair Corr
0.98	LGLQX	Lord Abbett Growth	Pair Corr
0.98	LGLRX	Lord Abbett Growth	Pair Corr
0.98	LGLUX	L Abbett Growth	Pair Corr
0.98	LGLVX	L Abbett Growth	Pair Corr
0.97	EMILX	Lord Abbett Emerging	Pair Corr
0.96	LGOFX	Lord Abbett Growth	Pair Corr
0.96	LGOQX	Lord Abbett Growth	Pair Corr
0.96	LGORX	Lord Abbett Growth	Pair Corr
0.96	LGOPX	Lord Abbett Growth	Pair Corr

Related Correlations Analysis

	BTO	FIDAX	GCFSX	FIKBX	XFINX	MSVIX	DVFYX
BTO		0.96	0.95	0.97	-0.31	0.95	0.95	BTO
FIDAX	0.96		0.96	0.99	-0.43	0.97	0.98	FIDAX
GCFSX	0.95	0.96		0.99	-0.52	0.99	0.99	GCFSX
FIKBX	0.97	0.99	0.99		-0.45	0.99	0.99	FIKBX
XFINX	-0.31	-0.43	-0.52	-0.45		-0.49	-0.48	XFINX
MSVIX	0.95	0.97	0.99	0.99	-0.49		0.99	MSVIX
DVFYX	0.95	0.98	0.99	0.99	-0.48	0.99		DVFYX
	BTO	FIDAX	GCFSX	FIKBX	XFINX	MSVIX	DVFYX

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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

FIKBX	+ 0.99	FIDAX
FIKBX	+ 0.99	GCFSX
MSVIX	+ 0.99	GCFSX
DVFYX	+ 0.99	GCFSX
MSVIX	+ 0.99	FIKBX
DVFYX	+ 0.99	FIKBX

High negative correlations

XFINX	- 0.52	GCFSX
MSVIX	- 0.49	XFINX
DVFYX	- 0.48	XFINX
XFINX	- 0.45	FIKBX
XFINX	- 0.43	FIDAX
XFINX	- 0.31	BTO

Risk-Adjusted Indicators

There is a big difference between Floating Mutual Fund performing well and Floating Rate 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 Floating Rate'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
BTO	0.91	0.19	0.14	0.37	0.88	(1.00)	2.27	(1.81)	6.26
FIDAX	0.72	0.08	0.07	0.22	0.73	(0.78)	1.86	(1.82)	5.18
GCFSX	0.65	0.19	0.17	0.41	0.35	(0.78)	1.94	(1.19)	3.94
FIKBX	0.80	0.12	0.11	0.25	0.71	(0.87)	2.01	(1.79)	5.93
XFINX	0.41	(0.03)	0.00	2.26	0.00	0.00	0.77	(1.41)	4.64
MSVIX	0.80	0.09	0.08	0.22	0.77	(0.93)	2.01	(1.73)	5.72
DVFYX	0.72	0.15	0.15	0.30	0.57	(0.82)	1.80	(1.32)	5.14

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