Litman Gregory Correlations

MASFX Fund

USD 5.48 0.00 0.00%

The current 90-days correlation between Litman Gregory Masters and Aqr Managed Futures is 0.01 (i.e., Significant diversification). The correlation of Litman Gregory 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.

Litman Gregory Correlation With Market

Good diversification

The correlation between Litman Gregory Masters and DJI is -0.02 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Litman Gregory Masters 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 Litman Gregory Masters. 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 census.

Moving against Litman Mutual Fund

0.84	MSILX	Litman Gregory Masters	Pair Corr
0.83	MSEFX	Litman Gregory Masters	Pair Corr
0.82	QSPRX	Aqr Style Premia	Pair Corr
0.81	BXMDX	Blackstone Alternative	Pair Corr
0.8	MAHIX	Litman Gregory Masters	Pair Corr
0.8	BXMYX	Blackstone Alternative	Pair Corr
0.8	BXMIX	Blackstone Alternative	Pair Corr
0.8	GARTX	Goldman Sachs Absolute	Pair Corr
0.8	GCRTX	Goldman Sachs Absolute	Pair Corr
0.75	IDMIX	Im Dolan Mceniry	Pair Corr
0.74	PFSVX	Imgp Sbh Focused	Pair Corr
0.68	MGGYX	Mirova Global Green	Pair Corr
0.48	BKMBX	Blackrock Systematic	Pair Corr
0.45	BIMBX	Blackrock Alternative	Pair Corr
0.41	BAMBX	Blackrock Alternative	Pair Corr
0.33	BMBCX	Blackrock Alternative	Pair Corr
0.83	JLGRX	Jpmorgan Large Cap	Pair Corr
0.81	HLDIX	Hartford Emerging	Pair Corr
0.81	HLDTX	Hartford Emerging	Pair Corr
0.8	HLDAX	Hartford Emerging	Pair Corr
0.8	HLDCX	Hartford Emerging	Pair Corr
0.8	MCKNX	Mainstay Conservative	Pair Corr
0.79	JAVAX	James Aggressive All	Pair Corr
0.69	LLDYX	Lord Abbett Short	Pair Corr
0.65	AMECX	Income Fund	Pair Corr
0.63	LITAX	Columbia Amt Free	Pair Corr
0.6	JILMX	Multimanager Lifestyle	Pair Corr
0.6	AMFCX	American Mutual	Pair Corr
0.57	LAGIX	Ladenburg Aggressive	Pair Corr
0.45	WAPAX	Western Asset E	Pair Corr
0.43	IVMXX	Voya Government Money	Pair Corr
0.31	FUSRX	Franklin Government	Pair Corr
0.82	INDZX	Columbia Diversified	Pair Corr
0.82	TRFHX	T Rowe Price	Pair Corr

Related Correlations Analysis

	MASFX	AQMNX	BPRRX	ARTGX	ARBFX
MASFX		-0.42	-0.86	-0.84	-0.73	MASFX
AQMNX	-0.42		0.27	0.26	0.27	AQMNX
BPRRX	-0.86	0.27		0.99	0.92	BPRRX
ARTGX	-0.84	0.26	0.99		0.92	ARTGX
ARBFX	-0.73	0.27	0.92	0.92		ARBFX
	MASFX	AQMNX	BPRRX	ARTGX	ARBFX

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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

ARTGX	+ 0.99	BPRRX
ARBFX	+ 0.92	BPRRX
ARBFX	+ 0.92	ARTGX
BPRRX	+ 0.27	AQMNX
ARBFX	+ 0.27	AQMNX
ARTGX	+ 0.26	AQMNX

High negative correlations

BPRRX	- 0.86	MASFX
ARTGX	- 0.84	MASFX
ARBFX	- 0.73	MASFX
AQMNX	- 0.42	MASFX

Risk-Adjusted Indicators

There is a big difference between Litman Mutual Fund performing well and Litman Gregory 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 Litman Gregory'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
MASFX	1.45	(0.71)	0.00	4.65	0.00	0.00	0.18	(0.09)	48.78
AQMNX	0.38	0.03	(0.14)	(0.81)	0.65	(0.35)	0.59	(0.92)	2.90
BPRRX	0.37	0.11	(0.06)	(1.80)	0.26	(0.42)	0.82	(0.63)	2.33
ARTGX	0.48	0.14	0.00	(1.95)	0.34	(0.58)	1.30	(0.92)	3.22
ARBFX	0.10	0.04	(0.88)	(4.92)	0.00	(0.16)	0.30	(0.15)	0.61

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