The Arbitrage Correlations
| ARBFX Fund | USD 13.04 0.02 0.15% |
The current 90-days correlation between The Arbitrage and The Merger Fund is 0.79 (i.e., Poor diversification). The correlation of The Arbitrage 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.
The Arbitrage Correlation With Market
Very weak diversification
The correlation between The Arbitrage Fund and DJI is 0.55 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding The Arbitrage Fund and DJI in the same portfolio, assuming nothing else is changed.
The |
Moving together with The Mutual Fund
| 1.0 | ARBNX | The Arbitrage | PairCorr |
| 1.0 | ARBCX | The Arbitrage | PairCorr |
| 1.0 | ARGAX | The Arbitrage | PairCorr |
| 0.89 | AEDNX | Arbitrage Event | PairCorr |
| 0.88 | AEDFX | Arbitrage Event | PairCorr |
| 0.88 | AGEAX | Arbitrage Event | PairCorr |
| 0.86 | MERIX | Merger Fund | PairCorr |
| 0.83 | MERFX | Merger Fund | PairCorr |
| 0.61 | VARAX | Vivaldi Merger Arbitrage | PairCorr |
| 0.62 | VARBX | Vivaldi Merger Arbitrage | PairCorr |
| 0.71 | VFIAX | Vanguard 500 Index | PairCorr |
| 0.71 | VIIIX | Vanguard Institutional | PairCorr |
| 0.75 | SRORX | Calamos Antetokounmpo | PairCorr |
| 0.64 | VEXRX | Vanguard Explorer | PairCorr |
| 0.62 | PFN | Pimco Income Strategy | PairCorr |
| 0.76 | FAIGX | Fidelity Advisor Balanced | PairCorr |
| 0.7 | VWELX | Vanguard Wellington | PairCorr |
| 0.7 | ILESX | Fisher Investments | PairCorr |
Moving against The Mutual Fund
Related Correlations Analysis
| 0.45 | -0.19 | 0.43 | 0.5 | MERFX | ||
| 0.45 | -0.51 | 0.96 | -0.12 | CVSIX | ||
| -0.19 | -0.51 | -0.65 | -0.09 | HSGFX | ||
| 0.43 | 0.96 | -0.65 | -0.1 | GATEX | ||
| 0.5 | -0.12 | -0.09 | -0.1 | DIAMX | ||
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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
| High negative correlations
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Risk-Adjusted Indicators
There is a big difference between The Mutual Fund performing well and The Arbitrage 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 The Arbitrage'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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| MERFX | 0.14 | (0.02) | (0.60) | (0.07) | 0.18 | 0.29 | 0.86 | |||
| CVSIX | 0.08 | 0.01 | (0.96) | 0.23 | 0.00 | 0.20 | 0.53 | |||
| HSGFX | 0.50 | 0.07 | 0.00 | 0.02 | 0.00 | 0.89 | 5.72 | |||
| GATEX | 0.32 | 0.01 | (0.11) | 0.15 | 0.31 | 0.74 | 2.50 | |||
| DIAMX | 0.34 | (0.07) | 0.00 | (0.05) | 0.00 | 0.73 | 2.23 |