Grant Park Correlations

GPAAX Fund

USD 10.60 0.03 0.28%

The current 90-days correlation between Grant Park Multi and Grant Park Multi is 0.99 (i.e., No risk reduction). The correlation of Grant Park 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.

Grant Park Correlation With Market

Weak diversification

The correlation between Grant Park Multi and DJI is 0.34 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Grant Park Multi and DJI in the same portfolio, assuming nothing else is changed.

Check out Risk vs Return Analysis to better understand how to build diversified portfolios, which includes a position in Grant Park Multi. 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 nation.

Moving together with Grant Mutual Fund

1.0	GPACX	Grant Park Multi	Pair Corr
1.0	GPAIX	Grant Park Multi	Pair Corr
1.0	GPANX	Grant Park Multi	Pair Corr
0.74	PQTAX	Pimco Trends Managed	Pair Corr
0.74	PQTNX	Pimco Trends Managed	Pair Corr
0.64	AHLPX	American Beacon Ahl	Pair Corr
0.94	AMFNX	Asg Managed Futures	Pair Corr
0.88	ABYCX	Abbey Capital Futures	Pair Corr
0.83	ABYAX	Abbey Capital Futures	Pair Corr
0.8	ABYIX	Abbey Capital Futures	Pair Corr
0.94	AMFAX	Asg Managed Futures	Pair Corr
0.95	ASFYX	Asg Managed Futures	Pair Corr
0.9	PFHCX	Pacific Funds Small	Pair Corr
0.74	VEMBX	Vanguard Emerging Markets	Pair Corr
0.67	KO	Coca Cola Fiscal Year End 11th of February 2025	Pair Corr
0.75	MRK	Merck Company Fiscal Year End 6th of February 2025	Pair Corr

Moving against Grant Mutual Fund

0.49	ACP	Aberdeen Income Credit	Pair Corr
0.48	ELFNX	Elfun Trusts Elfun	Pair Corr
0.65	CSCO	Cisco Systems	Pair Corr
0.63	AA	Alcoa Corp Fiscal Year End 15th of January 2025	Pair Corr
0.57	BAC	Bank of America Fiscal Year End 10th of January 2025	Pair Corr
0.56	HPQ	HP Inc	Pair Corr
0.52	TRV	The Travelers Companies Fiscal Year End 17th of January 2025	Pair Corr
0.43	CAT	Caterpillar Sell-off Trend	Pair Corr
0.42	AXP	American Express Fiscal Year End 24th of January 2025	Pair Corr
0.36	T	ATT Inc Fiscal Year End 22nd of January 2025	Pair Corr
0.33	HD	Home Depot	Pair Corr

Related Correlations Analysis

	GPAAX	GPAIX	GPANX	VFINX	TNHIX	VWNEX	FTRNX	VEXRX	RNGHX	FMAGX
GPAAX		1.0	1.0	-0.48	-0.05	-0.42	-0.5	-0.35	-0.5	-0.55	GPAAX
GPAIX	1.0		1.0	-0.48	-0.04	-0.42	-0.5	-0.34	-0.5	-0.55	GPAIX
GPANX	1.0	1.0		-0.48	-0.05	-0.42	-0.5	-0.35	-0.5	-0.55	GPANX
VFINX	-0.48	-0.48	-0.48		0.84	0.93	0.99	0.94	0.94	0.86	VFINX
TNHIX	-0.05	-0.04	-0.05	0.84		0.76	0.84	0.84	0.74	0.54	TNHIX
VWNEX	-0.42	-0.42	-0.42	0.93	0.76		0.9	0.97	0.81	0.88	VWNEX
FTRNX	-0.5	-0.5	-0.5	0.99	0.84	0.9		0.92	0.92	0.83	FTRNX
VEXRX	-0.35	-0.34	-0.35	0.94	0.84	0.97	0.92		0.84	0.85	VEXRX
RNGHX	-0.5	-0.5	-0.5	0.94	0.74	0.81	0.92	0.84		0.83	RNGHX
FMAGX	-0.55	-0.55	-0.55	0.86	0.54	0.88	0.83	0.85	0.83		FMAGX
	GPAAX	GPAIX	GPANX	VFINX	TNHIX	VWNEX	FTRNX	VEXRX	RNGHX	FMAGX

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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

GPAIX	+ 1.0	GPAAX
GPANX	+ 1.0	GPAAX
GPANX	+ 1.0	GPAIX
FTRNX	+ 0.99	VFINX
VEXRX	+ 0.97	VWNEX
VEXRX	+ 0.94	VFINX

High negative correlations

FMAGX	- 0.55	GPANX
FMAGX	- 0.55	GPAIX
FMAGX	- 0.55	GPAAX
RNGHX	- 0.5	GPANX
FTRNX	- 0.5	GPANX
RNGHX	- 0.5	GPAIX

Risk-Adjusted Indicators

There is a big difference between Grant Mutual Fund performing well and Grant Park 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 Grant Park'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
GPAAX	0.36	(0.06)	0.00	(0.16)	0.00	0.00	0.67	(0.86)	2.31
GPAIX	0.36	(0.05)	0.00	(0.17)	0.00	0.00	0.65	(0.84)	2.28
GPANX	0.35	(0.06)	0.00	(0.16)	0.00	0.00	0.66	(0.85)	2.31
VFINX	0.47	0.05	0.04	0.16	0.43	(0.50)	0.97	(0.93)	3.84
TNHIX	0.09	0.01	(0.43)	0.29	0.00	(0.16)	0.24	(0.23)	0.59
VWNEX	0.53	(0.01)	(0.05)	0.07	0.36	(0.70)	1.07	(0.68)	3.84
FTRNX	0.83	0.17	0.15	0.26	0.88	(0.93)	2.14	(1.55)	6.40
VEXRX	0.70	0.01	0.03	0.10	0.70	(0.75)	1.60	(1.27)	5.78
RNGHX	0.60	0.05	0.04	0.16	0.68	(0.65)	1.40	(1.15)	4.01
FMAGX	0.63	(0.02)	(0.03)	0.07	0.88	(0.62)	1.38	(1.48)	5.39

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