Quantitative Correlations

GTLSX Fund

USD 14.71 0.01 0.07%

The current 90-days correlation between Quantitative Longshort and Glenmede International Secured is 0.17 (i.e., Average diversification). The correlation of Quantitative 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.

Quantitative Correlation With Market

Poor diversification

The correlation between Quantitative Longshort Equity and DJI is 0.63 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Quantitative Longshort Equity 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 Quantitative Longshort Equity. 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 state.

Moving together with Quantitative Mutual Fund

0.73	NOVIX	Glenmede International	Pair Corr
0.76	GEQIX	Equity Income Portfolio	Pair Corr
0.86	GWILX	Woman In Leadership	Pair Corr
0.85	RESGX	Responsible Esg Equity	Pair Corr
0.87	GLSOX	Secured Options Portfolio	Pair Corr
0.86	GQLVX	Quantitative U S	Pair Corr
0.87	GQSCX	Quantitative U S	Pair Corr
1.0	GTAPX	Long/short Portfolio	Pair Corr
0.9	GTCEX	Strategic Equity Por	Pair Corr
0.86	GTCSX	Small Cap Equity	Pair Corr
0.81	GTILX	Large Cap Growth	Pair Corr
0.86	GTLIX	Large Cap Core	Pair Corr
0.81	GTLLX	Large Cap Growth	Pair Corr
0.86	GTLOX	Large Cap E	Pair Corr
0.87	GTSOX	Secured Options Portfolio	Pair Corr
0.91	GTSCX	Small Cap Equity	Pair Corr
0.94	GTTMX	Total Market Portfolio	Pair Corr
0.81	NLSCX	Neuberger Berman Long	Pair Corr
0.82	NLSAX	Neuberger Berman Long	Pair Corr
0.8	NLSIX	Neuberger Berman Long	Pair Corr
0.89	QLERX	Aqr Long Short	Pair Corr
0.81	ASLAX	Ab Select Longshort	Pair Corr
0.88	LSHUX	Horizon Spin Off Steady Growth	Pair Corr
0.89	LSHEX	Kinetics Spin Off Steady Growth	Pair Corr
0.89	LSHCX	Horizon Spin Off Steady Growth	Pair Corr
0.89	WWNPX	Kinetics Paradigm Steady Growth	Pair Corr
0.89	KNPCX	Kinetics Paradigm Steady Growth	Pair Corr
0.9	OSPPX	Oppenheimer Steelpath Mlp	Pair Corr
0.9	SPMPX	Invesco Steelpath Mlp	Pair Corr
0.88	LSHAX	Horizon Spin Off Steady Growth	Pair Corr
0.9	SPMJX	Invesco Steelpath Mlp	Pair Corr
0.89	KNPYX	Kinetics Paradigm Steady Growth	Pair Corr
0.61	BGRFX	Baron Growth	Pair Corr

Moving against Quantitative Mutual Fund

0.7	GTCIX	International Portfolio	Pair Corr
0.33	DIAMX	Diamond Hill Long	Pair Corr
0.31	DHLSX	Diamond Hill Long	Pair Corr

Related Correlations Analysis

	NOVIX	GEQIX	GWILX	RESGX	GLSOX	GQLVX	GQSCX	GTAPX	GTCEX	GTCIX
NOVIX		0.9	0.92	0.88	0.89	0.89	0.73	0.73	0.83	-0.57	NOVIX
GEQIX	0.9		0.96	0.94	0.91	0.95	0.83	0.76	0.93	-0.66	GEQIX
GWILX	0.92	0.96		0.99	0.93	0.98	0.89	0.86	0.95	-0.64	GWILX
RESGX	0.88	0.94	0.99		0.89	0.99	0.93	0.85	0.95	-0.57	RESGX
GLSOX	0.89	0.91	0.93	0.89		0.9	0.78	0.87	0.93	-0.77	GLSOX
GQLVX	0.89	0.95	0.98	0.99	0.9		0.92	0.86	0.93	-0.56	GQLVX
GQSCX	0.73	0.83	0.89	0.93	0.78	0.92		0.87	0.9	-0.46	GQSCX
GTAPX	0.73	0.76	0.86	0.85	0.87	0.86	0.87		0.9	-0.7	GTAPX
GTCEX	0.83	0.93	0.95	0.95	0.93	0.93	0.9	0.9		-0.73	GTCEX
GTCIX	-0.57	-0.66	-0.64	-0.57	-0.77	-0.56	-0.46	-0.7	-0.73		GTCIX
	NOVIX	GEQIX	GWILX	RESGX	GLSOX	GQLVX	GQSCX	GTAPX	GTCEX	GTCIX

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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

RESGX	+ 0.99	GWILX
GQLVX	+ 0.99	RESGX
GQLVX	+ 0.98	GWILX
GWILX	+ 0.96	GEQIX
GQLVX	+ 0.95	GEQIX
GTCEX	+ 0.95	GWILX

High negative correlations

GTCIX	- 0.77	GLSOX
GTCIX	- 0.73	GTCEX
GTCIX	- 0.7	GTAPX
GTCIX	- 0.66	GEQIX
GTCIX	- 0.64	GWILX
GTCIX	- 0.57	RESGX

Risk-Adjusted Indicators

There is a big difference between Quantitative Mutual Fund performing well and Quantitative 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 Quantitative'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
NOVIX	0.24	0.04	(0.20)	(4.84)	0.15	(0.33)	0.54	(0.52)	1.23
GEQIX	0.51	0.00	(0.05)	0.12	0.39	(0.59)	1.01	(0.83)	3.25
GWILX	0.58	0.01	0.00	0.13	0.51	(0.64)	1.27	(1.02)	3.91
RESGX	0.60	(0.02)	(0.04)	0.10	0.61	(0.62)	1.40	(1.16)	3.59
GLSOX	0.12	0.06	(0.24)	3.85	0.00	(0.18)	0.40	(0.13)	1.13
GQLVX	0.58	0.00	(0.03)	0.12	0.43	(0.70)	1.27	(0.86)	3.59
GQSCX	0.98	(0.09)	(0.03)	0.06	0.96	(1.13)	2.09	(1.57)	7.69
GTAPX	0.30	0.01	(0.17)	0.14	0.22	(0.36)	0.71	(0.50)	2.45
GTCEX	0.50	0.00	(0.03)	0.11	0.47	(0.55)	0.91	(1.16)	4.58
GTCIX	0.50	(0.09)	0.00	(0.67)	0.00	0.00	1.09	(0.98)	2.99

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