Catalyst/millburn Correlations

MBXFX Fund

USD 38.44 0.04 0.10%

The current 90-days correlation between Catalystmillburn Hedge and Blackrock Exchange Portfolio is 0.62 (i.e., Poor diversification). The correlation of Catalyst/millburn 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.

Catalyst/millburn Correlation With Market

Poor diversification

The correlation between Catalystmillburn Hedge Strateg and DJI is 0.68 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Catalystmillburn Hedge Strateg 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 Catalystmillburn Hedge Strategy. 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 together with Catalyst/millburn Mutual Fund

0.87	HIICX	Catalystsmh High Income	Pair Corr
0.87	HIIFX	Catalystsmh High Income	Pair Corr
0.88	HIIIX	Catalystsmh High Income	Pair Corr
0.94	MLXCX	Catalyst Mlp Infrast	Pair Corr
0.94	MLXAX	Catalyst Mlp Infrast	Pair Corr
0.94	MLXIX	Catalyst Mlp Infrast	Pair Corr
0.92	CFRIX	Catalyst/princeton	Pair Corr
0.81	CFRFX	Catalyst/cifc Floating	Pair Corr
0.92	CFRCX	Catalyst/princeton	Pair Corr
0.92	CFRAX	Catalyst/princeton	Pair Corr
0.87	INSAX	Catalyst Insider Buying	Pair Corr
0.86	INSCX	Catalyst Insider Buying	Pair Corr
0.87	INSIX	Catalyst Insider Buying	Pair Corr
0.86	SHIIX	Catalyst/exceed Defined	Pair Corr
0.86	SHIEX	Catalyst/exceed Defined	Pair Corr
0.85	SHINX	Catalyst/exceed Defined	Pair Corr
0.83	CLPCX	Catalyst Exceed Defined	Pair Corr
0.84	CLPAX	Catalyst Exceed Defined	Pair Corr
0.84	CLPFX	Catalyst Exceed Defined	Pair Corr
0.76	CLTIX	Catalystlyons Tactical	Pair Corr
0.75	CLTCX	Catalystlyons Tactical	Pair Corr
0.76	CLTAX	Catalystlyons Tactical	Pair Corr
1.0	MBXAX	Catalystmillburn Hedge	Pair Corr
1.0	MBXCX	Catalystmillburn Hedge	Pair Corr
1.0	MBXIX	Catalystmillburn Hedge	Pair Corr
0.91	CPECX	Catalyst Dynamic Alpha	Pair Corr
0.92	CPEAX	Catalyst Dynamic Alpha	Pair Corr
0.92	CPEIX	Catalyst Dynamic Alpha	Pair Corr

Moving against Catalyst/millburn Mutual Fund

0.62	CWXCX	Catalystwarrington	Pair Corr
0.57	ATRCX	Catalyst Intelligent	Pair Corr
0.55	ATRFX	Catalyst Intelligent	Pair Corr
0.55	ATRAX	Catalyst Intelligent	Pair Corr
0.9	EIXCX	Catalyst Enhanced Income	Pair Corr
0.89	EIXAX	Catalyst Enhanced Income	Pair Corr
0.89	EIXIX	Catalyst Enhanced Income	Pair Corr
0.42	TRXCX	Catalyst/map Global	Pair Corr
0.32	TRXAX	Catalyst/map Global	Pair Corr

Related Correlations Analysis

	STSEX	JNMXX	WFNXX	JHMXX	FODXX	ICAXX	GMBXX	ELMXX
STSEX		0.1	0.1	0.0	0.1	0.0	0.1	0.0	STSEX
JNMXX	0.1		0.97	0.0	1.0	0.0	0.97	0.0	JNMXX
WFNXX	0.1	0.97		0.0	0.97	0.0	1.0	0.0	WFNXX
JHMXX	0.0	0.0	0.0		0.0	0.0	0.0	0.0	JHMXX
FODXX	0.1	1.0	0.97	0.0		0.0	0.97	0.0	FODXX
ICAXX	0.0	0.0	0.0	0.0	0.0		0.0	0.0	ICAXX
GMBXX	0.1	0.97	1.0	0.0	0.97	0.0		0.0	GMBXX
ELMXX	0.0	0.0	0.0	0.0	0.0	0.0	0.0		ELMXX
	STSEX	JNMXX	WFNXX	JHMXX	FODXX	ICAXX	GMBXX	ELMXX

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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

FODXX	+ 1.0	JNMXX
GMBXX	+ 1.0	WFNXX
WFNXX	+ 0.97	JNMXX
GMBXX	+ 0.97	JNMXX
FODXX	+ 0.97	WFNXX
GMBXX	+ 0.97	FODXX

High negative correlations

ELMXX	- 0.0	GMBXX
ELMXX	- 0.0	ICAXX
GMBXX	- 0.0	ICAXX
ELMXX	- 0.0	FODXX
ICAXX	- 0.0	FODXX
ELMXX	- 0.0	JHMXX

Risk-Adjusted Indicators

There is a big difference between Catalyst/millburn Mutual Fund performing well and Catalyst/millburn 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 Catalyst/millburn'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
STSEX	0.51	(0.06)	(0.12)	0.05	0.70	(0.53)	0.95	(1.10)	3.90
JNMXX	0.03	0.01	0.00	(2.04)	0.00	0.00	0.00	0.00	1.01
WFNXX	0.03	0.00	0.00	1.06	0.00	0.00	0.00	0.00	1.01
JHMXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
FODXX	0.03	0.01	0.00	(2.04)	0.00	0.00	0.00	0.00	1.01
ICAXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
GMBXX	0.03	0.00	0.00	1.06	0.00	0.00	0.00	0.00	1.01
ELMXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00

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