Grant Park Correlations
| GPACX Fund | USD 10.30 0.02 0.19% |
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 perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Grant Park moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Grant Park Multi moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Poor diversification
The correlation between Grant Park Multi and NYA 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 Grant Park Multi and NYA in the same portfolio, assuming nothing else is changed.
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The ability to find closely correlated positions to Grant Park could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Grant Park when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Grant Park - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Grant Park Multi to buy it.
Moving together with Grant Mutual Fund
| 1.0 | GPAAX | Grant Park Multi | PairCorr |
| 1.0 | GPAIX | Grant Park Multi | PairCorr |
| 1.0 | GPANX | Grant Park Multi | PairCorr |
| 0.93 | AQMRX | Aqr Managed Futures | PairCorr |
| 0.9 | PQTAX | Pimco Trends Managed | PairCorr |
| 0.9 | PQTNX | Pimco Trends Managed | PairCorr |
| 0.95 | AHLPX | American Beacon Ahl Steady Growth | PairCorr |
| 0.97 | AMFNX | Asg Managed Futures | PairCorr |
| 0.96 | ABYCX | Abbey Capital Futures | PairCorr |
| 0.96 | ABYAX | Abbey Capital Futures | PairCorr |
| 0.96 | ABYIX | Abbey Capital Futures | PairCorr |
| 0.97 | ASFYX | Asg Managed Futures | PairCorr |
| 0.97 | ASFCX | Asg Managed Futures | PairCorr |
| 0.64 | NHS | Neuberger Berman High | PairCorr |
| 0.85 | FMAGX | Fidelity Magellan | PairCorr |
Moving against Grant Mutual Fund
Related Correlations Analysis
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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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| GPAIX | 0.26 | 0.04 | 0.02 | 0.17 | 0.27 | 0.56 | 1.63 | |||
| BSPIX | 0.57 | 0.03 | 0.04 | 0.08 | 0.56 | 1.21 | 3.56 | |||
| DODBX | 0.38 | (0.02) | (0.06) | 0.02 | 0.58 | 0.64 | 3.76 | |||
| IBLLX | 0.40 | 0.00 | (0.03) | 0.05 | 0.43 | 0.77 | 2.46 | |||
| FGWMX | 0.31 | 0.00 | (0.10) | 0.05 | 0.34 | 0.58 | 1.72 | |||
| VTINX | 0.25 | (0.02) | (0.12) | 0.01 | 0.32 | 0.54 | 1.53 | |||
| VIMAX | 0.60 | (0.02) | (0.01) | 0.04 | 0.78 | 1.27 | 3.06 |
Be your own money manager
Our tools can tell you how much better you can do entering a position in Grant Park without increasing your portfolio risk or giving up the expected return. As an individual investor, you need to find a reliable way to track all your investment portfolios. However, your requirements will often be based on how much of the process you decide to do yourself. In addition to allowing all investors analytical transparency into all their portfolios, our tools can evaluate risk-adjusted returns of your individual positions relative to your overall portfolio.Did you try this?
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Already Invested in Grant Park Multi?
The danger of trading Grant Park Multi is mainly related to its market volatility and Mutual Fund specific events. As an investor, you must understand the concept of risk-adjusted return before you start trading. The most common way to measure the risk of Grant Park is by using the Sharpe ratio. The ratio expresses how much excess return you acquire for the extra volatility you endure for holding a more risker asset than Grant Park. The Sharpe ratio is calculated by using standard deviation and excess return to determine reward per unit of risk. To understand how volatile Grant Park Multi is, you must compare it to a benchmark. Traditionally, the risk-free rate of return is the rate of return on the shortest-dated U.S. Treasury, such as a 3-year bond.
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 tightly coupled with the direction of predictive economic indicators such as signals in main economic indicators. Note that the Grant Park Multi information on this page should be used as a complementary analysis to other Grant Park's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Portfolio Comparator module to compare the composition, asset allocations and performance of any two portfolios in your account.