Commodity Return Correlations

CCRSX Fund

USD 17.85 0.04 0.22%

The correlation of Commodity Return 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.

Commodity Return Correlation With Market

Good diversification

The correlation between Commodity Return Strategy and DJI is -0.04 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Commodity Return Strategy and DJI in the same portfolio, assuming nothing else is changed.

Check out Trending Equities to better understand how to build diversified portfolios, which includes a position in Commodity Return 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 state.

Moving together with Commodity Mutual Fund

1.0	CRSOX	Credit Suisse Modity	Pair Corr
1.0	CRSCX	Credit Suisse Modity	Pair Corr
1.0	CRSAX	Credit Suisse Modity	Pair Corr
1.0	CCRRX	Credit Suisse Trust	Pair Corr
0.98	PCRIX	Commodityrealreturn	Pair Corr
0.92	PCRRX	Commodityrealreturn	Pair Corr
0.98	PCRPX	Pimco Modityrealreturn	Pair Corr
0.98	PCSRX	Commodityrealreturn	Pair Corr
0.98	PCRAX	Commodityrealreturn	Pair Corr
0.98	PCRCX	Commodityrealreturn	Pair Corr
0.93	PCRNX	Pimco Commodityrealret	Pair Corr
0.79	PCLAX	Pimco Commoditiesplus	Pair Corr
0.91	PCPCX	Pimco Commoditiesplus	Pair Corr
0.91	PCLNX	Pimco Commoditiesplus	Pair Corr
0.7	VTWNX	Vanguard Target Reti	Pair Corr

Moving against Commodity Mutual Fund

0.44	CSQAX	Credit Suisse Multia	Pair Corr
0.43	CSQIX	Credit Suisse Multia	Pair Corr

Related Correlations Analysis

	UGSFX	DIPXX	FHNFX	UIGSX	PGIQX	FISAX	TWACX
UGSFX		-0.79	0.97	1.0	0.97	0.35	0.9	UGSFX
DIPXX	-0.79		-0.77	-0.77	-0.76	0.05	-0.56	DIPXX
FHNFX	0.97	-0.77		0.97	1.0	0.41	0.93	FHNFX
UIGSX	1.0	-0.77	0.97		0.97	0.38	0.9	UIGSX
PGIQX	0.97	-0.76	1.0	0.97		0.4	0.92	PGIQX
FISAX	0.35	0.05	0.41	0.38	0.4		0.66	FISAX
TWACX	0.9	-0.56	0.93	0.9	0.92	0.66		TWACX
	UGSFX	DIPXX	FHNFX	UIGSX	PGIQX	FISAX	TWACX

Click cells to compare fundamentals

Check Volatility

Backtest Portfolio

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

UIGSX	+ 1.0	UGSFX
PGIQX	+ 1.0	FHNFX
FHNFX	+ 0.97	UGSFX
PGIQX	+ 0.97	UGSFX
UIGSX	+ 0.97	FHNFX
PGIQX	+ 0.97	UIGSX

High negative correlations

DIPXX	- 0.79	UGSFX
UIGSX	- 0.77	DIPXX
FHNFX	- 0.77	DIPXX
PGIQX	- 0.76	DIPXX
TWACX	- 0.56	DIPXX

Risk-Adjusted Indicators

There is a big difference between Commodity Mutual Fund performing well and Commodity Return 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 Commodity Return'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	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
UGSFX	0.23	(0.03)	0.00	0.55	0.00	0.41	(0.51)	1.40
DIPXX	0.03	0.01	0.00	(0.37)	0.00	0.00	0.00	1.01
FHNFX	0.24	(0.04)	0.00	(0.45)	0.00	0.54	(0.54)	1.63
UIGSX	0.18	(0.02)	0.00	0.48	0.00	0.34	(0.45)	1.03
PGIQX	0.23	(0.04)	0.00	(0.48)	0.00	0.50	(0.64)	1.41
FISAX	0.07	0.00	(0.70)	0.24	(0.18)	0.13	(0.13)	0.80
TWACX	0.08	(0.01)	0.00	(3.42)	0.00	0.11	(0.11)	0.78

Macroaxis helps investors of all levels and skills to maximize the upside of all their holdings and minimize the risk associated with market volatility, economic swings, and company-specific events. View terms and conditions

Feedback Blog

Made with optimal in San Francisco

2024 Macroaxis LLC