Commonwealth Japan Correlations

CNJFX Fund

USD 3.72 0.01 0.27%

The current 90-days correlation between Commonwealth Japan and Commonwealth Australianew Zealand is 0.53 (i.e., Very weak diversification). The correlation of Commonwealth Japan 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.

Commonwealth Japan Correlation With Market

Average diversification

The correlation between Commonwealth Japan Fund and DJI is 0.11 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Commonwealth Japan Fund 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 Commonwealth Japan Fund. 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 Commonwealth Mutual Fund

0.88	CNZLX	Commonwealth Australia/new	Pair Corr
0.83	RJAIX	T Rowe Price	Pair Corr
0.89	FJPNX	Fidelity Japan	Pair Corr
0.86	DFJSX	Japanese Small Pany	Pair Corr
0.89	FIQLX	Fidelity Japan	Pair Corr
0.81	MJFOX	Matthews Japan	Pair Corr
0.81	MIJFX	Matthews Japan	Pair Corr
0.75	PRJPX	T Rowe Price	Pair Corr
0.86	FJSCX	Fidelity Japan Smaller	Pair Corr
0.82	FSJPX	Fidelity Sai Japan	Pair Corr
0.83	FJPIX	Fidelity Japan	Pair Corr
0.64	VGTSX	Vanguard Total Inter	Pair Corr
0.64	VTIAX	Vanguard Total Inter	Pair Corr

Moving against Commonwealth Mutual Fund

0.59	VTSAX	Vanguard Total Stock	Pair Corr
0.59	VTSMX	Vanguard Total Stock	Pair Corr
0.59	VSMPX	Vanguard Total Stock	Pair Corr
0.56	VFIAX	Vanguard 500 Index	Pair Corr
0.72	SMAPX	Salient Mlp Energy	Pair Corr
0.59	VSTSX	Vanguard Total Stock	Pair Corr
0.58	VFFSX	Vanguard 500 Index	Pair Corr
0.57	VITSX	Vanguard Total Stock	Pair Corr
0.57	JDCAX	Janus Forty Fund	Pair Corr
0.56	VFINX	Vanguard 500 Index	Pair Corr
0.55	DMA	Destra Multi Alternative	Pair Corr
0.53	FTAGX	Salient Tactical Growth	Pair Corr
0.5	VEIPX	Vanguard Equity Income	Pair Corr
0.46	FFIDX	Fidelity Fund Fidelity	Pair Corr
0.44	VBIAX	Vanguard Balanced Index	Pair Corr
0.44	FSUTX	Utilities Portfolio	Pair Corr
0.4	FEQIX	Fidelity Equity Income	Pair Corr
0.32	SMGXX	Legg Mason Partners	Pair Corr
0.78	FFRHX	Fidelity Advisor Floating	Pair Corr
0.74	FSLBX	Brokerage And Investment	Pair Corr

Related Correlations Analysis

	CNZLX	LEAOX	EFEAX	AQUI	MSTSX	LBHIX	VIASP	RRTLX	OSHDF	70082LAB3
CNZLX		0.36	0.65	0.0	0.14	-0.08	-0.7	0.27	-0.58	-0.67	CNZLX
LEAOX	0.36		-0.12	0.0	0.89	0.51	-0.39	0.65	-0.27	0.0	LEAOX
EFEAX	0.65	-0.12		0.0	-0.27	-0.48	-0.44	-0.16	-0.53	-0.45	EFEAX
AQUI	0.0	0.0	0.0		0.0	0.0	0.0	0.0	0.0	0.0	AQUI
MSTSX	0.14	0.89	-0.27	0.0		0.69	-0.13	0.81	-0.05	0.16	MSTSX
LBHIX	-0.08	0.51	-0.48	0.0	0.69		0.16	0.72	0.24	0.09	LBHIX
VIASP	-0.7	-0.39	-0.44	0.0	-0.13	0.16		-0.04	0.78	0.5	VIASP
RRTLX	0.27	0.65	-0.16	0.0	0.81	0.72	-0.04		0.02	0.01	RRTLX
OSHDF	-0.58	-0.27	-0.53	0.0	-0.05	0.24	0.78	0.02		0.32	OSHDF
70082LAB3	-0.67	0.0	-0.45	0.0	0.16	0.09	0.5	0.01	0.32		70082LAB3
	CNZLX	LEAOX	EFEAX	AQUI	MSTSX	LBHIX	VIASP	RRTLX	OSHDF	70082LAB3

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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

MSTSX	+ 0.89	LEAOX
RRTLX	+ 0.81	MSTSX
OSHDF	+ 0.78	VIASP
RRTLX	+ 0.72	LBHIX
LBHIX	+ 0.69	MSTSX
EFEAX	+ 0.65	CNZLX

High negative correlations

VIASP	- 0.7	CNZLX
70082LAB3	- 0.67	CNZLX
OSHDF	- 0.58	CNZLX
OSHDF	- 0.53	EFEAX
LBHIX	- 0.48	EFEAX
70082LAB3	- 0.45	EFEAX

Risk-Adjusted Indicators

There is a big difference between Commonwealth Mutual Fund performing well and Commonwealth Japan 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 Commonwealth Japan'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
CNZLX	0.63	(0.05)	0.00	45.23	0.00	0.00	1.51	(1.41)	4.06
LEAOX	0.74	(0.06)	(0.14)	(0.02)	0.88	(0.84)	1.83	(1.73)	5.03
EFEAX	0.35	(0.07)	0.00	(0.21)	0.00	0.00	0.75	(0.75)	1.98
AQUI	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
MSTSX	0.50	(0.04)	(0.13)	0.06	0.52	(0.61)	1.21	(1.02)	2.80
LBHIX	0.11	0.02	(0.41)	2.96	0.00	(0.29)	0.24	(0.24)	0.96
VIASP	0.72	0.00	(0.02)	0.00	1.05	(0.80)	2.28	(1.15)	7.18
RRTLX	0.24	0.00	(0.33)	0.37	0.26	(0.27)	0.56	(0.56)	1.37
OSHDF	39.65	22.65	0.00	(0.96)	0.00	0.00	0.00	0.00	1,329
70082LAB3	0.99	0.03	(0.04)	1.55	2.18	(1.09)	1.75	(1.69)	24.27

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