Cm Modity Correlations

COMIX Fund

USD 68.98 0.23 0.33%

The current 90-days correlation between Cm Modity Index and Calvert High Yield is 0.12 (i.e., Average diversification). The correlation of Cm Modity 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.

Cm Modity Correlation With Market

Modest diversification

The correlation between Cm Modity Index and DJI is 0.23 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Cm Modity Index 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 Cm Modity Index. 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 gross domestic product.

Moving together with COMIX Mutual Fund

1.0	CMCAX	Cm Modity Index	Pair Corr
1.0	CMCYX	Cm Modity Index	Pair Corr

Moving against COMIX Mutual Fund

0.32	PMPIX	Precious Metals Ultr Steady Growth	Pair Corr
0.32	PMPSX	Precious Metals Ultr Steady Growth	Pair Corr

Related Correlations Analysis

	CYBAX	MZHIX	FHTIX	SCFFX	DMHIX	PYRLX
CYBAX		0.96	0.96	0.93	0.5	0.95	CYBAX
MZHIX	0.96		0.92	0.98	0.52	0.99	MZHIX
FHTIX	0.96	0.92		0.86	0.32	0.92	FHTIX
SCFFX	0.93	0.98	0.86		0.65	0.97	SCFFX
DMHIX	0.5	0.52	0.32	0.65		0.47	DMHIX
PYRLX	0.95	0.99	0.92	0.97	0.47		PYRLX
	CYBAX	MZHIX	FHTIX	SCFFX	DMHIX	PYRLX

Risk-Adjusted Indicators

There is a big difference between COMIX Mutual Fund performing well and Cm Modity 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 Cm Modity'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
CYBAX	0.12	0.00	(0.43)	0.07	0.00	(0.14)	0.32	(0.24)	0.80
MZHIX	0.11	0.00	(0.32)	0.10	0.00	(0.17)	0.25	(0.25)	0.63
FHTIX	0.15	0.00	(0.26)	0.06	0.06	(0.23)	0.31	(0.31)	0.78
SCFFX	0.07	0.01	(0.49)	0.15	0.00	(0.12)	0.20	(0.10)	0.41
DMHIX	0.11	0.02	(0.29)	(2.22)	0.00	(0.18)	0.31	(0.10)	0.91
PYRLX	0.10	0.00	(0.41)	0.08	0.00	(0.14)	0.24	(0.24)	0.63

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