Campbell Systematic Correlations

EBSAX Fund

USD 9.25 0.01 0.11%

The current 90-days correlation between Campbell Systematic Macro and Mfs Technology Fund is -0.05 (i.e., Good diversification). The correlation of Campbell Systematic 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.

Campbell Systematic Correlation With Market

Very good diversification

The correlation between Campbell Systematic Macro and DJI is -0.21 (i.e., Very good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Campbell Systematic Macro and DJI in the same portfolio, assuming nothing else is changed.

Check out Investing Opportunities to better understand how to build diversified portfolios, which includes a position in Campbell Systematic Macro. 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 nation.

Moving together with Campbell Mutual Fund

0.95

EBSIX

Campbell Systematic Macro

Pair Corr

Moving against Campbell Mutual Fund

0.31	BRUFX	Bruce Fund Bruce	Pair Corr
0.71	VUSXX	Vanguard Treasury Money	Pair Corr
0.5	FCRUX	Fs Credit Income	Pair Corr
0.47	PNDIX	Pender Real Estate	Pair Corr
0.45	APFOX	Artisan Emerging Markets	Pair Corr
0.44	JMUTX	Janus Multi Sector	Pair Corr
0.44	EEIIX	Eaton Vance Emerging	Pair Corr
0.49	MWUIX	Metropolitan West Ultra	Pair Corr
0.33	SWSCX	Schwab Small Cap	Pair Corr
0.32	WSTCX	Ivy Science And	Pair Corr
0.31	BEQGX	Equity Growth	Pair Corr

Related Correlations Analysis

	HCMDX	PPIPX	AUENX	QUERX	GUT	GEMAX	RYHOX	RYOCX	RYATX	MTCAX
HCMDX		0.18	0.06	0.06	0.28	0.31	0.52	0.99	0.43	0.19	HCMDX
PPIPX	0.18		0.97	0.98	0.75	0.76	0.91	0.3	0.9	0.96	PPIPX
AUENX	0.06	0.97		1.0	0.66	0.67	0.86	0.16	0.87	0.98	AUENX
QUERX	0.06	0.98	1.0		0.66	0.67	0.86	0.16	0.87	0.98	QUERX
GUT	0.28	0.75	0.66	0.66		0.71	0.7	0.38	0.75	0.68	GUT
GEMAX	0.31	0.76	0.67	0.67	0.71		0.71	0.41	0.76	0.68	GEMAX
RYHOX	0.52	0.91	0.86	0.86	0.7	0.71		0.61	0.92	0.88	RYHOX
RYOCX	0.99	0.3	0.16	0.16	0.38	0.41	0.61		0.51	0.29	RYOCX
RYATX	0.43	0.9	0.87	0.87	0.75	0.76	0.92	0.51		0.91	RYATX
MTCAX	0.19	0.96	0.98	0.98	0.68	0.68	0.88	0.29	0.91		MTCAX
	HCMDX	PPIPX	AUENX	QUERX	GUT	GEMAX	RYHOX	RYOCX	RYATX	MTCAX

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Risk-Adjusted Indicators

There is a big difference between Campbell Mutual Fund performing well and Campbell Systematic 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 Campbell Systematic'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
HCMDX	1.17	(0.08)	(0.03)	0.01	1.75	(1.10)	2.07	(3.01)	7.37
PPIPX	0.28	0.07	0.07	0.31	0.00	(0.35)	0.57	(0.46)	3.87
AUENX	0.89	0.39	0.61	8.58	0.00	(1.28)	0.80	(0.89)	26.80
QUERX	0.89	0.40	0.58	7.76	0.00	(1.21)	0.87	(0.89)	26.99
GUT	0.67	0.09	0.03	0.58	0.92	(0.74)	1.39	(1.17)	5.82
GEMAX	0.62	0.13	0.11	0.62	0.51	(0.73)	1.35	(1.09)	3.29
RYHOX	0.85	0.04	0.03	0.12	1.04	(0.88)	1.83	(2.05)	7.59
RYOCX	0.77	(0.04)	(0.04)	0.02	1.13	(0.74)	1.50	(2.05)	4.74
RYATX	0.87	0.11	0.04	2.03	1.04	(0.92)	1.82	(2.06)	7.62
MTCAX	1.82	0.49	0.14	4.71	2.40	(2.11)	1.89	(2.72)	47.86

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