Embark Commodity Correlations

ECSWX Fund

10.61 0.03 0.28%

The current 90-days correlation between Embark Commodity Strategy and College Retirement Equities is 0.04 (i.e., Significant diversification). The correlation of Embark Commodity 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.

Embark Commodity Correlation With Market

Good diversification

The correlation between Embark Commodity Strategy and DJI is -0.05 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Embark Commodity Strategy 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 Embark Commodity 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 housing.

Moving together with Embark Mutual Fund

1.0

ECSQX

Embark Commodity Strategy

Pair Corr

Moving against Embark Mutual Fund

0.59	HISWX	Harbor Strategic Growth	Pair Corr
0.59	HNGSX	Harbor Strategic Growth	Pair Corr
0.55	HILVX	Harbor Large Cap	Pair Corr
0.55	HNLVX	Harbor Large Cap	Pair Corr
0.55	HRCAX	Harbor Capital Appre	Pair Corr
0.53	HNACX	Harbor Capital Appre	Pair Corr
0.45	HISGX	Harbor Small Cap	Pair Corr
0.45	HNSGX	Harbor Small Cap	Pair Corr
0.44	HIMGX	Harbor Mid Cap	Pair Corr
0.44	HIMVX	Harbor Mid Cap	Pair Corr
0.43	HNMVX	Harbor Mid Cap	Pair Corr
0.42	HNMGX	Harbor Mid Cap	Pair Corr
0.36	HRBDX	Harbor Bond Fund	Pair Corr
0.59	MVSGX	Harbor Strategic Growth	Pair Corr
0.58	HRLVX	Harbor Large Cap	Pair Corr
0.56	HCAIX	Harbor Capital Appre	Pair Corr
0.55	HAVLX	Harbor Large Cap	Pair Corr
0.54	HACAX	Harbor Capital Appre	Pair Corr
0.46	HASGX	Harbor Small Cap	Pair Corr
0.44	HRSGX	Harbor Small Cap	Pair Corr
0.43	HRMVX	Harbor Mid Cap	Pair Corr
0.43	HAMVX	Harbor Mid Cap	Pair Corr
0.43	HCBRX	Harbor Core Bond	Pair Corr

Related Correlations Analysis

	QCGLRX	TCTZX	PRRTX	WBRMEX	WMBFX	SBMCX	IRMPX	FLMTX
QCGLRX		0.83	0.83	0.76	0.73	0.68	0.9	0.93	QCGLRX
TCTZX	0.83		0.9	0.75	0.95	0.77	0.92	0.88	TCTZX
PRRTX	0.83	0.9		0.87	0.87	0.91	0.97	0.95	PRRTX
WBRMEX	0.76	0.75	0.87		0.72	0.92	0.84	0.87	WBRMEX
WMBFX	0.73	0.95	0.87	0.72		0.78	0.87	0.82	WMBFX
SBMCX	0.68	0.77	0.91	0.92	0.78		0.87	0.83	SBMCX
IRMPX	0.9	0.92	0.97	0.84	0.87	0.87		0.97	IRMPX
FLMTX	0.93	0.88	0.95	0.87	0.82	0.83	0.97		FLMTX
	QCGLRX	TCTZX	PRRTX	WBRMEX	WMBFX	SBMCX	IRMPX	FLMTX

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Risk-Adjusted Indicators

There is a big difference between Embark Mutual Fund performing well and Embark Commodity 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 Embark Commodity'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
QCGLRX	0.57	0.02	(0.04)	0.16	0.79	(0.56)	1.12	(1.54)	4.41
TCTZX	0.26	0.01	(0.17)	0.88	0.33	(0.29)	0.61	(0.61)	1.95
PRRTX	0.30	(0.01)	(0.16)	0.05	0.40	(0.31)	0.67	(0.56)	2.25
WBRMEX	0.72	0.03	(0.02)	0.14	0.93	(0.77)	1.63	(1.15)	7.98
WMBFX	0.32	0.00	(0.16)	(0.08)	0.50	(0.33)	0.59	(0.68)	2.72
SBMCX	0.50	(0.01)	(0.09)	0.05	0.78	(0.44)	0.92	(0.91)	3.77
IRMPX	0.25	(0.01)	(0.17)	0.03	0.34	(0.32)	0.61	(0.60)	2.29
FLMTX	0.25	(0.01)	(0.18)	0.06	0.36	(0.26)	0.57	(0.56)	1.98

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