Cref Equity Correlations

QCEQIX Fund

USD 616.85 2.93 0.48%

The current 90-days correlation between Cref Equity Index and Calamos Global Equity is 0.87 (i.e., Very poor diversification). The correlation of Cref Equity 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.

Cref Equity Correlation With Market

Almost no diversification

The correlation between Cref Equity Index and DJI is 0.91 (i.e., Almost no diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Cref Equity Index and DJI in the same portfolio, assuming nothing else is changed.

Check out Your Equity Center to better understand how to build diversified portfolios, which includes a position in Cref Equity Index. Also, note that the market value of any fund could be closely tied with the direction of predictive economic indicators such as signals in main economic indicators.

Moving together with Cref Fund

0.88	VTSAX	Vanguard Total Stock	Pair Corr
1.0	VFIAX	Vanguard 500 Index	Pair Corr
1.0	VTSMX	Vanguard Total Stock	Pair Corr
1.0	VITSX	Vanguard Total Stock	Pair Corr
0.88	VSTSX	Vanguard Total Stock	Pair Corr
1.0	VSMPX	Vanguard Total Stock	Pair Corr
0.81	VTIAX	Vanguard Total Inter	Pair Corr
1.0	VFINX	Vanguard 500 Index	Pair Corr
0.87	VFFSX	Vanguard 500 Index	Pair Corr
0.72	VBTLX	Vanguard Total Bond	Pair Corr
0.74	BRUFX	Bruce Fund Bruce	Pair Corr
0.69	SPGSX	State Street Premier	Pair Corr
0.69	KF	Korea Closed	Pair Corr
0.86	INPFX	American Funds Income	Pair Corr
0.83	EMSLX	Shelton Emerging Markets	Pair Corr
0.89	LMISX	Qs Large Cap	Pair Corr
0.77	BA	Boeing	Pair Corr
0.81	AA	Alcoa Corp	Pair Corr
0.66	MRK	Merck Company	Pair Corr

Moving against Cref Fund

0.51	HPQ	HP Inc Aggressive Push	Pair Corr
0.39	MSFT	Microsoft Sell-off Trend	Pair Corr

Related Correlations Analysis

	DODFX	GMADX	PAEIX	LEQCX	VDEQX	AUUIX	CGEOX
DODFX		0.99	0.99	0.86	0.7	0.89	0.87	DODFX
GMADX	0.99		0.99	0.87	0.75	0.9	0.87	GMADX
PAEIX	0.99	0.99		0.89	0.75	0.89	0.91	PAEIX
LEQCX	0.86	0.87	0.89		0.62	0.73	0.86	LEQCX
VDEQX	0.7	0.75	0.75	0.62		0.83	0.8	VDEQX
AUUIX	0.89	0.9	0.89	0.73	0.83		0.77	AUUIX
CGEOX	0.87	0.87	0.91	0.86	0.8	0.77		CGEOX
	DODFX	GMADX	PAEIX	LEQCX	VDEQX	AUUIX	CGEOX

Risk-Adjusted Indicators

There is a big difference between Cref Fund performing well and Cref Equity 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 Cref Equity'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
DODFX	0.54	0.15	0.16	0.32	0.41	(0.63)	1.15	(0.97)	2.71
GMADX	0.58	0.15	0.18	0.28	0.43	(0.67)	1.37	(1.10)	3.10
PAEIX	0.64	0.12	0.12	0.24	0.56	(0.77)	1.38	(1.22)	3.38
LEQCX	0.94	0.39	0.54	1.26	0.00	(1.31)	1.30	(0.90)	26.65
VDEQX	0.62	(0.05)	(0.06)	0.04	0.84	(0.59)	1.36	(1.51)	3.64
AUUIX	0.60	0.07	0.08	0.18	0.49	(0.66)	1.23	(0.99)	8.89
CGEOX	0.86	(0.01)	(0.01)	0.08	1.17	(0.88)	1.88	(2.30)	4.92

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