Cref Equity Correlations

QCEQPX Fund

USD 612.89 0.78 0.13%

The current 90-days correlation between Cref Equity Index and Transamerica Financial Life is 0.22 (i.e., Modest 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 producer price index.

Moving together with CREF Fund

0.89	VTSAX	Vanguard Total Stock	Pair Corr
1.0	VFIAX	Vanguard 500 Index	Pair Corr
0.99	VTSMX	Vanguard Total Stock	Pair Corr
0.99	VITSX	Vanguard Total Stock	Pair Corr
0.89	VSTSX	Vanguard Total Stock	Pair Corr
0.99	VSMPX	Vanguard Total Stock	Pair Corr
0.82	VTIAX	Vanguard Total Inter	Pair Corr
1.0	VFINX	Vanguard 500 Index	Pair Corr
0.88	VFFSX	Vanguard 500 Index	Pair Corr
0.73	NHS	Neuberger Berman High	Pair Corr
0.75	CFIPX	Qs Global Equity	Pair Corr
0.88	GILCX	Guggenheim Large Cap	Pair Corr
0.65	BMBSX	Baird Quality Interm	Pair Corr
0.8	GLRIX	James Balanced Golden	Pair Corr
0.68	GSSQX	Goldman Sachs Equity	Pair Corr
0.67	PBLCX	Blue Chip Fund	Pair Corr
0.76	AA	Alcoa Corp	Pair Corr
0.63	CAT	Caterpillar	Pair Corr
0.63	INTC	Intel	Pair Corr

Moving against CREF Fund

0.57	T	ATT Inc Earnings Call This Week	Pair Corr
0.39	HPQ	HP Inc	Pair Corr

Related Correlations Analysis

	GSGXX	HSFNX	FIDAX	MCBXX	GCFSX	RMBLX	RYFAX	IAAEX
GSGXX		0.0	0.0	0.0	0.0	0.0	0.0	0.0	GSGXX
HSFNX	0.0		-0.57	0.0	0.93	0.96	0.85	0.76	HSFNX
FIDAX	0.0	-0.57		0.0	-0.73	-0.69	-0.64	-0.95	FIDAX
MCBXX	0.0	0.0	0.0		0.0	0.0	0.0	0.0	MCBXX
GCFSX	0.0	0.93	-0.73	0.0		0.97	0.86	0.89	GCFSX
RMBLX	0.0	0.96	-0.69	0.0	0.97		0.87	0.85	RMBLX
RYFAX	0.0	0.85	-0.64	0.0	0.86	0.87		0.79	RYFAX
IAAEX	0.0	0.76	-0.95	0.0	0.89	0.85	0.79		IAAEX
	GSGXX	HSFNX	FIDAX	MCBXX	GCFSX	RMBLX	RYFAX	IAAEX

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

RMBLX	+ 0.97	GCFSX
RMBLX	+ 0.96	HSFNX
GCFSX	+ 0.93	HSFNX
IAAEX	+ 0.89	GCFSX
RYFAX	+ 0.87	RMBLX
RYFAX	+ 0.86	GCFSX

High negative correlations

IAAEX	- 0.95	FIDAX
GCFSX	- 0.73	FIDAX
RMBLX	- 0.69	FIDAX
RYFAX	- 0.64	FIDAX
FIDAX	- 0.57	HSFNX
IAAEX	- 0.0	MCBXX

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
GSGXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
HSFNX	1.20	0.31	0.27	0.34	0.82	(1.66)	3.76	(1.52)	14.51
FIDAX	1.31	(0.37)	0.00	2.41	0.00	0.00	1.78	(1.82)	33.76
MCBXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
GCFSX	0.50	0.16	0.15	1.00	0.49	(0.59)	1.15	(1.04)	3.77
RMBLX	0.98	0.25	0.21	0.34	0.78	(1.16)	3.00	(1.19)	8.69
RYFAX	0.63	(0.03)	(0.04)	0.02	0.87	(0.64)	1.23	(1.60)	4.21
IAAEX	0.96	0.31	0.37	0.68	0.28	(1.27)	1.85	(1.17)	19.44

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