Cref Inflation-linked Correlations

QCILIX Fund

USD 91.60 0.11 0.12%

The current 90-days correlation between Cref Inflation Linked and Vanguard Total Bond is 0.66 (i.e., Poor diversification). The correlation of Cref Inflation-linked 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 Inflation-linked Correlation With Market

Poor diversification

The correlation between Cref Inflation Linked Bond and DJI is 0.62 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Cref Inflation Linked Bond 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 Inflation Linked Bond. Also, note that the market value of any fund could be closely tied with the direction of predictive economic indicators such as signals in board of governors.

Moving together with Cref Fund

0.75	VTIAX	Vanguard Total Inter	Pair Corr
0.88	VBTLX	Vanguard Total Bond	Pair Corr
0.71	RYMEX	Commodities Strategy	Pair Corr
0.71	RYMJX	Commodities Strategy	Pair Corr
0.71	RYMBX	Commodities Strategy	Pair Corr
0.72	BRUFX	Bruce Fund Bruce	Pair Corr
0.76	KF	Korea Closed	Pair Corr
0.78	INPFX	American Funds Income	Pair Corr
0.64	EMSLX	Shelton Emerging Markets	Pair Corr
0.71	PG	Procter Gamble	Pair Corr
0.61	MCD	McDonalds	Pair Corr
0.77	KO	Coca Cola Earnings Call This Week	Pair Corr
0.8	JNJ	Johnson Johnson	Pair Corr
0.76	MRK	Merck Company Sell-off Trend	Pair Corr
0.72	VZ	Verizon Communications Aggressive Push	Pair Corr

Moving against Cref Fund

0.76	MSFT	Microsoft	Pair Corr
0.62	HPQ	HP Inc	Pair Corr
0.33	AXP	American Express	Pair Corr

Related Correlations Analysis

	VTSAX	VFIAX	VTSMX	VITSX	VSTSX	VSMPX	VTIAX	VFINX	VFFSX	VBTLX
VTSAX		0.88	0.9	1.0	1.0	0.89	0.8	0.88	1.0	0.66	VTSAX
VFIAX	0.88		0.99	0.88	0.88	1.0	0.76	1.0	0.88	0.67	VFIAX
VTSMX	0.9	0.99		0.9	0.9	0.99	0.81	0.99	0.88	0.71	VTSMX
VITSX	1.0	0.88	0.9		1.0	0.89	0.79	0.88	1.0	0.66	VITSX
VSTSX	1.0	0.88	0.9	1.0		0.89	0.8	0.88	1.0	0.66	VSTSX
VSMPX	0.89	1.0	0.99	0.89	0.89		0.78	1.0	0.88	0.68	VSMPX
VTIAX	0.8	0.76	0.81	0.79	0.8	0.78		0.76	0.77	0.76	VTIAX
VFINX	0.88	1.0	0.99	0.88	0.88	1.0	0.76		0.87	0.66	VFINX
VFFSX	1.0	0.88	0.88	1.0	1.0	0.88	0.77	0.87		0.65	VFFSX
VBTLX	0.66	0.67	0.71	0.66	0.66	0.68	0.76	0.66	0.65		VBTLX
	VTSAX	VFIAX	VTSMX	VITSX	VSTSX	VSMPX	VTIAX	VFINX	VFFSX	VBTLX

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Risk-Adjusted Indicators

There is a big difference between Cref Fund performing well and Cref Inflation-linked 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 Inflation-linked'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
VTSAX	0.57	0.05	(0.02)	2.05	0.71	(0.60)	1.20	(1.28)	3.55
VFIAX	0.57	(0.03)	(0.06)	0.03	0.77	(0.58)	1.16	(1.54)	3.61
VTSMX	0.57	0.00	(0.03)	0.06	0.68	(0.62)	1.20	(1.28)	3.56
VITSX	0.57	0.05	(0.02)	2.64	0.69	(0.61)	1.20	(1.28)	3.55
VSTSX	0.57	0.05	(0.02)	1.99	0.71	(0.60)	1.20	(1.28)	3.55
VSMPX	0.59	(0.03)	(0.06)	0.03	0.78	(0.62)	1.20	(1.58)	3.55
VTIAX	0.60	0.15	0.15	0.31	0.45	(0.67)	1.47	(1.18)	4.10
VFINX	0.57	(0.03)	(0.06)	0.03	0.79	(0.57)	1.16	(1.54)	3.61
VFFSX	0.55	0.05	(0.03)	2.94	0.71	(0.56)	1.16	(1.23)	3.61
VBTLX	0.14	0.00	(0.31)	0.05	0.11	(0.17)	0.31	(0.31)	0.62

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