Commodities Strategy Correlations

RYMBX Fund

USD 169.95 1.72 1.02%

The current 90-days correlation between Commodities Strategy and Sp Midcap 400 is 0.25 (i.e., Modest diversification). The correlation of Commodities Strategy 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.

Commodities Strategy Correlation With Market

Very weak diversification

The correlation between Commodities Strategy Fund and DJI is 0.53 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Commodities Strategy Fund 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 Commodities Strategy Fund. 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 bureau of labor statistics.

Moving together with COMMODITIES Mutual Fund

0.62	RYBCX	Basic Materials	Pair Corr
0.64	RYBAX	Basic Materials	Pair Corr
0.66	RYBMX	Basic Materials	Pair Corr
0.73	RYBHX	Sp Midcap 400	Pair Corr
0.65	RYBIX	Basic Materials	Pair Corr
0.65	RYAKX	Russell 2000 15x	Pair Corr
0.67	RYAEX	Europe 125x Strategy	Pair Corr
0.64	RYAHX	Mid Cap 15x	Pair Corr
0.66	RYAZX	Sp Smallcap 600	Pair Corr
0.64	RYDCX	Mid Cap 15x	Pair Corr
0.9	RYEAX	Energy Fund Class	Pair Corr
0.9	RYECX	Energy Fund Class	Pair Corr
0.69	RYCEX	Europe 125x Strategy	Pair Corr
0.64	RYCMX	Russell 2000 15x	Pair Corr

Moving against COMMODITIES Mutual Fund

0.67	RYAGX	Inverse Mid Cap	Pair Corr
0.62	RYAFX	Inverse Russell 2000	Pair Corr
0.36	RYARX	Inverse Sp 500	Pair Corr
0.66	RYCLX	Inverse Mid Cap	Pair Corr
0.61	RYCQX	Inverse Russell 2000	Pair Corr
0.51	RYCWX	Inverse Dow 2x Potential Growth	Pair Corr
0.45	RYCBX	Inverse Sp 500	Pair Corr
0.33	RYCDX	Rydex Inverse Nasdaq	Pair Corr

Related Correlations Analysis

	RYRIX	COIA	RSMR	FRQIX	RYPIX	RYAZX	SSETX	RYZAX	BPI	RYAVX
RYRIX		-0.34	0.91	0.94	0.83	0.96	0.75	0.9	-0.12	0.93	RYRIX
COIA	-0.34		-0.6	-0.42	-0.6	-0.46	-0.65	-0.66	0.89	-0.48	COIA
RSMR	0.91	-0.6		0.93	0.94	0.93	0.87	0.98	-0.41	0.94	RSMR
FRQIX	0.94	-0.42	0.93		0.84	0.91	0.75	0.9	-0.19	0.88	FRQIX
RYPIX	0.83	-0.6	0.94	0.84		0.81	0.92	0.91	-0.44	0.84	RYPIX
RYAZX	0.96	-0.46	0.93	0.91	0.81		0.74	0.93	-0.25	0.97	RYAZX
SSETX	0.75	-0.65	0.87	0.75	0.92	0.74		0.85	-0.52	0.79	SSETX
RYZAX	0.9	-0.66	0.98	0.9	0.91	0.93	0.85		-0.46	0.94	RYZAX
BPI	-0.12	0.89	-0.41	-0.19	-0.44	-0.25	-0.52	-0.46		-0.34	BPI
RYAVX	0.93	-0.48	0.94	0.88	0.84	0.97	0.79	0.94	-0.34		RYAVX
	RYRIX	COIA	RSMR	FRQIX	RYPIX	RYAZX	SSETX	RYZAX	BPI	RYAVX

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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

RYZAX	+ 0.98	RSMR
RYAVX	+ 0.97	RYAZX
RYAZX	+ 0.96	RYRIX
FRQIX	+ 0.94	RYRIX
RYPIX	+ 0.94	RSMR
RYAVX	+ 0.94	RSMR

High negative correlations

RYZAX	- 0.66	COIA
SSETX	- 0.65	COIA
RYPIX	- 0.6	COIA
RSMR	- 0.6	COIA
BPI	- 0.52	SSETX
RYAVX	- 0.48	COIA

Risk-Adjusted Indicators

There is a big difference between COMMODITIES Mutual Fund performing well and Commodities Strategy 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 Commodities Strategy'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
RYRIX	0.73	0.02	0.02	0.09	0.75	(0.82)	1.67	(1.25)	4.61
COIA	5.63	(1.56)	0.00	(0.26)	0.00	0.00	10.41	(14.19)	34.43
RSMR	0.30	0.01	(0.06)	0.10	0.28	(0.33)	0.78	(0.70)	2.00
FRQIX	0.16	0.00	(0.24)	0.09	0.10	(0.16)	0.35	(0.35)	0.87
RYPIX	0.91	0.06	0.06	0.12	0.95	(0.98)	1.97	(1.86)	5.52
RYAZX	0.94	0.04	0.05	0.10	0.90	(1.10)	2.76	(1.75)	5.76
SSETX	0.59	0.05	(0.01)	0.44	0.55	(0.85)	1.73	(1.29)	4.16
RYZAX	0.64	0.05	0.04	0.13	0.64	(0.70)	1.70	(1.20)	3.60
BPI	2.03	(0.36)	0.00	(0.38)	0.00	0.00	3.25	(4.87)	11.35
RYAVX	0.79	0.01	0.01	0.08	0.87	(0.79)	2.47	(1.61)	4.85

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