Commodity Return Correlations

CCRSX Fund

USD 18.80 0.13 0.70%

The current 90-days correlation between Commodity Return Strategy and Credit Suisse Floating is -0.31 (i.e., Very good diversification). The correlation of Commodity Return 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.

Commodity Return Correlation With Market

Good diversification

The correlation between Commodity Return 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 Commodity Return Strategy and DJI in the same portfolio, assuming nothing else is changed.

Check out Trending Equities to better understand how to build diversified portfolios, which includes a position in Commodity Return 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 state.

Moving together with Commodity Mutual Fund

0.86	CRSOX	Credit Suisse Modity	Pair Corr
0.86	CRSCX	Credit Suisse Modity	Pair Corr
0.99	CRSAX	Credit Suisse Modity	Pair Corr
1.0	CCRRX	Credit Suisse Trust	Pair Corr
0.87	PCRIX	Commodityrealreturn	Pair Corr
0.97	PCRRX	Commodityrealreturn	Pair Corr
0.87	PCRPX	Pimco Modityrealreturn	Pair Corr
0.97	PCSRX	Commodityrealreturn	Pair Corr
0.68	PCRAX	Commodityrealreturn	Pair Corr
0.97	PCRCX	Commodityrealreturn	Pair Corr
0.87	PCRNX	Pimco Commodityrealret	Pair Corr
0.94	PCLAX	Pimco Commoditiesplus	Pair Corr
0.93	PCPCX	Pimco Moditiesplus	Pair Corr
0.95	PCLNX	Pimco Commoditiesplus	Pair Corr

Moving against Commodity Mutual Fund

0.36	CSQAX	Credit Suisse Multia	Pair Corr
0.34	CSQIX	Credit Suisse Multia	Pair Corr

Related Correlations Analysis

	CHICX	CHIAX	CRSOX	CRSCX	CRSAX	CSAIX	CSACX	CSAAX	CSHIX	CSOIX
CHICX		1.0	0.56	0.54	0.53	-0.5	-0.54	-0.53	1.0	0.99	CHICX
CHIAX	1.0		0.55	0.53	0.53	-0.48	-0.52	-0.51	1.0	0.98	CHIAX
CRSOX	0.56	0.55		1.0	0.86	-0.16	-0.19	-0.17	0.55	0.52	CRSOX
CRSCX	0.54	0.53	1.0		0.85	-0.15	-0.17	-0.16	0.53	0.5	CRSCX
CRSAX	0.53	0.53	0.86	0.85		-0.25	-0.27	-0.26	0.52	0.52	CRSAX
CSAIX	-0.5	-0.48	-0.16	-0.15	-0.25		1.0	1.0	-0.51	-0.54	CSAIX
CSACX	-0.54	-0.52	-0.19	-0.17	-0.27	1.0		1.0	-0.54	-0.57	CSACX
CSAAX	-0.53	-0.51	-0.17	-0.16	-0.26	1.0	1.0		-0.53	-0.56	CSAAX
CSHIX	1.0	1.0	0.55	0.53	0.52	-0.51	-0.54	-0.53		0.98	CSHIX
CSOIX	0.99	0.98	0.52	0.5	0.52	-0.54	-0.57	-0.56	0.98		CSOIX
	CHICX	CHIAX	CRSOX	CRSCX	CRSAX	CSAIX	CSACX	CSAAX	CSHIX	CSOIX

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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

CHIAX	+ 1.0	CHICX
CSHIX	+ 1.0	CHICX
CSHIX	+ 1.0	CHIAX
CRSCX	+ 1.0	CRSOX
CSACX	+ 1.0	CSAIX
CSAAX	+ 1.0	CSAIX

High negative correlations

CSOIX	- 0.57	CSACX
CSOIX	- 0.56	CSAAX
CSHIX	- 0.54	CSACX
CSOIX	- 0.54	CSAIX
CSACX	- 0.54	CHICX
CSHIX	- 0.53	CSAAX

Risk-Adjusted Indicators

There is a big difference between Commodity Mutual Fund performing well and Commodity Return 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 Commodity Return'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
CHICX	0.11	0.04	(0.52)	4.18	0.00	(0.25)	0.48	(0.16)	0.81
CHIAX	0.11	0.04	0.00	3.50	0.00	0.00	0.33	(0.16)	0.81
CRSOX	0.62	0.08	(0.11)	(0.21)	0.70	(0.68)	1.37	(0.86)	4.41
CRSCX	0.62	0.08	(0.11)	(0.20)	0.72	(0.66)	1.36	(0.91)	4.45
CRSAX	0.62	0.06	(0.10)	(1.38)	0.70	(0.67)	1.39	(0.89)	4.43
CSAIX	0.43	(0.05)	0.00	(1.50)	0.00	0.00	0.68	(1.08)	3.04
CSACX	0.43	(0.05)	0.00	(1.14)	0.00	0.00	0.73	(1.12)	3.13
CSAAX	0.43	(0.05)	0.00	(1.13)	0.00	0.00	0.82	(1.18)	3.06
CSHIX	0.11	0.05	0.00	2.92	0.00	0.00	0.50	(0.16)	0.82
CSOIX	0.11	0.04	(0.63)	0.62	0.00	(0.22)	0.53	(0.11)	0.86

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