Columbia Correlations

CGVRX Fund

USD 17.90 0.07 0.39%

The current 90-days correlation between Columbia Government and Prudential Core Conservative is 0.96 (i.e., Almost no diversification). The correlation of Columbia 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.

Columbia Correlation With Market

Good diversification

The correlation between Columbia Government Mortgage and DJI is -0.14 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Columbia Government Mortgage 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 Columbia Government Mortgage. 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 metropolitan statistical area.

Moving together with Columbia Mutual Fund

0.95	SRINX	Columbia Porate Income	Pair Corr
1.0	CUTRX	Columbia Treasury Index	Pair Corr
1.0	CUTYX	Columbia Treasury Index	Pair Corr
0.93	CUVRX	Columbia Government	Pair Corr
0.67	CEBYX	Columbia Emerging Markets	Pair Corr
0.67	CEBRX	Columbia Emerging Markets	Pair Corr

Moving against Columbia Mutual Fund

0.86	CECFX	Columbia Large Cap	Pair Corr
0.81	CDAZX	Multi-manager Directional	Pair Corr
0.81	CECYX	Columbia Large Cap	Pair Corr
0.79	CDORX	Columbia Dividend	Pair Corr
0.78	CUSBX	Columbia Ultra Short	Pair Corr
0.78	CEARX	Columbia Acorn	Pair Corr
0.75	CUSHX	Columbia Ultra Short	Pair Corr
0.75	CVQZX	Columbia Disciplined	Pair Corr
0.71	CDOZX	Columbia Dividend	Pair Corr
0.71	CDOYX	Columbia Dividend	Pair Corr
0.71	CVIRX	Columbia Dividend Income	Pair Corr
0.7	CDEYX	Columbia Diversified	Pair Corr
0.7	CDVZX	Columbia Diversified	Pair Corr
0.69	CVVRX	Columbia Small Cap	Pair Corr
0.69	SSVIX	Columbia Select Smaller	Pair Corr
0.66	CUURX	Columbia Small Cap	Pair Corr
0.64	CDDYX	Columbia Dividend Income	Pair Corr
0.64	CDDRX	Columbia Dividend Income	Pair Corr
0.63	CDIRX	Columbia Dividend Income	Pair Corr
0.62	CVERX	Columbia Mid Cap	Pair Corr
0.32	CEKYX	Columbia Emerging Markets	Pair Corr
0.86	CFRZX	Columbia Floating Rate	Pair Corr
0.86	CFRYX	Columbia Floating Rate	Pair Corr
0.85	CFLRX	Columbia Floating Rate	Pair Corr
0.83	CLM	Cornerstone Strategic	Pair Corr
0.83	CGQFX	Columbia Disciplined	Pair Corr
0.8	SCIOX	Columbia Seligman	Pair Corr
0.78	GEGTX	Columbia Large Cap	Pair Corr
0.78	CGFYX	Columbia Large Cap	Pair Corr
0.76	SCIRX	Columbia Seligman	Pair Corr
0.76	SCMIX	Columbia Seligman	Pair Corr

Related Correlations Analysis

	PQCNX	FPTPX	LIGFX	ADX	DTICX	BICPX	QDARX
PQCNX		-0.07	-0.32	-0.78	0.79	0.73	0.43	PQCNX
FPTPX	-0.07		0.86	0.53	0.26	0.57	0.25	FPTPX
LIGFX	-0.32	0.86		0.8	0.07	0.37	-0.18	LIGFX
ADX	-0.78	0.53	0.8		-0.41	-0.21	-0.42	ADX
DTICX	0.79	0.26	0.07	-0.41		0.78	0.35	DTICX
BICPX	0.73	0.57	0.37	-0.21	0.78		0.36	BICPX
QDARX	0.43	0.25	-0.18	-0.42	0.35	0.36		QDARX
	PQCNX	FPTPX	LIGFX	ADX	DTICX	BICPX	QDARX

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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

LIGFX	+ 0.86	FPTPX
ADX	+ 0.8	LIGFX
DTICX	+ 0.79	PQCNX
BICPX	+ 0.78	DTICX
BICPX	+ 0.73	PQCNX
BICPX	+ 0.57	FPTPX

High negative correlations

ADX	- 0.78	PQCNX
QDARX	- 0.42	ADX
DTICX	- 0.41	ADX
LIGFX	- 0.32	PQCNX
BICPX	- 0.21	ADX
QDARX	- 0.18	LIGFX

Risk-Adjusted Indicators

There is a big difference between Columbia Mutual Fund performing well and Columbia 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 Columbia'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
PQCNX	0.23	(0.01)	0.00	0.23	0.00	0.00	0.46	(0.69)	1.40
FPTPX	0.25	(0.02)	(0.31)	0.07	0.24	(0.28)	0.52	(0.52)	1.32
LIGFX	0.25	(0.01)	(0.31)	0.10	0.19	(0.29)	0.55	(0.50)	1.23
ADX	0.64	(0.01)	(0.03)	0.12	0.80	(0.66)	1.35	(1.20)	3.44
DTICX	0.08	0.00	(0.80)	0.08	0.00	(0.15)	0.13	(0.13)	0.64
BICPX	0.19	(0.01)	(0.46)	0.03	0.17	(0.29)	0.44	(0.43)	1.21
QDARX	0.11	(0.03)	0.00	(0.31)	0.00	0.00	0.16	(0.24)	0.73

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