Chestnut Street Correlations

CHNTX Fund

USD 1,127 1.32 0.12%

The current 90-days correlation between Chestnut Street Exchange and Davis Financial Fund is 0.12 (i.e., Average diversification). The correlation of Chestnut Street 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.

Chestnut Street Correlation With Market

Very poor diversification

The correlation between Chestnut Street Exchange and DJI is 0.84 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Chestnut Street Exchange 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 Chestnut Street Exchange. 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 estimate.

Moving together with Chestnut Mutual Fund

0.83	VTSAX	Vanguard Total Stock	Pair Corr
0.84	VFIAX	Vanguard 500 Index	Pair Corr
0.83	VTSMX	Vanguard Total Stock	Pair Corr
0.85	VITSX	Vanguard Total Stock	Pair Corr
0.83	VSTSX	Vanguard Total Stock	Pair Corr
0.83	VSMPX	Vanguard Total Stock	Pair Corr
0.84	VFINX	Vanguard 500 Index	Pair Corr
0.84	VFFSX	Vanguard 500 Index	Pair Corr
0.89	FTYPX	Fidelity Freedom Index	Pair Corr
0.87	FFBTX	Fidelity Freedom Blend	Pair Corr
0.72	GCAVX	Gmo Small Cap	Pair Corr
0.95	GQLOX	Gmo Quality Fund	Pair Corr
0.85	GMCQX	Gmo Equity Allocation	Pair Corr
0.61	DD	Dupont De Nemours	Pair Corr
0.69	DIS	Walt Disney	Pair Corr
0.89	JPM	JPMorgan Chase	Pair Corr
0.76	AXP	American Express	Pair Corr
0.61	HPQ	HP Inc	Pair Corr
0.87	WMT	Walmart	Pair Corr

Moving against Chestnut Mutual Fund

0.45	GAAVX	Gmo Alternative Allo	Pair Corr
0.47	MRK	Merck Company	Pair Corr

Related Correlations Analysis

	DVFYX	RMBKX	RMBLX	PGFMX	GCFSX	VFAIX	FAFSX
DVFYX		0.56	0.57	0.93	0.86	0.87	0.73	DVFYX
RMBKX	0.56		1.0	0.44	0.17	0.82	0.92	RMBKX
RMBLX	0.57	1.0		0.45	0.18	0.82	0.92	RMBLX
PGFMX	0.93	0.44	0.45		0.91	0.72	0.59	PGFMX
GCFSX	0.86	0.17	0.18	0.91		0.59	0.38	GCFSX
VFAIX	0.87	0.82	0.82	0.72	0.59		0.93	VFAIX
FAFSX	0.73	0.92	0.92	0.59	0.38	0.93		FAFSX
	DVFYX	RMBKX	RMBLX	PGFMX	GCFSX	VFAIX	FAFSX

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Risk-Adjusted Indicators

There is a big difference between Chestnut Mutual Fund performing well and Chestnut Street 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 Chestnut Street'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
DVFYX	0.85	0.03	0.02	(0.33)	1.27	(0.82)	1.65	(2.39)	6.47
RMBKX	1.13	(0.15)	0.00	(0.14)	0.00	0.00	2.19	(3.08)	6.79
RMBLX	1.13	(0.15)	0.00	(0.14)	0.00	0.00	2.20	(3.09)	6.78
PGFMX	0.40	(0.01)	0.00	0.07	0.00	0.00	0.85	(0.86)	2.21
GCFSX	0.76	0.06	0.05	(0.50)	1.00	(0.79)	1.80	(2.41)	4.68
VFAIX	0.85	0.01	0.01	0.01	1.27	(0.84)	1.99	(2.51)	6.10
FAFSX	0.90	(0.06)	0.00	(0.05)	0.00	0.00	1.71	(2.71)	6.26

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