Commonwealth Australia/new Correlations
| CNZLX Fund | USD 11.24 0.03 0.27% |
The current 90-days correlation between Commonwealth Australia/new and Commonwealth Japan Fund is 0.49 (i.e., Very weak diversification). The correlation of Commonwealth Australia/new 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.
Commonwealth Australia/new Correlation With Market
Modest diversification
The correlation between Commonwealth Australianew Zeal and DJI is 0.22 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Commonwealth Australianew Zeal and DJI in the same portfolio, assuming nothing else is changed.
Commonwealth |
Moving together with Commonwealth Mutual Fund
| 0.89 | CNJFX | Commonwealth Japan | PairCorr |
| 0.83 | FNORX | Fidelity Nordic | PairCorr |
| 0.77 | BRUFX | Bruce Fund Bruce | PairCorr |
| 0.71 | KF | Korea Closed | PairCorr |
| 0.67 | VEMBX | Vanguard Emerging Markets | PairCorr |
Moving against Commonwealth Mutual Fund
| 0.75 | XGEIX | Guggenheim Energy Income | PairCorr |
| 0.61 | FHCOX | Federated Hermes Con | PairCorr |
| 0.51 | DFMGX | Df Dent Midcap | PairCorr |
| 0.51 | ANCIX | Ancora Microcap | PairCorr |
| 0.48 | SWPPX | Schwab Sp 500 | PairCorr |
| 0.48 | VFINX | Vanguard 500 Index | PairCorr |
| 0.48 | VIIIX | Vanguard Institutional | PairCorr |
| 0.46 | SPGSX | State Street Premier | PairCorr |
| 0.45 | LGWIX | Ladenburg Growth | PairCorr |
| 0.39 | PCF | Putnam High Income | PairCorr |
| 0.38 | FBALX | Fidelity Balanced | PairCorr |
| 0.37 | TAAIX | Thrivent Aggressive | PairCorr |
| 0.58 | IMOPX | Voya Midcap Opportunities | PairCorr |
| 0.54 | VIGAX | Vanguard Growth Index | PairCorr |
| 0.5 | VTSAX | Vanguard Total Stock | PairCorr |
| 0.48 | VSEQX | Vanguard Strategic Equity | PairCorr |
Related Correlations Analysis
| -0.78 | 0.0 | 0.25 | 0.12 | CNJFX | ||
| -0.78 | 0.0 | -0.41 | -0.25 | MAKOX | ||
| 0.0 | 0.0 | 0.0 | 0.0 | EUROX | ||
| 0.25 | -0.41 | 0.0 | 0.97 | MACSX | ||
| 0.12 | -0.25 | 0.0 | 0.97 | IASMX | ||
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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
| High negative correlations
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Risk-Adjusted Indicators
There is a big difference between Commonwealth Mutual Fund performing well and Commonwealth Australia/new 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 Commonwealth Australia/new'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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| CNJFX | 0.91 | (0.14) | 0.00 | (0.11) | 0.00 | 2.09 | 7.72 | |||
| MAKOX | 0.79 | 0.14 | (0.01) | (0.58) | 0.73 | 1.79 | 4.32 | |||
| EUROX | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||
| MACSX | 0.67 | (0.02) | (0.11) | 0.06 | 0.88 | 1.89 | 5.35 | |||
| IASMX | 1.04 | 0.02 | (0.03) | 0.16 | 1.44 | 2.93 | 8.44 |