Campbell Systematic Correlations

EBSIX Fund

USD 9.69 0.02 0.21%

The current 90-days correlation between Campbell Systematic Macro and Asg Managed Futures is 0.72 (i.e., Poor diversification). The correlation of Campbell Systematic 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.

Campbell Systematic Correlation With Market

Modest diversification

The correlation between Campbell Systematic Macro and DJI is 0.27 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Campbell Systematic Macro and DJI in the same portfolio, assuming nothing else is changed.

Check out Investing Opportunities to better understand how to build diversified portfolios, which includes a position in Campbell Systematic Macro. 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 gross domestic product.

Moving together with Campbell Mutual Fund

0.76	EBSCX	Equinox Campbell Strategy	Pair Corr
1.0	EBSAX	Campbell Systematic Macro	Pair Corr
0.69	QSTFX	Quantified Stf	Pair Corr
0.62	DNAVX	Dunham Dynamic Macro	Pair Corr

Moving against Campbell Mutual Fund

0.59

BRCYX

Invesco Balanced Risk

Pair Corr

Related Correlations Analysis

	ASFYX	JSISX	GTEYX	ABRYX	ABYIX
ASFYX		0.53	-0.17	0.16	0.76	ASFYX
JSISX	0.53		0.57	-0.01	0.07	JSISX
GTEYX	-0.17	0.57		-0.38	-0.38	GTEYX
ABRYX	0.16	-0.01	-0.38		0.25	ABRYX
ABYIX	0.76	0.07	-0.38	0.25		ABYIX
	ASFYX	JSISX	GTEYX	ABRYX	ABYIX

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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

ABYIX	+ 0.76	ASFYX
GTEYX	+ 0.57	JSISX
JSISX	+ 0.53	ASFYX
ABYIX	+ 0.25	ABRYX
ABRYX	+ 0.16	ASFYX
ABYIX	+ 0.07	JSISX

High negative correlations

ABYIX	- 0.38	GTEYX
ABRYX	- 0.38	GTEYX
GTEYX	- 0.17	ASFYX
ABRYX	- 0.01	JSISX

Risk-Adjusted Indicators

There is a big difference between Campbell Mutual Fund performing well and Campbell Systematic 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 Campbell Systematic'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
ASFYX	0.43	(0.06)	0.00	(0.17)	0.00	0.00	0.80	(0.91)	2.21
JSISX	0.10	(0.01)	0.00	(0.17)	0.00	0.00	0.21	(0.21)	0.62
GTEYX	0.29	0.03	0.03	0.08	0.46	(0.29)	0.55	(0.51)	3.71
ABRYX	0.62	(0.26)	0.00	(0.79)	0.00	0.00	0.73	(1.15)	13.19
ABYIX	0.41	(0.06)	0.00	(0.23)	0.00	0.00	0.72	(0.88)	3.52

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