Embark Commodity Correlations

ECSWX Fund

10.90 0.03 0.28%

The current 90-days correlation between Embark Commodity Strategy and Jhancock Disciplined Value is -0.42 (i.e., Very good diversification). The correlation of Embark Commodity 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.

Embark Commodity Correlation With Market

Good diversification

The correlation between Embark Commodity Strategy and DJI is -0.19 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Embark Commodity Strategy 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 Embark Commodity 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 housing.

Moving together with Embark Mutual Fund

0.76	HIIDX	Harbor Diversified	Pair Corr
0.74	HIINX	Harbor International	Pair Corr
0.69	HIISX	Harbor International	Pair Corr
0.75	HNINX	Harbor International	Pair Corr
0.69	HNISX	Harbor International	Pair Corr
0.73	HNICX	Harbor International	Pair Corr
0.76	HNIDX	Harbor Diversified	Pair Corr
1.0	ECSQX	Embark Commodity Strategy	Pair Corr
0.76	HRIDX	Harbor Diversified	Pair Corr
0.75	HRINX	Harbor International	Pair Corr
0.69	HRISX	Harbor International	Pair Corr

Moving against Embark Mutual Fund

0.84	HISWX	Harbor Strategic Growth	Pair Corr
0.84	HNGSX	Harbor Strategic Growth	Pair Corr
0.8	HNMGX	Harbor Mid Cap	Pair Corr
0.78	HIMGX	Harbor Mid Cap	Pair Corr
0.36	HRCAX	Harbor Capital Appre	Pair Corr
0.35	HISVX	Harbor Small Cap	Pair Corr
0.35	HNACX	Harbor Capital Appre	Pair Corr
0.34	HNVRX	Harbor Small Cap	Pair Corr
0.32	HISGX	Harbor Small Cap	Pair Corr
0.84	MVSGX	Harbor Strategic Growth	Pair Corr
0.8	HRMGX	Harbor Mid Cap	Pair Corr
0.8	HAMGX	Harbor Mid Cap	Pair Corr
0.37	HCAIX	Harbor Capital Appre	Pair Corr
0.35	HACAX	Harbor Capital Appre	Pair Corr
0.34	HASCX	Harbor Small Cap	Pair Corr
0.34	HSVRX	Harbor Small Cap	Pair Corr

Related Correlations Analysis

	JDVNX	CMIFX	FMIQX	OAKLX	GMLVX	PAFDX	LTFOX
JDVNX		-0.35	0.92	0.7	0.04	0.28	0.62	JDVNX
CMIFX	-0.35		-0.25	-0.16	0.66	0.52	0.04	CMIFX
FMIQX	0.92	-0.25		0.48	0.09	0.12	0.4	FMIQX
OAKLX	0.7	-0.16	0.48		0.14	0.63	0.95	OAKLX
GMLVX	0.04	0.66	0.09	0.14		0.61	0.29	GMLVX
PAFDX	0.28	0.52	0.12	0.63	0.61		0.75	PAFDX
LTFOX	0.62	0.04	0.4	0.95	0.29	0.75		LTFOX
	JDVNX	CMIFX	FMIQX	OAKLX	GMLVX	PAFDX	LTFOX

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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

LTFOX	+ 0.95	OAKLX
FMIQX	+ 0.92	JDVNX
LTFOX	+ 0.75	PAFDX
OAKLX	+ 0.7	JDVNX
GMLVX	+ 0.66	CMIFX
PAFDX	+ 0.63	OAKLX

High negative correlations

CMIFX	- 0.35	JDVNX
FMIQX	- 0.25	CMIFX
OAKLX	- 0.16	CMIFX

Risk-Adjusted Indicators

There is a big difference between Embark Mutual Fund performing well and Embark Commodity 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 Embark Commodity'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
JDVNX	0.86	(0.19)	0.00	(0.23)	0.00	0.00	1.24	(1.95)	10.15
CMIFX	0.07	0.01	0.04	(0.44)	0.00	(0.12)	0.10	(0.10)	0.41
FMIQX	0.86	(0.20)	0.00	(0.26)	0.00	0.00	1.20	(1.51)	10.22
OAKLX	0.78	(0.04)	0.00	0.32	0.00	0.00	1.43	(1.88)	3.58
GMLVX	0.70	0.03	0.03	0.07	0.90	(0.76)	1.57	(1.62)	5.51
PAFDX	0.62	0.04	0.05	0.06	0.74	(0.67)	1.23	(1.15)	3.38
LTFOX	0.71	(0.02)	0.00	0.12	0.00	0.00	1.49	(1.60)	3.58

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