Commodities Strategy Correlations

RYMJX Fund

USD 85.51 0.14 0.16%

The current 90-days correlation between Commodities Strategy and Gmo High Yield is -0.24 (i.e., Very good diversification). The correlation of Commodities Strategy 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.

Commodities Strategy Correlation With Market

Significant diversification

The correlation between Commodities Strategy Fund and DJI is 0.04 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Commodities Strategy Fund and DJI in the same portfolio, assuming nothing else is changed.

Check out Your Equity Center to better understand how to build diversified portfolios, which includes a position in Commodities Strategy Fund. 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 inflation.

Moving together with Commodities Mutual Fund

0.65	RYBCX	Basic Materials	Pair Corr
0.65	RYBAX	Basic Materials	Pair Corr
0.61	RYBKX	Banking Fund Class	Pair Corr
0.65	RYBMX	Basic Materials	Pair Corr
0.83	RYEAX	Energy Fund Class	Pair Corr
0.83	RYECX	Energy Fund Class	Pair Corr

Moving against Commodities Mutual Fund

0.42	RYAGX	Inverse Mid Cap	Pair Corr
0.31	RYAIX	Inverse Nasdaq 100	Pair Corr
0.31	RYALX	Inverse Nasdaq 100	Pair Corr
0.31	RYAPX	Inverse Nasdaq 100	Pair Corr
0.49	RYCZX	Inverse Dow 2x	Pair Corr
0.48	RYCPX	Consumer Products	Pair Corr
0.48	RYCWX	Inverse Dow 2x	Pair Corr
0.47	RYCAX	Consumer Products	Pair Corr
0.46	RYCIX	Consumer Products	Pair Corr
0.42	RYCLX	Inverse Mid Cap	Pair Corr
0.39	RYCBX	Inverse Sp 500	Pair Corr
0.34	RYCDX	Rydex Inverse Nasdaq	Pair Corr
0.34	RYCQX	Inverse Russell 2000	Pair Corr

Related Correlations Analysis

	GHVIX	AQRRX	ABTYX	AGDZX	ABTHX	TRRJX	AGDAX
GHVIX		0.89	0.83	0.96	0.82	0.69	0.96	GHVIX
AQRRX	0.89		0.64	0.84	0.63	0.88	0.85	AQRRX
ABTYX	0.83	0.64		0.88	1.0	0.42	0.89	ABTYX
AGDZX	0.96	0.84	0.88		0.87	0.63	0.99	AGDZX
ABTHX	0.82	0.63	1.0	0.87		0.42	0.88	ABTHX
TRRJX	0.69	0.88	0.42	0.63	0.42		0.65	TRRJX
AGDAX	0.96	0.85	0.89	0.99	0.88	0.65		AGDAX
	GHVIX	AQRRX	ABTYX	AGDZX	ABTHX	TRRJX	AGDAX

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Risk-Adjusted Indicators

There is a big difference between Commodities Mutual Fund performing well and Commodities Strategy 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 Commodities Strategy'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
GHVIX	0.16	0.01	0.06	(0.25)	0.14	(0.17)	0.30	(0.35)	1.01
AQRRX	0.49	0.05	0.07	(0.50)	0.61	(0.53)	1.02	(1.08)	3.50
ABTYX	0.25	(0.01)	0.00	0.33	0.00	0.00	0.50	(0.59)	1.55
AGDZX	0.14	0.01	0.04	(0.18)	0.06	(0.23)	0.43	(0.28)	1.01
ABTHX	0.25	(0.02)	0.00	0.30	0.00	0.00	0.49	(0.59)	1.64
TRRJX	0.53	(0.01)	0.00	0.07	0.00	0.00	1.03	(1.11)	3.05
AGDAX	0.13	0.01	0.04	(0.11)	0.06	(0.24)	0.44	(0.29)	1.01

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