Six Circles Correlations

CUSUX Fund

USD 19.11 0.10 0.53%

The current 90-days correlation between Six Circles Unconstrained and Adams Natural Resources is 0.29 (i.e., Modest diversification). The correlation of Six Circles 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.

Six Circles Correlation With Market

Very weak diversification

The correlation between Six Circles Unconstrained and DJI is 0.51 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Six Circles Unconstrained 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 Six Circles Unconstrained. 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 manufacturing.

Moving together with Six Mutual Fund

0.69	JSGIX	John Hancock Strategic	Pair Corr
0.65	MDEGX	Blackrock Glbl Dyn	Pair Corr
0.7	HSTIX	Stock Index Fund	Pair Corr

Moving against Six Mutual Fund

0.57	USPSX	Profunds Ultrashort	Pair Corr
0.57	USPIX	Profunds Ultrashort	Pair Corr

Related Correlations Analysis

	PEO	CAEIX	ICBAX	IEFCX	BACCX	ENPSX
PEO		0.09	0.51	0.91	0.86	0.91	PEO
CAEIX	0.09		0.44	0.2	0.03	-0.01	CAEIX
ICBAX	0.51	0.44		0.35	0.13	0.27	ICBAX
IEFCX	0.91	0.2	0.35		0.92	0.9	IEFCX
BACCX	0.86	0.03	0.13	0.92		0.94	BACCX
ENPSX	0.91	-0.01	0.27	0.9	0.94		ENPSX
	PEO	CAEIX	ICBAX	IEFCX	BACCX	ENPSX

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

ENPSX	+ 0.94	BACCX
BACCX	+ 0.92	IEFCX
IEFCX	+ 0.91	PEO
ENPSX	+ 0.91	PEO
ENPSX	+ 0.9	IEFCX
BACCX	+ 0.86	PEO

High negative correlations

ENPSX

- 0.01

CAEIX

Risk-Adjusted Indicators

There is a big difference between Six Mutual Fund performing well and Six Circles 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 Six Circles' 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
PEO	0.71	0.01	(0.03)	0.07	0.99	(0.64)	1.38	(1.55)	4.03
CAEIX	0.72	0.00	0.00	0.06	1.00	(0.71)	1.43	(1.69)	4.38
ICBAX	1.27	0.12	0.11	0.14	1.11	(1.56)	3.34	(1.94)	11.70
IEFCX	0.89	(0.01)	(0.03)	0.03	1.28	(0.81)	1.57	(1.61)	5.03
BACCX	0.73	(0.05)	0.00	(0.10)	0.00	0.00	1.39	(1.32)	4.04
ENPSX	1.38	(0.02)	(0.02)	0.02	1.81	(1.36)	2.50	(2.75)	7.36

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