Campbell Systematic Correlations

EBSIX Fund

USD 9.99 0.03 0.30%

The current 90-days correlation between Campbell Systematic Macro and Asg Managed Futures is 0.47 (i.e., Very weak 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

Good diversification

The correlation between Campbell Systematic Macro and DJI is -0.08 (i.e., Good 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 against Campbell Mutual Fund

0.56	SPSDX	Sterling Capital Beh	Pair Corr
0.56	JORRX	Janus Global Select	Pair Corr
0.55	DCEMX	Dunham Emerging Markets	Pair Corr
0.54	RELVX	Equity Growth Strategy	Pair Corr
0.54	SWYAX	Schwab Target 2010	Pair Corr
0.52	MBXFX	Catalystmillburn Hedge	Pair Corr
0.52	MBXIX	Catalystmillburn Hedge	Pair Corr
0.52	MBXAX	Catalystmillburn Hedge	Pair Corr
0.52	MBXCX	Catalystmillburn Hedge	Pair Corr
0.52	VFIAX	Vanguard 500 Index	Pair Corr
0.52	VITSX	Vanguard Total Stock	Pair Corr
0.52	LEVIX	Lazard Equity Centrated	Pair Corr
0.52	MSTSX	Morningstar Unconstrained	Pair Corr
0.51	VFINX	Vanguard 500 Index	Pair Corr
0.51	RRTAX	T Rowe Price	Pair Corr
0.5	VTSMX	Vanguard Total Stock	Pair Corr
0.5	VSMPX	Vanguard Total Stock	Pair Corr
0.5	VSTSX	Vanguard Total Stock	Pair Corr
0.5	VFFSX	Vanguard 500 Index	Pair Corr
0.5	BAFQX	Brown Advisory	Pair Corr
0.5	FNILX	Fidelity Zero Large	Pair Corr
0.49	VTSAX	Vanguard Total Stock	Pair Corr
0.47	VGTSX	Vanguard Total Inter	Pair Corr
0.47	VTIAX	Vanguard Total Inter	Pair Corr
0.44	PBAIX	Blackrock Tactical	Pair Corr
0.43	BRBCX	Blackrock Tactical	Pair Corr
0.42	PCBAX	Blackrock Tactical	Pair Corr
0.42	PCBSX	Blackrock Tactical	Pair Corr
0.37	TRRPX	Tiaa Cref Real	Pair Corr
0.62	BBIIX	Bbh Intermediate Mun	Pair Corr
0.57	EMAYX	Enterprise Mergers And	Pair Corr
0.56	GSHUX	Goldman Sachs High	Pair Corr
0.56	FTXNX	Fuller Thaler Behavioral	Pair Corr
0.55	ISIAX	Voya Strategic Income	Pair Corr
0.55	DGINX	Dgi Balanced	Pair Corr
0.54	KAGCX	Kensington Dynamic Growth	Pair Corr
0.54	GMMRX	Nationwide Investor	Pair Corr
0.53	SICWX	Sentinel Mon Stock	Pair Corr
0.53	CSRYX	Columbia Select Large	Pair Corr
0.53	VSFCX	Federated Clover Small	Pair Corr

Related Correlations Analysis

	ASFYX	JSISX	GTEYX	ABRYX	ABYIX
ASFYX		-0.08	-0.31	-0.1	0.74	ASFYX
JSISX	-0.08		0.94	0.94	-0.39	JSISX
GTEYX	-0.31	0.94		0.86	-0.56	GTEYX
ABRYX	-0.1	0.94	0.86		-0.35	ABRYX
ABYIX	0.74	-0.39	-0.56	-0.35		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

GTEYX	+ 0.94	JSISX
ABRYX	+ 0.94	JSISX
ABRYX	+ 0.86	GTEYX
ABYIX	+ 0.74	ASFYX

High negative correlations

ABYIX	- 0.56	GTEYX
ABYIX	- 0.39	JSISX
ABYIX	- 0.35	ABRYX
GTEYX	- 0.31	ASFYX
ABRYX	- 0.1	ASFYX
JSISX	- 0.08	ASFYX

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	0.33	0.02	(0.32)	0.01	0.49	(0.37)	0.57	(0.83)	2.63
JSISX	0.11	0.04	(0.99)	(4.94)	0.00	(0.15)	0.31	(0.20)	0.62
GTEYX	0.28	0.05	(0.17)	0.32	0.00	(0.33)	0.98	(0.37)	1.97
ABRYX	0.24	0.07	(0.47)	(1.25)	0.05	(0.29)	0.74	(0.49)	1.26
ABYIX	0.22	(0.01)	(0.64)	(0.43)	0.27	(0.27)	0.58	(0.48)	1.53

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