Campbell Systematic Correlations

EBSIX Fund

USD 9.96 0.01 0.10%

The current 90-days correlation between Campbell Systematic Macro and Equinox Campbell Strategy is 0.98 (i.e., Almost no 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

Significant diversification

The correlation between Campbell Systematic Macro and DJI is 0.03 (i.e., Significant 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

1.0	EBSCX	Equinox Campbell Strategy	Pair Corr
1.0	EBSAX	Campbell Systematic Macro	Pair Corr

Moving against Campbell Mutual Fund

0.53	MBXFX	Catalystmillburn Hedge	Pair Corr
0.53	MBXIX	Catalystmillburn Hedge	Pair Corr
0.53	MBXAX	Catalystmillburn Hedge	Pair Corr
0.53	MBXCX	Catalystmillburn Hedge	Pair Corr
0.5	PCBSX	Blackrock Tactical	Pair Corr
0.5	PBAIX	Blackrock Tactical	Pair Corr
0.49	BRBCX	Blackrock Tactical	Pair Corr
0.48	PCBAX	Blackrock Tactical	Pair Corr
0.46	FSMMX	Fs Multi Strategy	Pair Corr
0.44	MDIIX	Blackrock Intern Index	Pair Corr
0.43	BTMPX	Ishares Msci Eafe	Pair Corr
0.43	BTMKX	Blackrock International	Pair Corr
0.31	MLPNX	Oppenheimer Steelpath Mlp	Pair Corr
0.59	ABSZX	Ab Discovery Value	Pair Corr
0.59	BAUUX	Brown Advisory Small	Pair Corr
0.58	WWSYX	Westwood Quality Smallcap	Pair Corr
0.57	CDWFX	American Funds Developing	Pair Corr
0.57	THSMX	Toews Tactical Oppor	Pair Corr
0.57	HMJIX	Hartford Municipal Short	Pair Corr
0.56	MLGRX	Mainstay Large Cap	Pair Corr
0.56	NDVAX	Mfs New Discovery	Pair Corr
0.54	VLAGX	Valic Company I	Pair Corr
0.54	ETSIX	Eaton Vance Short	Pair Corr
0.52	INPSX	Internet Ultrasector	Pair Corr
0.5	COSYX	Columbia Overseas Value	Pair Corr
0.49	CNRMX	City National Rochdale	Pair Corr
0.43	HCHYX	Fixed Income	Pair Corr
0.42	DNP	Dnp Select Income	Pair Corr
0.59	AOTCX	Allianzgi Emerging	Pair Corr
0.58	MHEFX	Mh Elite Fund	Pair Corr
0.57	CCSTX	Capital Group California	Pair Corr
0.57	SMPAX	Moderate Balanced	Pair Corr
0.55	SSTHX	Wells Fargo Short	Pair Corr
0.55	QSTFX	Quantified Stf	Pair Corr

Related Correlations Analysis

	EBSIX	EBSCX	EBSAX	RBCRX	RMBMX	POSAX	ICMBX	CDDYX	TMBTX	MYSPX
EBSIX		1.0	1.0	-0.48	-0.59	-0.43	-0.59	-0.56	-0.46	-0.55	EBSIX
EBSCX	1.0		1.0	-0.52	-0.63	-0.46	-0.64	-0.62	-0.5	-0.6	EBSCX
EBSAX	1.0	1.0		-0.48	-0.6	-0.43	-0.6	-0.57	-0.46	-0.56	EBSAX
RBCRX	-0.48	-0.52	-0.48		0.89	0.79	0.93	0.91	0.52	0.93	RBCRX
RMBMX	-0.59	-0.63	-0.6	0.89		0.8	0.92	0.92	0.55	0.94	RMBMX
POSAX	-0.43	-0.46	-0.43	0.79	0.8		0.82	0.84	0.67	0.85	POSAX
ICMBX	-0.59	-0.64	-0.6	0.93	0.92	0.82		0.99	0.67	0.97	ICMBX
CDDYX	-0.56	-0.62	-0.57	0.91	0.92	0.84	0.99		0.69	0.98	CDDYX
TMBTX	-0.46	-0.5	-0.46	0.52	0.55	0.67	0.67	0.69		0.67	TMBTX
MYSPX	-0.55	-0.6	-0.56	0.93	0.94	0.85	0.97	0.98	0.67		MYSPX
	EBSIX	EBSCX	EBSAX	RBCRX	RMBMX	POSAX	ICMBX	CDDYX	TMBTX	MYSPX

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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

EBSCX	+ 1.0	EBSIX
EBSAX	+ 1.0	EBSIX
EBSAX	+ 1.0	EBSCX
CDDYX	+ 0.99	ICMBX
MYSPX	+ 0.98	CDDYX
MYSPX	+ 0.97	ICMBX

High negative correlations

ICMBX	- 0.64	EBSCX
RMBMX	- 0.63	EBSCX
CDDYX	- 0.62	EBSCX
ICMBX	- 0.6	EBSAX
RMBMX	- 0.6	EBSAX
MYSPX	- 0.6	EBSCX

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
EBSIX	0.37	0.00	(0.34)	0.01	0.45	(0.39)	0.72	(0.81)	1.91
EBSCX	0.35	0.00	(0.32)	1.40	0.43	(0.40)	0.76	(0.88)	1.97
EBSAX	0.37	0.00	(0.35)	0.04	0.43	(0.42)	0.73	(0.82)	2.04
RBCRX	0.81	0.24	0.06	(4.95)	0.65	(1.02)	2.78	(1.62)	5.89
RMBMX	0.77	0.16	(0.03)	(0.88)	0.91	(0.87)	1.78	(1.46)	6.45
POSAX	0.54	0.10	(0.09)	(1.46)	0.64	(0.61)	1.39	(1.12)	3.62
ICMBX	0.38	0.08	(0.02)	0.34	0.00	(0.44)	1.03	(0.86)	2.52
CDDYX	0.51	0.05	0.00	0.24	0.37	(0.60)	1.47	(0.91)	3.51
TMBTX	0.25	0.00	(0.44)	0.00	0.25	(0.27)	0.48	(0.47)	1.31
MYSPX	0.65	0.25	0.07	(2.59)	0.56	(0.75)	2.03	(1.12)	4.87

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