Embark Commodity Correlations

Mutual Funds . USA . 
Fund . Embark Commodity Strategy
ECSQX Fund   10.92  0.07  0.65%   
The current 90-days correlation between Embark Commodity Strategy and Harbor Vertible Securities is -0.15 (i.e., 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

Very good diversification

The correlation between Embark Commodity Strategy and DJI is -0.36 (i.e., Very 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 producer price index.

Moving together with Embark Mutual Fund

  0.61HICSX Harbor Vertible SecuPairCorr
  0.62HIIDX Harbor DiversifiedPairCorr
  0.66HIISX Harbor InternationalPairCorr
  0.66HISGX Harbor Small CapPairCorr
  0.63HMCLX Harbor Mid CapPairCorr
  0.61HNCVX Harbor Vertible SecuPairCorr
  0.61ESCWX Embark Small CapPairCorr
  0.61ESCQX Embark Small CapPairCorr
  0.66HNISX Harbor InternationalPairCorr
  0.61HNICX Harbor InternationalPairCorr
  0.62HNIDX Harbor DiversifiedPairCorr
  0.66HNSGX Harbor Small CapPairCorr
  1.0ECSWX Embark Commodity StrategyPairCorr
  0.62HRIDX Harbor DiversifiedPairCorr
  0.66HRISX Harbor InternationalPairCorr
  0.66HRSGX Harbor Small CapPairCorr
  0.61HACSX Harbor Vertible SecuPairCorr
  0.66HAISX Harbor InternationalPairCorr

Related Correlations Analysis

Click cells to compare fundamentals   Check Volatility   Backtest Portfolio

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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
HICSX  0.44  0.13  0.11  0.43  0.00 
(0.56)
 1.06 
(0.60)
 2.66 
HIIDX  0.48  0.15  0.11  0.50  0.26 
(0.59)
 1.21 
(0.87)
 3.13 
HIINX  0.54  0.13  0.06  0.43  0.45 
(0.58)
 1.17 
(1.13)
 3.22 
HIISX  0.52  0.19  0.14  0.86  0.15 
(0.62)
 1.32 
(0.94)
 2.84 
HIMVX  0.77  0.07  0.07  0.21  0.71 
(0.84)
 1.97 
(1.31)
 5.85 
HILVX  0.65  0.06  0.04  0.20  0.69 
(0.76)
 1.79 
(1.38)
 4.24 
HISVX  0.91  0.10  0.10  0.23  0.77 
(1.08)
 2.08 
(1.80)
 6.21 
HISGX  0.89  0.33  0.15 (1.05) 0.71 
(1.10)
 2.36 
(1.53)
 6.08 
HMCLX  0.76  0.19  0.07  1.83  0.65 
(0.84)
 2.06 
(1.51)
 5.73 
HMCNX  0.74  0.04  0.03  0.17  0.68 
(0.85)
 2.06 
(1.45)
 5.81 

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