Columbia Correlations

AUGAX Fund

USD 18.59 0.08 0.43%

The current 90-days correlation between Columbia Government and Total Return Fund is -0.05 (i.e., Good diversification). The correlation of Columbia 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.

Columbia Correlation With Market

Average diversification

The correlation between Columbia Government Mortgage and DJI is 0.12 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Columbia Government Mortgage 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 Columbia Government Mortgage. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as various price indices.

Moving together with Columbia Mutual Fund

0.61	NECLX	Loomis Sayles Limited	Pair Corr
0.69	HDCAX	Rational Dividend Capture	Pair Corr
0.84	LCCMX	Leader Short Term	Pair Corr

Moving against Columbia Mutual Fund

0.51	USPSX	Profunds Ultrashort	Pair Corr
0.51	USPIX	Profunds Ultrashort	Pair Corr
0.46	UIPIX	Ultrashort Mid Cap	Pair Corr

Related Correlations Analysis

	PTTRX	DODIX	MSTSX	LBHIX	ABHYX	VIASP	XTWO	GBEI	KNF	AMPL
PTTRX		0.99	0.76	0.91	0.53	0.87	0.55	0.54	0.48	0.22	PTTRX
DODIX	0.99		0.78	0.91	0.53	0.89	0.51	0.53	0.46	0.23	DODIX
MSTSX	0.76	0.78		0.9	0.15	0.87	0.56	0.66	0.4	0.22	MSTSX
LBHIX	0.91	0.91	0.9		0.34	0.96	0.63	0.66	0.36	0.21	LBHIX
ABHYX	0.53	0.53	0.15	0.34		0.29	0.0	-0.2	0.22	0.22	ABHYX
VIASP	0.87	0.89	0.87	0.96	0.29		0.58	0.66	0.32	0.26	VIASP
XTWO	0.55	0.51	0.56	0.63	0.0	0.58		0.68	0.08	0.01	XTWO
GBEI	0.54	0.53	0.66	0.66	-0.2	0.66	0.68		0.38	0.09	GBEI
KNF	0.48	0.46	0.4	0.36	0.22	0.32	0.08	0.38		0.05	KNF
AMPL	0.22	0.23	0.22	0.21	0.22	0.26	0.01	0.09	0.05		AMPL
	PTTRX	DODIX	MSTSX	LBHIX	ABHYX	VIASP	XTWO	GBEI	KNF	AMPL

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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

DODIX	+ 0.99	PTTRX
VIASP	+ 0.96	LBHIX
LBHIX	+ 0.91	PTTRX
LBHIX	+ 0.91	DODIX
LBHIX	+ 0.9	MSTSX
VIASP	+ 0.89	DODIX

High negative correlations

GBEI	- 0.2	ABHYX
XTWO	- 0.0	ABHYX

Risk-Adjusted Indicators

There is a big difference between Columbia Mutual Fund performing well and Columbia 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 Columbia'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
PTTRX	0.24	0.05	(0.20)	0.63	0.00	(0.33)	0.47	(0.35)	1.27
DODIX	0.21	0.05	(0.24)	0.60	0.00	(0.29)	0.48	(0.31)	1.11
MSTSX	0.49	0.00	(0.03)	0.10	0.53	(0.53)	1.11	(0.92)	2.69
LBHIX	0.15	0.03	(0.25)	0.44	0.00	(0.32)	0.24	(0.24)	1.42
ABHYX	0.18	0.03	(0.34)	9.11	0.00	(0.30)	0.59	(0.24)	1.07
VIASP	0.28	0.08	(0.05)	1.17	0.00	(0.36)	0.69	(0.40)	1.59
XTWO	0.07	0.01	(1.12)	0.50	0.00	(0.09)	0.14	(0.10)	0.61
GBEI	3.01	0.54	0.00	0.45	0.00	0.00	10.00	0.00	55.14
KNF	1.87	(0.40)	0.00	(0.13)	0.00	0.00	4.54	(4.31)	13.43
AMPL	4.03	0.09	(0.01)	(0.39)	4.33	(5.62)	9.17	(7.20)	42.50

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