College Retirement Correlations

QCGLRX Fund

USD 384.56 2.76 0.71%

The current 90-days correlation between College Retirement and Global Resources Fund is 0.23 (i.e., Modest diversification). The correlation of College Retirement 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.

College Retirement Correlation With Market

Very poor diversification

The correlation between College Retirement Equities and DJI is 0.85 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding College Retirement Equities and DJI in the same portfolio, assuming nothing else is changed.

Check out Your Equity Center to better understand how to build diversified portfolios, which includes a position in College Retirement Equities. Also, note that the market value of any fund could be closely tied with the direction of predictive economic indicators such as signals in board of governors.

Moving together with College Fund

0.97	VTSAX	Vanguard Total Stock	Pair Corr
1.0	VFIAX	Vanguard 500 Index	Pair Corr
1.0	VTSMX	Vanguard Total Stock	Pair Corr
1.0	VITSX	Vanguard Total Stock	Pair Corr
0.97	VSTSX	Vanguard Total Stock	Pair Corr
0.97	VSMPX	Vanguard Total Stock	Pair Corr
0.99	VFINX	Vanguard 500 Index	Pair Corr
0.97	VFFSX	Vanguard 500 Index	Pair Corr
0.97	VGTSX	Vanguard Total Inter	Pair Corr
0.97	VTIAX	Vanguard Total Inter	Pair Corr
0.96	PSNSX	Pimco Stocksplus Small	Pair Corr
0.75	MMM	3M Company	Pair Corr
0.84	GE	GE Aerospace	Pair Corr
0.86	BA	Boeing	Pair Corr
0.91	JPM	JPMorgan Chase	Pair Corr
0.8	MRK	Merck Company	Pair Corr
0.81	BAC	Bank of America Aggressive Push	Pair Corr
0.9	CVX	Chevron Corp	Pair Corr
0.77	CSCO	Cisco Systems Aggressive Push	Pair Corr
0.79	HD	Home Depot Sell-off Trend	Pair Corr
0.92	CAT	Caterpillar	Pair Corr

Moving against College Fund

0.63	PG	Procter Gamble	Pair Corr
0.49	IBM	International Business	Pair Corr
0.46	KO	Coca Cola	Pair Corr

Related Correlations Analysis

	PSPFX	GMOWX	TREIX	PNRCX	VENAX	BACCX	PDX
PSPFX		0.88	0.87	0.85	0.59	0.59	0.44	PSPFX
GMOWX	0.88		0.89	0.85	0.78	0.76	0.62	GMOWX
TREIX	0.87	0.89		0.77	0.55	0.55	0.51	TREIX
PNRCX	0.85	0.85	0.77		0.82	0.85	0.7	PNRCX
VENAX	0.59	0.78	0.55	0.82		0.99	0.79	VENAX
BACCX	0.59	0.76	0.55	0.85	0.99		0.83	BACCX
PDX	0.44	0.62	0.51	0.7	0.79	0.83		PDX
	PSPFX	GMOWX	TREIX	PNRCX	VENAX	BACCX	PDX

Risk-Adjusted Indicators

There is a big difference between College Fund performing well and College Retirement 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 College Retirement'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
PSPFX	0.70	0.23	0.18	1.09	0.34	(0.94)	1.78	(0.94)	4.02
GMOWX	1.01	0.26	0.15	3.31	0.80	(1.21)	2.50	(1.61)	5.43
TREIX	0.06	0.00	(0.83)	0.00	0.00	(0.12)	0.10	(0.10)	0.41
PNRCX	0.62	0.10	0.05	0.38	0.43	(0.74)	1.45	(1.00)	4.02
VENAX	0.89	0.14	0.05	0.63	0.86	(1.01)	1.79	(1.54)	4.55
BACCX	0.73	0.13	0.04	1.07	0.67	(0.84)	1.55	(1.31)	3.87
PDX	0.63	0.08	0.01	0.40	0.58	(0.76)	1.29	(1.18)	5.83

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