Commodity Return Strategy Fund Volatility
| CCRSX Fund | USD 21.34 0.24 1.14% |
Across the last 3 months, Commodity Return Strategy continues to post moderate price volatility. Commodity Return Strategy indicates a Sharpe ratio of 0.063, reflecting healthy reward-to-volatility behavior over the last 3 months. There are 27 technical indicators affecting the current volatility pattern.
Sharpe Ratio = 0.063
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| Cash | Small Risk | CCRSX | High Risk | Huge Risk |
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Commodity Return Strategy (CCRSX) recorded a Market Risk Adjusted Performance of -0.2%, a Risk of 2.00, and a Risk Adjusted Performance of 0.1%. Moving average data indicates COMMODITY RETURN is positioned near 5% of its recent return envelope. Inclusion in a well-diversified allocation would influence portfolio dispersion metrics.
Key indicators related to COMMODITY RETURN's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Volatility analysis for COMMODITY RETURN draws on both historical price data and forward-looking implied volatility. Periods of elevated COMMODITY RETURN volatility are typically followed by calmer conditions, and vice versa.
COMMODITY |
Volatility Strategy
Volatility in Commodity Return Strategy contributes to allocation risk depending on correlation. Current statistical measures show total volatility near 2.0% with a beta coefficient of -0.54, indicating sensitivity relative to the broader market benchmark. Risk-adjusted efficiency, represented by a Sharpe ratio of 0.063, evaluates return per unit of total risk. An alpha value of 0.0877 reflects performance relative to systematic market exposure. Expected return estimates near 0.13% are derived from historical distribution modeling and help frame forward-looking return assumptions within a portfolio context. Volatility effects depend on underlying market structure and exposure characteristics.
Main indicators related to COMMODITY RETURN's market risk premium analysis include:
Beta -0.54 | Alpha 0.0877 | Risk 2 | Sharpe Ratio 0.063 | Expected Return 0.13 |
Moving together with COMMODITY Mutual Fund
| 1.0 | CCRRX | Credit Suisse Trust | PairCorr |
| 0.93 | PCRIX | Commodityrealreturn | PairCorr |
| 0.95 | PCRRX | Commodityrealreturn | PairCorr |
| 0.95 | PCRPX | PIMCO Modityrealreturn | PairCorr |
| 0.95 | PCSRX | Commodityrealreturn | PairCorr |
| 0.85 | PCLAX | PIMCO COMMODITIESPLUS | PairCorr |
| 0.89 | PCPCX | PIMCO COMMODITIESPLUS | PairCorr |
| 0.87 | PCLNX | PIMCO Commoditiesplus | PairCorr |
| 0.9 | FIFGX | Fidelity Sai | PairCorr |
| 0.93 | PCRAX | Commodityrealreturn | PairCorr |
| 0.93 | PCRCX | Commodityrealreturn | PairCorr |
| 0.73 | DLDFX | Destinations Low Duration | PairCorr |
| 0.62 | SECPX | Sdit Ultra Short | PairCorr |
| 0.92 | COMIX | Cm Modity Index | PairCorr |
| 0.92 | CMCYX | Cm Modity Index | PairCorr |
| 0.94 | ARCIX | Aqr Risk Balanced | PairCorr |
Moving Against COMMODITY Mutual Fund
Sensitivity To Market
Commodity Return Strategy relative market sensitivity is quantified by its beta value of -0.54. This regression-derived coefficient reflects systematic risk. Total return variability is about 2.0%.This summary describes how Commodity Return Strategy has moved rather than why it moved. Standard deviation is near 1.95% and downside deviation is near 2.84%. Liquidity of underlying holdings can influence how smoothly fund values update in fast markets.
3 Months Beta |Analyze Commodity Return Strategy Demand TrendCheck current 90 days COMMODITY RETURN correlation with market (Dow Jones Industrial)Downside Risk
Standard deviation for COMMODITY expresses the daily price volatility as a spread around the mean. A large standard deviation indicates a volatile instrument; a small one indicates relative price stability.
Standard Deviation | 2.0 |
For COMMODITY RETURN investors, the distinction between upside and downside risk matters. Downside risk, the risk of loss specifically, is better measured by semi-deviation or downside deviation of COMMODITY RETURN's returns. Commodity Return Strategy (CCRSX) recorded a Downside Deviation of 2.84, a Downside Variance of 8.04, and a Maximum Drawdown of 13.92.
Mutual Fund Volatility Analysis
Volatility describes the degree to which COMMODITY RETURN mutual fund price fluctuates in either direction. It captures how much COMMODITY RETURN's price fluctuates, helping investors set appropriate position sizes.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. Commodity Return Strategy Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input.
Projected Return Density Against Market
Assuming a 90-day horizon Commodity Return Strategy has a beta of -0.5409 suggesting that as returns on the benchmark increase, returns on COMMODITY RETURN tend to move in the opposite direction, though by a smaller magnitude. During a bear market, however, Commodity Return Strategy is likely to outperform the market.COMMODITY RETURN remains sensitive to broader mutual fund market conditions in addition to company or sector-specific developments. Portfolio diversification mitigates only part of this exposure. Commodity Return Strategy (CCRSX) recorded a Downside Deviation of 2.84, a Mean Deviation of 1.22, and a Semi Deviation of 2.63.
Predicted Return Distribution |
| Density |
What Drives COMMODITY RETURN's Price Volatility?
Industry Dynamics
Regulatory updates, demand shifts, and competitive changes in the Credit Suisse (New York, NY) sector can move COMMODITY RETURN's volatility even when broad indices are stable.Political and Economic Environment
Rates, inflation expectations, and policy headlines can shift discount rates and risk appetite for COMMODITY RETURN.COMMODITY RETURN's Company-Specific Factors
Earnings surprises, guidance changes, management decisions, and litigation risk are common catalysts for sharp re-pricing in COMMODITY RETURN's shares.Mutual Fund Risk Measures
Assuming a 90-day horizon the coefficient of variation of COMMODITY RETURN is 1588.11. The daily returns are distributed with a variance of 4.0 and standard deviation of 2.0. The mean deviation of Commodity Return Strategy is currently at 1.24. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.83
α | Alpha over Dow Jones | 0.09 | |
β | Beta against Dow Jones | -0.5409 | |
σ | Overall volatility | 2.00 | |
Ir | Information ratio | 0.11 |
Mutual Fund Return Volatility
COMMODITY RETURN historical daily return volatility represents how much of COMMODITY RETURN fund's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The fund reported 2.0012% volatility on return distribution over a 90-day investment horizon. By contrast, Dow Jones Industrial has volatility of 0.8534% on return distribution over a 90-day investment horizon. Performance |
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Related Correlations Analysis
Risk-Adjusted Indicators
Strong recent returns in COMMODITY Mutual Fund do not always mean COMMODITY RETURN Mutual Fund is outperforming peers on business quality. Peer-relative risk metrics add context on drawdown behavior, consistency, and return quality. These indicators are quantitative in nature and help investors evaluate volatility and risk-adjusted expected returns across different positions.| Mean Deviation | Jensen Alpha | Sortino Ratio | Treynor Ratio | Semi Deviation | Expected Shortfall | Potential Upside | Value @Risk | Maximum Drawdown | ||
|---|---|---|---|---|---|---|---|---|---|---|
| FHYIX | 0.13 | -0.01 | 0.00 | 0.77 | 0.00 | 0.22 | 1.21 | |||
| LHYOX | 0.15 | -0.01 | 0.23 | 0.25 | 0.19 | 0.32 | 1.27 | |||
| VWAHX | 0.13 | -0.01 | 0.00 | -0.27 | 0.00 | 0.19 | 1.22 | |||
| SCFFX | 0.08 | -0.01 | 0.00 | -0.14 | 0.00 | 0.20 | 0.51 | |||
| AHYMX | 0.10 | -0.01 | 0.00 | -0.45 | 0.00 | 0.22 | 1.00 | |||
| PHYZX | 0.14 | -0.01 | 0.00 | -0.15 | 0.00 | 0.41 | 1.05 | |||
| PRFHX | 0.14 | 0.00 | 0.21 | -0.07 | 0.20 | 0.27 | 1.27 |
Risk Metrics, Assumptions & Methodology
NAV dispersion for COMMODITY RETURN measures the spread of periodic returns around the mean, reflecting exposure variability. Dispersion compression can indicate low-information regimes where prices drift on thin conviction.
Reported values for Commodity Return Strategy are derived from fund disclosures and market reference feeds and then standardized for analysis. Refresh timing depends on source availability. Volatility and downside metrics are estimated from historical return dispersion.
This content is curated and reviewed by:
Rifka Kats - Member of Macroaxis Editorial BoardCOMMODITY RETURN Investment Opportunity
Measured over the selected horizon, Commodity Return Strategy carries roughly 2.35 times the return volatility of Dow Jones Industrial. Used properly, this comparison frames whether the extra volatility is strategic or simply uncompensated risk.You can use Commodity Return Strategy to enhance the returns of the portfolio. This move summary looks at how the current session may translate into a basic near-term setup. It works best as a directional cue rather than as a standalone forecast. a large bullish trend. Check odds of COMMODITY RETURN to be traded at $23.47 in 90 days.Very strong inverse diversification
The correlation between COMMODITY RETURN and Dow Jones is -0.6, which Macroaxis classifies as Very strong inverse diversification for the selected horizon. This chart helps evaluate whether adding Dow Jones genuinely reduces risk relative to holding COMMODITY RETURN alone.
COMMODITY RETURN Additional Risk Indicators
Secondary risk indicators for Commodity Return Strategy can help investors evaluate exposure beyond standard deviation, beta, or one headline volatility measure. The stronger process compares similar securities with comparable growth and valuation context before ranking one as more or less risky.
| Risk Adjusted Performance | 0.0649 | |||
| Market Risk Adjusted Performance | -0.23 | |||
| Mean Deviation | 1.22 | |||
| Semi Deviation | 2.63 | |||
| Downside Deviation | 2.84 | |||
| Coefficient Of Variation | 1401.56 | |||
| Standard Deviation | 1.95 |
COMMODITY RETURN Suggested Diversification Pairs
Using COMMODITY RETURN in a pair-trading setup can improve risk control because gains and losses are judged against a second position instead of against the market alone. This framework is most useful when investors want to hedge directional moves caused by sector headlines or broad market pressure.
The effect of pair diversification on risk is to reduce it, but we should note this doesn't apply to all risk types. When we trade pairs against COMMODITY RETURN as a counterpart, there is always some inherent risk that will never be diversified away no matter what. This volatility limits the effect of tactical diversification using pair trading. COMMODITY RETURN's systematic risk is the inherent uncertainty of the entire market, and therefore cannot be mitigated even by pair-trading it against the equity that is not highly correlated to it. On the other hand, COMMODITY RETURN's unsystematic risk describes the types of risk that we can protect against, at least to some degree, by selecting a matching pair that is not perfectly correlated to Commodity Return Strategy.