Global Small Correlations
| AGCTX Fund | USD 19.73 0.11 0.56% |
The current 90-days correlation between Global Small Cap and New Alternatives Fund is -0.03 (i.e., Good diversification). The correlation of Global Small 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.
Global Small Correlation With Market
Average diversification
The correlation between Global Small Cap and DJI is 0.14 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Global Small Cap and DJI in the same portfolio, assuming nothing else is changed.
Global |
Moving together with Global Mutual Fund
| 0.69 | AMDVX | Mid Cap Value | PairCorr |
| 0.71 | AMEIX | Equity Growth | PairCorr |
| 0.87 | AMGIX | Income Growth | PairCorr |
| 0.62 | CDBCX | Diversified Bond | PairCorr |
| 0.82 | TWCCX | Ultra Fund C | PairCorr |
| 0.76 | TWCAX | Select Fund A | PairCorr |
| 0.76 | TWCIX | Select Fund Investor | PairCorr |
| 0.8 | TWCGX | Growth Fund Investor | PairCorr |
| 0.61 | AMVYX | Mid Cap Value | PairCorr |
| 0.61 | AMVRX | Mid Cap Value | PairCorr |
| 0.78 | TWBIX | Balanced Fund Investor | PairCorr |
| 0.69 | AMVGX | Mid Cap Value | PairCorr |
| 0.78 | TWCUX | Ultra Fund Investor | PairCorr |
| 0.8 | TWGIX | Growth Fund I | PairCorr |
| 0.77 | TWHIX | Heritage Fund Investor | PairCorr |
| 0.79 | TWRCX | Growth Fund C | PairCorr |
| 0.8 | TWTCX | Intermediate Term Tax | PairCorr |
| 0.81 | TWTIX | Intermediate Term Tax | PairCorr |
| 0.69 | TWSCX | Strategic Allocation: | PairCorr |
| 0.75 | TWSAX | Strategic Allocation: | PairCorr |
| 0.76 | TWSMX | Strategic Allocation: | PairCorr |
| 0.76 | TWSIX | Select Fund I | PairCorr |
| 0.77 | TWUAX | Ultra Fund A | PairCorr |
| 0.76 | TWUIX | Ultra Fund I | PairCorr |
| 0.78 | TWWOX | Intermediate Term Tax | PairCorr |
Related Correlations Analysis
| 0.92 | 0.53 | 0.39 | 0.78 | NALFX | ||
| 0.92 | 0.66 | 0.38 | 0.84 | CGAEX | ||
| 0.53 | 0.66 | 0.22 | 0.43 | ALTEX | ||
| 0.39 | 0.38 | 0.22 | 0.58 | GAGEX | ||
| 0.78 | 0.84 | 0.43 | 0.58 | PORTX | ||
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Risk-Adjusted Indicators
There is a big difference between Global Mutual Fund performing well and Global Small 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 Global Small'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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| NALFX | 0.80 | (0.19) | 0.00 | (0.70) | 0.00 | 1.14 | 6.13 | |||
| CGAEX | 0.71 | (0.13) | 0.00 | (0.35) | 0.00 | 1.16 | 4.04 | |||
| ALTEX | 1.27 | (0.06) | 0.00 | (0.08) | 0.00 | 2.04 | 7.24 | |||
| GAGEX | 0.69 | 0.00 | (0.03) | 0.04 | 1.03 | 1.24 | 3.42 | |||
| PORTX | 0.70 | (0.17) | 0.00 | (5.66) | 0.00 | 0.94 | 10.66 |