Global Alpha Correlations
| BGAKX Fund | USD 18.57 0.11 0.60% |
The current 90-days correlation between Global Alpha and Vanguard Financials Index is 0.34 (i.e., Weak diversification). The correlation of Global Alpha 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 Alpha Correlation With Market
Poor diversification
The correlation between The Global Alpha and DJI is 0.61 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding The Global Alpha and DJI in the same portfolio, assuming nothing else is changed.
Global |
Moving together with Global Mutual Fund
| 0.89 | BSGLX | Long Term | PairCorr |
| 0.88 | BTLSX | Baillie Gifford Inte | PairCorr |
| 0.88 | BTLKX | Baillie Gifford Inte | PairCorr |
| 0.74 | BCANX | Baillie Gifford China | PairCorr |
| 0.74 | BCAKX | Baillie Gifford China | PairCorr |
| 1.0 | BGALX | Baillie Gifford Global | PairCorr |
| 1.0 | BGASX | Global Alpha | PairCorr |
| 1.0 | BGATX | Baillie Gifford Global | PairCorr |
| 0.72 | BGCDX | Baillie Gifford China | PairCorr |
| 0.72 | BGCBX | Baillie Gifford China | PairCorr |
| 0.86 | BGEUX | Baillie Gifford Eafe | PairCorr |
| 0.85 | BGEVX | Baillie Gifford Eafe | PairCorr |
| 0.85 | BGESX | Eafe Fund | PairCorr |
| 0.85 | BGETX | Baillie Gifford Eafe | PairCorr |
| 0.85 | BGEKX | Eafe Fund | PairCorr |
| 0.85 | BGEFX | Baillie Gifford Eafe | PairCorr |
| 0.79 | BGGSX | Equity Growth | PairCorr |
| 0.79 | BGGKX | Equity Growth | PairCorr |
| 0.89 | BGLTX | Baillie Gifford | PairCorr |
| 0.89 | BGLKX | Long Term | PairCorr |
Related Correlations Analysis
| 0.99 | 1.0 | 0.0 | 0.16 | 1.0 | VFAIX | ||
| 0.99 | 0.98 | 0.0 | 0.12 | 0.99 | BTO | ||
| 1.0 | 0.98 | 0.0 | 0.17 | 0.99 | PSSRX | ||
| 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | RGFIX | ||
| 0.16 | 0.12 | 0.17 | 0.0 | 0.16 | MCBXX | ||
| 1.0 | 0.99 | 0.99 | 0.0 | 0.16 | SBFAX | ||
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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
| High negative correlations
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Risk-Adjusted Indicators
There is a big difference between Global Mutual Fund performing well and Global Alpha 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 Alpha'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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| VFAIX | 0.78 | 0.06 | 0.12 | 0.17 | 0.51 | 1.77 | 8.51 | |||
| BTO | 0.90 | 0.10 | 0.15 | 0.20 | 0.72 | 1.88 | 9.88 | |||
| PSSRX | 0.80 | 0.04 | 0.11 | 0.16 | 0.52 | 1.61 | 8.30 | |||
| RGFIX | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||
| MCBXX | 0.03 | 0.00 | 0.00 | 0.48 | 0.00 | 0.00 | 1.01 | |||
| SBFAX | 0.80 | 0.06 | 0.11 | 0.17 | 0.51 | 1.72 | 8.60 |