Brandes Small Correlations

BSCAX Fund

USD 15.98 0.18 1.11%

The current 90-days correlation between Brandes Small Cap and Brandes International Equity is -0.02 (i.e., Good diversification). The correlation of Brandes 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.

Brandes Small Correlation With Market

Poor diversification

The correlation between Brandes Small Cap and DJI is 0.72 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Brandes Small Cap 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 Brandes Small Cap. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as signals in nation.

Moving together with Brandes Mutual Fund

1.0	BSCRX	Brandes Small Cap	Pair Corr
1.0	BSCMX	Brandes Small Cap	Pair Corr
0.96	VSIIX	Vanguard Small Cap	Pair Corr
0.96	VISVX	Vanguard Small Cap	Pair Corr
0.94	DFSVX	Us Small Cap	Pair Corr
0.95	DFFVX	Us Targeted Value	Pair Corr
0.97	UBVCX	Undiscovered Managers	Pair Corr
0.97	UBVAX	Undiscovered Managers	Pair Corr
0.97	UBVSX	Undiscovered Managers	Pair Corr
0.79	AVFIX	American Beacon Small	Pair Corr
0.71	GPMFX	Guidepath Managed Futures	Pair Corr

Moving against Brandes Mutual Fund

0.52	BISRX	Brandes International	Pair Corr
0.51	BIEAX	Brandes International	Pair Corr
0.5	BCPRX	Brandes E Plus	Pair Corr
0.5	BCPAX	Brandes E Plus	Pair Corr
0.5	BIERX	Brandes International	Pair Corr
0.49	BCPIX	Brandes E Plus	Pair Corr
0.48	BINCX	Brandes International	Pair Corr
0.48	BISMX	Brandes International	Pair Corr
0.48	BISAX	Brandes International	Pair Corr
0.46	BIECX	Brandes International	Pair Corr
0.46	BIIEX	Brandes International	Pair Corr
0.42	SMARX	Brandes Separately	Pair Corr
0.33	BEMAX	Brandes Emerging Markets	Pair Corr
0.32	BEMIX	Brandes Emerging Markets	Pair Corr
0.32	BEMRX	Brandes Emerging Markets	Pair Corr
0.72	GAAKX	Gmo Alternative Allo	Pair Corr
0.72	GAAGX	Gmo Alternative Allo	Pair Corr
0.52	GPBFX	Gmo E Plus	Pair Corr
0.51	PLCCX	Pimco Low Duration	Pair Corr
0.5	ABNDX	Bond Fund	Pair Corr
0.5	PIMIX	Pimco Income	Pair Corr
0.49	VFIIX	Vanguard Gnma	Pair Corr

Related Correlations Analysis

	BIERX	BIECX	BIEAX	BIIEX	BINCX	BISMX	BISAX	BISRX	BSCRX
BIERX		0.99	1.0	0.99	0.98	0.98	0.98	0.99	-0.49	BIERX
BIECX	0.99		0.99	1.0	0.99	0.99	0.99	0.98	-0.45	BIECX
BIEAX	1.0	0.99		0.99	0.98	0.98	0.98	0.99	-0.5	BIEAX
BIIEX	0.99	1.0	0.99		0.99	0.99	0.99	0.98	-0.45	BIIEX
BINCX	0.98	0.99	0.98	0.99		1.0	1.0	0.99	-0.47	BINCX
BISMX	0.98	0.99	0.98	0.99	1.0		1.0	0.99	-0.47	BISMX
BISAX	0.98	0.99	0.98	0.99	1.0	1.0		0.99	-0.47	BISAX
BISRX	0.99	0.98	0.99	0.98	0.99	0.99	0.99		-0.51	BISRX
BSCRX	-0.49	-0.45	-0.5	-0.45	-0.47	-0.47	-0.47	-0.51		BSCRX
	BIERX	BIECX	BIEAX	BIIEX	BINCX	BISMX	BISAX	BISRX	BSCRX

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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

BIEAX	+ 1.0	BIERX
BIIEX	+ 1.0	BIECX
BISMX	+ 1.0	BINCX
BISAX	+ 1.0	BINCX
BISAX	+ 1.0	BISMX
BIECX	+ 0.99	BIERX

High negative correlations

BSCRX	- 0.51	BISRX
BSCRX	- 0.5	BIEAX
BSCRX	- 0.49	BIERX
BSCRX	- 0.47	BISAX
BSCRX	- 0.47	BISMX
BSCRX	- 0.47	BINCX

Risk-Adjusted Indicators

There is a big difference between Brandes Mutual Fund performing well and Brandes 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 Brandes 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
BIERX	0.63	0.15	0.28	(1.71)	0.57	(0.71)	1.36	(0.99)	4.53
BIECX	0.64	0.19	0.27	0.32	0.63	(0.69)	1.34	(1.02)	4.49
BIEAX	0.63	0.15	0.28	(1.72)	0.59	(0.71)	1.36	(1.00)	4.49
BIIEX	0.63	0.19	0.27	0.32	0.60	(0.69)	1.37	(0.99)	4.52
BINCX	0.59	0.19	0.29	0.36	0.54	(0.68)	1.47	(1.11)	4.30
BISMX	0.59	0.20	0.30	0.37	0.54	(0.65)	1.47	(1.14)	4.32
BISAX	0.59	0.20	0.30	0.37	0.53	(0.68)	1.48	(1.10)	4.35
BISRX	0.59	0.15	0.28	(1.13)	0.56	(0.66)	1.46	(1.14)	4.39
BSCRX	0.94	(0.04)	0.00	(0.11)	0.00	0.00	1.56	(2.01)	4.85

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