Smallcap World Correlations

CSPEX Fund

USD 62.83 0.04 0.06%

The current 90-days correlation between Smallcap World and T Rowe Price is -0.03 (i.e., Good diversification). The correlation of Smallcap World 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.

Smallcap World Correlation With Market

Good diversification

The correlation between Smallcap World Fund and DJI is -0.04 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Smallcap World Fund 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 Smallcap World Fund. 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 income.

Moving together with Smallcap Mutual Fund

0.85	RNEBX	New World Fund	Pair Corr
0.69	AMEFX	Income Fund	Pair Corr
0.93	RNGGX	New Economy Fund	Pair Corr
0.94	RNGFX	New Economy Fund	Pair Corr
0.94	RNGHX	New Economy Fund	Pair Corr
0.83	RNGBX	New Economy Fund	Pair Corr
0.93	RNGAX	New Economy Fund	Pair Corr
0.94	RNGEX	New Economy Fund	Pair Corr
0.94	RNGCX	New Economy Fund	Pair Corr
0.78	AMHIX	American High Income	Pair Corr
0.79	TEBCX	Tax Exempt Bond	Pair Corr
0.78	TECCX	Tax Exempt Fund	Pair Corr
0.77	TEAFX	Tax Exempt Bond	Pair Corr
0.77	TECFX	Tax Exempt Fund	Pair Corr
0.76	TEFEX	Tax Exempt Fund	Pair Corr
0.84	RNNEX	New Economy Fund	Pair Corr
0.83	CDJAX	American Funds College	Pair Corr
0.94	AMPCX	Amcap Fund Class	Pair Corr
0.85	AMPFX	Amcap Fund Class	Pair Corr
0.86	RNPBX	New Perspective	Pair Corr
0.86	RNPAX	New Perspective	Pair Corr
0.87	RNPHX	New Perspective	Pair Corr
0.74	RNPGX	New Perspective	Pair Corr
0.75	RNPCX	New Perspective	Pair Corr
0.87	RNPFX	New Perspective	Pair Corr
0.85	RNPEX	New Perspective	Pair Corr
0.85	AMRMX	American Mutual	Pair Corr
0.73	AMUSX	Us Government Securities	Pair Corr
0.82	RNWFX	New World Fund	Pair Corr

Related Correlations Analysis

	RRMVX	BSMDX	FCPVX	ESCIX	NSCAX	RPTIX	RRMGX
RRMVX		0.48	0.83	-0.34	0.94	0.98	0.99	RRMVX
BSMDX	0.48		0.74	0.14	0.44	0.56	0.54	BSMDX
FCPVX	0.83	0.74		-0.2	0.8	0.87	0.86	FCPVX
ESCIX	-0.34	0.14	-0.2		-0.33	-0.35	-0.36	ESCIX
NSCAX	0.94	0.44	0.8	-0.33		0.94	0.94	NSCAX
RPTIX	0.98	0.56	0.87	-0.35	0.94		1.0	RPTIX
RRMGX	0.99	0.54	0.86	-0.36	0.94	1.0		RRMGX
	RRMVX	BSMDX	FCPVX	ESCIX	NSCAX	RPTIX	RRMGX

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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

RRMGX	+ 1.0	RPTIX
RRMGX	+ 0.99	RRMVX
RPTIX	+ 0.98	RRMVX
NSCAX	+ 0.94	RRMVX
RPTIX	+ 0.94	NSCAX
RRMGX	+ 0.94	NSCAX

High negative correlations

RRMGX	- 0.36	ESCIX
RPTIX	- 0.35	ESCIX
ESCIX	- 0.34	RRMVX
NSCAX	- 0.33	ESCIX
ESCIX	- 0.2	FCPVX

Risk-Adjusted Indicators

There is a big difference between Smallcap Mutual Fund performing well and Smallcap World 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 Smallcap World'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
RRMVX	0.75	(0.19)	0.00	(0.29)	0.00	0.00	1.21	(1.36)	13.26
BSMDX	1.04	(0.05)	0.00	(0.43)	0.00	0.00	1.82	(1.90)	6.86
FCPVX	0.73	(0.07)	0.00	(0.09)	0.00	0.00	1.53	(1.70)	5.52
ESCIX	0.65	0.04	0.05	0.20	0.86	(0.69)	1.22	(1.34)	3.53
NSCAX	1.05	(0.36)	0.00	(0.33)	0.00	0.00	1.40	(1.77)	20.53
RPTIX	0.78	(0.15)	0.00	(0.23)	0.00	0.00	1.34	(1.63)	10.90
RRMGX	0.80	(0.17)	0.00	(0.26)	0.00	0.00	1.33	(1.62)	12.00

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