Driehaus Micro Correlations

DMCRX Fund

USD 15.66 0.01 0.06%

The current 90-days correlation between Driehaus Micro Cap and Driehaus Emerging Markets is 0.45 (i.e., Very weak diversification). The correlation of Driehaus Micro 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.

Driehaus Micro Correlation With Market

Very poor diversification

The correlation between Driehaus Micro Cap and DJI is 0.81 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Driehaus Micro Cap and DJI in the same portfolio, assuming nothing else is changed.

Check out Investing Opportunities to better understand how to build diversified portfolios, which includes a position in Driehaus Micro 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 metropolitan statistical area.

Moving together with Driehaus Mutual Fund

0.93	DMAGX	Driehaus Multi Asset	Pair Corr
0.96	DNSMX	Driehaus Small Cap	Pair Corr
0.96	DSMDX	Driehaus Smallmid Cap	Pair Corr
0.99	DVSMX	Driehaus Small Cap	Pair Corr
0.85	DEVDX	Driehaus Event Driven	Pair Corr
0.99	VSGAX	Vanguard Small Cap	Pair Corr
0.99	VSGIX	Vanguard Small Cap	Pair Corr
0.99	VISGX	Vanguard Small Cap	Pair Corr
0.97	VEXPX	Vanguard Explorer	Pair Corr
0.97	VEXRX	Vanguard Explorer	Pair Corr
0.98	JGMIX	Janus Triton	Pair Corr
0.98	JGMRX	Janus Triton	Pair Corr
0.98	JGMAX	Janus Triton	Pair Corr
0.98	JGMCX	Janus Triton	Pair Corr
0.98	JGMNX	Janus Triton	Pair Corr
0.92	FTCAX	Templeton Strained Bond	Pair Corr
0.83	PYAIX	Payden Absolute Return	Pair Corr
0.85	PYARX	Payden Absolute Return	Pair Corr
0.86	BCAAX	Brandywineglobal C	Pair Corr
0.82	GAB	Gabelli Equity Trust	Pair Corr
0.77	PGXFX	American Funds Global	Pair Corr
0.64	GIOAX	Guggenheim Macro Opp	Pair Corr
0.93	FMCMX	American Funds Amcap	Pair Corr
0.9	NTDAX	Nationwide Destination	Pair Corr
0.63	QREARX	Teachers Insurance And	Pair Corr
0.96	WCPSX	Mobile Telecommunicatio	Pair Corr
0.85	LFROX	Lord Abbett Floating	Pair Corr
0.81	OHYFX	Jpmorgan High Yield	Pair Corr
0.95	MIGYX	Oppenheimer Main Street	Pair Corr
0.7	GLRBX	James Balanced Golden	Pair Corr

Moving against Driehaus Mutual Fund

0.6	DRIOX	Driehaus International	Pair Corr
0.98	UIPIX	Ultrashort Mid Cap	Pair Corr
0.92	USPSX	Profunds Ultrashort	Pair Corr
0.92	USPIX	Profunds Ultrashort	Pair Corr

Related Correlations Analysis

	DIEMX	DMAGX	DMCRX	DNSMX	DRESX	DREGX	DRIOX	DSMDX	DEVDX
DIEMX		0.09	-0.18	-0.12	0.85	1.0	0.74	-0.18	-0.01	DIEMX
DMAGX	0.09		0.93	0.93	0.01	0.09	-0.45	0.92	0.86	DMAGX
DMCRX	-0.18	0.93		0.96	-0.19	-0.19	-0.6	0.96	0.85	DMCRX
DNSMX	-0.12	0.93	0.96		-0.17	-0.13	-0.58	0.99	0.8	DNSMX
DRESX	0.85	0.01	-0.19	-0.17		0.85	0.84	-0.24	0.05	DRESX
DREGX	1.0	0.09	-0.19	-0.13	0.85		0.74	-0.19	-0.02	DREGX
DRIOX	0.74	-0.45	-0.6	-0.58	0.84	0.74		-0.62	-0.42	DRIOX
DSMDX	-0.18	0.92	0.96	0.99	-0.24	-0.19	-0.62		0.76	DSMDX
DEVDX	-0.01	0.86	0.85	0.8	0.05	-0.02	-0.42	0.76		DEVDX
	DIEMX	DMAGX	DMCRX	DNSMX	DRESX	DREGX	DRIOX	DSMDX	DEVDX

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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

DREGX	+ 1.0	DIEMX
DSMDX	+ 0.99	DNSMX
DNSMX	+ 0.96	DMCRX
DSMDX	+ 0.96	DMCRX
DMCRX	+ 0.93	DMAGX
DNSMX	+ 0.93	DMAGX

High negative correlations

DSMDX	- 0.62	DRIOX
DRIOX	- 0.6	DMCRX
DRIOX	- 0.58	DNSMX
DRIOX	- 0.45	DMAGX
DEVDX	- 0.42	DRIOX
DSMDX	- 0.24	DRESX

Risk-Adjusted Indicators

There is a big difference between Driehaus Mutual Fund performing well and Driehaus Micro 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 Driehaus Micro'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
DIEMX	0.63	(0.10)	0.00	(0.14)	0.00	0.00	1.53	(1.57)	3.98
DMAGX	0.58	(0.01)	(0.04)	0.11	0.70	(0.63)	1.22	(1.43)	3.93
DMCRX	1.22	0.05	0.09	0.14	1.19	(1.46)	3.16	(2.27)	7.69
DNSMX	1.01	0.17	0.07	0.66	0.94	(1.15)	2.61	(2.05)	6.39
DRESX	0.57	(0.12)	0.00	(0.11)	0.00	0.00	1.19	(1.40)	3.26
DREGX	0.63	(0.10)	0.00	(0.14)	0.00	0.00	1.53	(1.59)	4.01
DRIOX	0.60	(0.16)	0.00	(0.20)	0.00	0.00	1.18	(1.28)	3.58
DSMDX	0.86	0.17	0.09	0.55	0.76	(1.02)	2.42	(1.79)	5.44
DEVDX	0.25	0.00	(0.28)	0.10	0.22	(0.28)	0.54	(0.46)	1.48

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