Capital World Correlations

RCWEX Fund

USD 15.94 0.05 0.31%

The current 90-days correlation between Capital World Bond and Morgan Stanley Government is 0.73 (i.e., Poor diversification). The correlation of Capital 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.

Capital World Correlation With Market

Significant diversification

The correlation between Capital World Bond and DJI is 0.08 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Capital World Bond and DJI in the same portfolio, assuming nothing else is changed.

Check out Your Equity Center to better understand how to build diversified portfolios, which includes a position in Capital World Bond. 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 Capital Mutual Fund

0.77	AMECX	Income Fund	Pair Corr
0.78	RNCCX	American Funds Income	Pair Corr
0.9	FPPPX	American Funds Prese	Pair Corr
0.81	AMEFX	Income Fund	Pair Corr
0.88	AMHIX	American High Income	Pair Corr
0.75	TEBCX	Tax Exempt Bond	Pair Corr
0.75	TECCX	Tax Exempt Fund	Pair Corr
0.8	TEAFX	Tax Exempt Bond	Pair Corr
0.79	FPTPX	American Funds Conse	Pair Corr
0.79	TECFX	Tax Exempt Fund	Pair Corr
0.79	TEFEX	Tax Exempt Fund	Pair Corr
0.8	RNRPX	American Funds Retirement	Pair Corr
0.93	AMUSX	Us Government Securities	Pair Corr
0.91	TEPCX	American Funds Tax	Pair Corr
0.94	TEPAX	American Funds Tax	Pair Corr
0.94	TEPFX	American Funds Tax	Pair Corr
0.62	RNWFX	New World Fund	Pair Corr

Moving against Capital Mutual Fund

0.37	AMPFX	Amcap Fund Class	Pair Corr
0.36	AMPCX	Amcap Fund Class	Pair Corr

Related Correlations Analysis

	USGDX	LTXFX	RGVAX	PRFHX	BMBSX
USGDX		0.88	0.97	0.81	0.88	USGDX
LTXFX	0.88		0.89	0.95	0.98	LTXFX
RGVAX	0.97	0.89		0.79	0.87	RGVAX
PRFHX	0.81	0.95	0.79		0.98	PRFHX
BMBSX	0.88	0.98	0.87	0.98		BMBSX
	USGDX	LTXFX	RGVAX	PRFHX	BMBSX

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Risk-Adjusted Indicators

There is a big difference between Capital Mutual Fund performing well and Capital 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 Capital 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
USGDX	0.66	0.05	0.13	0.83	0.72	(0.80)	1.45	(1.37)	3.93
LTXFX	0.10	0.00	0.32	(0.10)	0.11	(0.14)	0.26	(0.20)	0.65
RGVAX	0.25	0.03	0.27	0.65	0.22	(0.31)	0.60	(0.43)	1.56
PRFHX	0.18	(0.01)	0.00	(0.35)	0.00	0.00	0.37	(0.54)	1.27
BMBSX	0.11	(0.01)	0.27	(0.26)	0.15	(0.13)	0.18	(0.26)	0.71

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