Russell 2000 Correlations

RYCMX Fund

USD 46.76 0.05 0.11%

The current 90-days correlation between Russell 2000 15x and Transamerica Cleartrack Retirement is 0.73 (i.e., Poor diversification). The correlation of Russell 2000 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.

Russell 2000 Correlation With Market

Very poor diversification

The correlation between Russell 2000 15x and DJI is 0.87 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Russell 2000 15x 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 Russell 2000 15x. 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 population.

Moving together with Russell Mutual Fund

0.88	RYBKX	Banking Fund Class	Pair Corr
0.95	RYBHX	Sp Midcap 400	Pair Corr
1.0	RYAKX	Russell 2000 15x Steady Growth	Pair Corr
0.98	RYAHX	Mid Cap 15x Steady Growth	Pair Corr
0.7	RYAQX	Inverse Government Long	Pair Corr
0.83	RYATX	Nasdaq 100 Fund	Pair Corr
0.91	RYANX	Nova Fund Class	Pair Corr
0.9	RYAZX	Sp Smallcap 600	Pair Corr
0.88	RYAWX	Sp 500 Pure	Pair Corr
0.92	RYAVX	Sp Midcap 400	Pair Corr
0.94	RYDHX	Dow Jones Industrial	Pair Corr
0.98	RYDCX	Mid Cap 15x Steady Growth	Pair Corr
0.94	RYDKX	Dow Jones Industrial	Pair Corr
0.74	RYEAX	Energy Fund Class	Pair Corr
0.73	RYECX	Energy Fund Class	Pair Corr
0.89	RYCHX	Technology Fund Class	Pair Corr
0.87	RYCCX	Nasdaq 100 2x	Pair Corr
0.88	RYCNX	Transportation Fund Class	Pair Corr

Moving against Russell Mutual Fund

1.0	RYAFX	Inverse Russell 2000	Pair Corr
0.98	RYAGX	Inverse Mid Cap	Pair Corr
0.9	RYARX	Inverse Sp 500	Pair Corr
0.86	RYACX	Inverse Nasdaq 100	Pair Corr
0.86	RYAIX	Inverse Nasdaq 100	Pair Corr
0.86	RYALX	Inverse Nasdaq 100	Pair Corr
0.86	RYAPX	Inverse Nasdaq 100	Pair Corr
0.73	RYAEX	Europe 125x Strategy	Pair Corr
0.73	RYCEX	Europe 125x Strategy	Pair Corr
0.68	RYABX	Government Long Bond	Pair Corr
1.0	RYCQX	Inverse Russell 2000	Pair Corr
0.98	RYCLX	Inverse Mid Cap	Pair Corr
0.94	RYCWX	Inverse Dow 2x	Pair Corr
0.94	RYCZX	Inverse Dow 2x	Pair Corr
0.85	RYCBX	Inverse Sp 500	Pair Corr
0.82	RYCDX	Rydex Inverse Nasdaq	Pair Corr
0.73	RYEUX	Europe 125x Strategy	Pair Corr
0.69	RYCGX	Government Long Bond	Pair Corr

Related Correlations Analysis

	TCTZX	SAMAX	RERPX	URFRX	CMACX	MODRX	FHRVX	HBAIX
TCTZX		0.65	0.77	0.73	0.83	0.37	0.84	0.77	TCTZX
SAMAX	0.65		0.42	0.83	0.72	-0.07	0.17	0.83	SAMAX
RERPX	0.77	0.42		0.79	0.87	0.42	0.8	0.8	RERPX
URFRX	0.73	0.83	0.79		0.94	0.17	0.44	0.99	URFRX
CMACX	0.83	0.72	0.87	0.94		0.36	0.62	0.97	CMACX
MODRX	0.37	-0.07	0.42	0.17	0.36		0.51	0.21	MODRX
FHRVX	0.84	0.17	0.8	0.44	0.62	0.51		0.48	FHRVX
HBAIX	0.77	0.83	0.8	0.99	0.97	0.21	0.48		HBAIX
	TCTZX	SAMAX	RERPX	URFRX	CMACX	MODRX	FHRVX	HBAIX

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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

HBAIX	+ 0.99	URFRX
HBAIX	+ 0.97	CMACX
CMACX	+ 0.94	URFRX
CMACX	+ 0.87	RERPX
FHRVX	+ 0.84	TCTZX
CMACX	+ 0.83	TCTZX

High negative correlations

MODRX

- 0.07

SAMAX

Risk-Adjusted Indicators

There is a big difference between Russell Mutual Fund performing well and Russell 2000 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 Russell 2000'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
TCTZX	0.25	(0.02)	(0.28)	0.05	0.29	(0.26)	0.60	(0.60)	1.33
SAMAX	0.42	0.00	(0.08)	0.12	0.42	(0.47)	0.85	(0.83)	2.62
RERPX	0.26	0.00	(0.27)	0.36	0.31	(0.29)	0.55	(0.62)	1.57
URFRX	0.43	0.03	(0.15)	1.25	0.51	(0.48)	0.95	(0.80)	2.44
CMACX	0.35	0.02	(0.18)	1.06	0.42	(0.37)	0.72	(0.71)	2.02
MODRX	0.27	(0.02)	(0.31)	(0.06)	0.30	(0.46)	0.72	(0.63)	1.52
FHRVX	0.25	(0.03)	(0.37)	(0.01)	0.29	(0.29)	0.56	(0.55)	1.54
HBAIX	0.35	0.03	(0.17)	1.30	0.42	(0.38)	0.83	(0.68)	2.05

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