Russell 2000 Correlations
RYMKX Fund | USD 64.08 0.49 0.77% |
The current 90-days correlation between Russell 2000 15x and Gmo High Yield is 0.58 (i.e., Very weak 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 0.84 (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.
Russell |
Moving together with Russell Mutual Fund
0.96 | RYBHX | Sp Midcap 400 | PairCorr |
1.0 | RYAKX | Russell 2000 15x | PairCorr |
0.64 | RYAQX | Inverse Government Long | PairCorr |
0.99 | RYAZX | Sp Smallcap 600 | PairCorr |
0.92 | RYAWX | Sp 500 Pure | PairCorr |
0.98 | RYAVX | Sp Midcap 400 | PairCorr |
0.76 | RYEAX | Energy Fund Class | PairCorr |
0.89 | RYCCX | Nasdaq 100 2x Steady Growth | PairCorr |
1.0 | RYCMX | Russell 2000 15x | PairCorr |
0.96 | RYCYX | Dow 2x Strategy | PairCorr |
0.95 | RYFNX | Financial Services | PairCorr |
0.95 | RYFIX | Financial Services | PairCorr |
0.76 | RYENX | Energy Fund Class | PairCorr |
0.64 | RYHJX | Inverse Government Long | PairCorr |
0.95 | RYKIX | Banking Fund Investor | PairCorr |
0.63 | RYJCX | Inverse Government Long | PairCorr |
0.93 | RYMIX | Telecommunications | PairCorr |
0.96 | RYLDX | Dow 2x Strategy | PairCorr |
0.9 | RYOCX | Nasdaq 100 Fund | PairCorr |
0.96 | RYPIX | Transportation Fund | PairCorr |
0.81 | RYRIX | Retailing Fund Investor | PairCorr |
0.92 | RYTIX | Technology Fund Investor | PairCorr |
0.9 | RYVLX | Nasdaq 100 2x Steady Growth | PairCorr |
0.9 | RYVYX | Nasdaq 100 2x Steady Growth | PairCorr |
Moving against Russell Mutual Fund
1.0 | RYAFX | Inverse Russell 2000 | PairCorr |
0.93 | RYCBX | Inverse Sp 500 | PairCorr |
0.92 | RYARX | Inverse Sp 500 | PairCorr |
0.88 | RYACX | Inverse Nasdaq 100 | PairCorr |
0.76 | RYEUX | Europe 125x Strategy | PairCorr |
0.98 | RYMHX | Inverse Mid Cap | PairCorr |
0.8 | RYWDX | Weakening Dollar | PairCorr |
0.5 | RYHIX | Health Care Fund | PairCorr |
Related Correlations Analysis
0.91 | 0.91 | 0.87 | 0.92 | 0.85 | GMOZX | ||
0.91 | 0.95 | 0.98 | 0.97 | 0.89 | ACHFX | ||
0.91 | 0.95 | 0.88 | 0.95 | 0.89 | CYBAX | ||
0.87 | 0.98 | 0.88 | 0.94 | 0.86 | FHYLX | ||
0.92 | 0.97 | 0.95 | 0.94 | 0.91 | PYICX | ||
0.85 | 0.89 | 0.89 | 0.86 | 0.91 | VWEHX | ||
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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 | ||
---|---|---|---|---|---|---|---|---|---|---|
GMOZX | 0.13 | 0.01 | (0.52) | 0.22 | 0.00 | 0.28 | 0.72 | |||
ACHFX | 0.11 | 0.01 | (0.67) | 0.23 | 0.00 | 0.23 | 0.81 | |||
CYBAX | 0.09 | 0.00 | (0.93) | 0.19 | 0.00 | 0.20 | 0.68 | |||
FHYLX | 0.13 | 0.00 | (0.53) | 0.17 | 0.00 | 0.31 | 0.78 | |||
PYICX | 0.10 | 0.00 | (0.73) | 0.15 | 0.00 | 0.22 | 0.67 | |||
VWEHX | 0.09 | 0.00 | (0.57) | 0.16 | 0.00 | 0.18 | 0.73 |