Russell 2000 Correlations
RYRUX Fund | USD 138.43 1.88 1.34% |
The current 90-days correlation between Russell 2000 2x and Barings Emerging Markets is -0.23 (i.e., Very good 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
Poor diversification
The correlation between Russell 2000 2x and DJI is 0.7 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Russell 2000 2x and DJI in the same portfolio, assuming nothing else is changed.
Russell |
Moving together with Russell Mutual Fund
0.88 | RYBHX | Sp Midcap 400 | PairCorr |
0.86 | RYATX | Nasdaq 100 Fund | PairCorr |
0.97 | RYAZX | Sp Smallcap 600 | PairCorr |
0.9 | RYAWX | Sp 500 Pure | PairCorr |
0.91 | RYAVX | Sp Midcap 400 | PairCorr |
0.98 | RYDCX | Mid Cap 15x | PairCorr |
0.61 | RYEAX | Energy Fund Class | PairCorr |
0.62 | RYECX | Energy Fund Class | PairCorr |
0.63 | RYCHX | Technology Fund Class | PairCorr |
0.94 | RYCCX | Nasdaq 100 2x | PairCorr |
0.68 | RYCMX | Russell 2000 15x | PairCorr |
0.85 | RYCOX | Nasdaq 100 Fund | PairCorr |
0.79 | RYCVX | Dow 2x Strategy | PairCorr |
0.8 | RYCYX | Dow 2x Strategy | PairCorr |
0.61 | RYEIX | Energy Fund Investor | PairCorr |
0.85 | RYESX | Energy Services | PairCorr |
Moving against Russell Mutual Fund
0.94 | RYAIX | Inverse Nasdaq 100 | PairCorr |
0.94 | RYALX | Inverse Nasdaq 100 | PairCorr |
0.94 | RYAPX | Inverse Nasdaq 100 | PairCorr |
0.6 | RYABX | Government Long Bond | PairCorr |
0.44 | RYCGX | Government Long Bond | PairCorr |
0.42 | RYCEX | Europe 125x Strategy | PairCorr |
0.64 | RYEUX | Europe 125x Strategy | PairCorr |
0.58 | RYCWX | Inverse Dow 2x Potential Growth | PairCorr |
0.56 | RYCZX | Inverse Dow 2x Potential Growth | PairCorr |
0.54 | RYCIX | Consumer Products | PairCorr |
0.53 | RYIEX | Emerging Markets Bond | PairCorr |
0.51 | RYFTX | Emerging Markets Bond | PairCorr |
0.41 | RYCLX | Inverse Mid Cap | PairCorr |
0.35 | RYCAX | Consumer Products | PairCorr |
0.33 | RYCPX | Consumer Products | PairCorr |
Related Correlations Analysis
0.96 | 0.96 | 0.95 | 0.9 | 0.93 | BXECX | ||
0.96 | 0.93 | 0.93 | 0.91 | 0.96 | PACEX | ||
0.96 | 0.93 | 0.92 | 0.83 | 0.92 | GMDFX | ||
0.95 | 0.93 | 0.92 | 0.91 | 0.9 | FCNBX | ||
0.9 | 0.91 | 0.83 | 0.91 | 0.89 | TBHDX | ||
0.93 | 0.96 | 0.92 | 0.9 | 0.89 | TTRBX | ||
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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 | ||
---|---|---|---|---|---|---|---|---|---|---|
BXECX | 0.20 | 0.02 | 0.34 | (0.51) | 0.00 | 0.55 | 1.21 | |||
PACEX | 0.12 | 0.01 | 0.45 | (0.32) | 0.00 | 0.33 | 0.76 | |||
GMDFX | 0.23 | 0.03 | 0.31 | (3.14) | 0.21 | 0.60 | 1.50 | |||
FCNBX | 0.32 | 0.00 | 0.20 | 0.00 | 0.35 | 0.81 | 1.48 | |||
TBHDX | 0.55 | 0.12 | 0.24 | 0.28 | 0.54 | 1.29 | 4.47 | |||
TTRBX | 0.16 | 0.01 | 0.39 | 0.46 | 0.10 | 0.40 | 0.82 |