Deutsche Correlations

SCPIX Fund

USD 48.75 0.77 1.60%

The current 90-days correlation between Deutsche Sp 500 and Jp Morgan Smartretirement is 0.83 (i.e., Very poor diversification). The correlation of Deutsche 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.

Deutsche Correlation With Market

Very weak diversification

The correlation between Deutsche Sp 500 and DJI is 0.53 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Deutsche Sp 500 and DJI in the same portfolio, assuming nothing else is changed.

Check out World Market Map to better understand how to build diversified portfolios, which includes a position in Deutsche Sp 500. 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 gross domestic product.

Moving together with Deutsche Mutual Fund

0.8	SSDZX	Deutsche Small Cap	Pair Corr
0.66	SCSBX	Deutsche E Plus	Pair Corr
0.83	RRRZX	Deutsche Real Estate	Pair Corr
0.83	RRRAX	Deutsche Real Estate	Pair Corr
0.84	RRRCX	Deutsche Real Estate	Pair Corr
0.83	RRREX	Deutsche Real Estate	Pair Corr
0.83	RRRSX	Deutsche Real Estate	Pair Corr
0.83	RRRRX	Deutsche Real Estate	Pair Corr
0.8	AAASX	Deutsche Real Assets	Pair Corr
0.81	AAAPX	Deutsche Real Assets	Pair Corr
1.0	SXPAX	Deutsche Sp 500	Pair Corr
1.0	SXPCX	Deutsche Sp 500	Pair Corr
0.62	PPLSX	Deutsche Multi Asset	Pair Corr
0.79	KNTCX	Deutsche New York	Pair Corr
0.75	VTSAX	Vanguard Total Stock	Pair Corr
0.65	VFIAX	Vanguard 500 Index	Pair Corr
0.75	VTSMX	Vanguard Total Stock	Pair Corr
0.75	VITSX	Vanguard Total Stock	Pair Corr
0.75	VSMPX	Vanguard Total Stock	Pair Corr
0.75	VSTSX	Vanguard Total Stock	Pair Corr
0.66	VFINX	Vanguard 500 Index	Pair Corr
0.65	VFFSX	Vanguard 500 Index	Pair Corr
0.81	VINIX	Vanguard Institutional	Pair Corr
0.81	VIIIX	Vanguard Institutional	Pair Corr
0.8	BRUFX	Bruce Fund Bruce	Pair Corr
0.63	SPGSX	State Street Premier	Pair Corr

Moving against Deutsche Mutual Fund

0.44	RYMEX	Commodities Strategy	Pair Corr
0.44	RYMJX	Commodities Strategy	Pair Corr
0.44	RYMBX	Commodities Strategy	Pair Corr
0.34	RYIFX	Guggenheim Managed	Pair Corr

Related Correlations Analysis

	JTSQX	VTTHX	BIMPX	TSMHX	MRMAX	HBAIX	BRIEX	FTMRX
JTSQX		0.97	0.96	0.98	0.89	0.96	0.92	0.99	JTSQX
VTTHX	0.97		0.96	0.98	0.9	0.95	0.89	0.98	VTTHX
BIMPX	0.96	0.96		0.98	0.83	0.99	0.92	0.98	BIMPX
TSMHX	0.98	0.98	0.98		0.9	0.98	0.95	0.99	TSMHX
MRMAX	0.89	0.9	0.83	0.9		0.81	0.88	0.87	MRMAX
HBAIX	0.96	0.95	0.99	0.98	0.81		0.93	0.98	HBAIX
BRIEX	0.92	0.89	0.92	0.95	0.88	0.93		0.93	BRIEX
FTMRX	0.99	0.98	0.98	0.99	0.87	0.98	0.93		FTMRX
	JTSQX	VTTHX	BIMPX	TSMHX	MRMAX	HBAIX	BRIEX	FTMRX

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Risk-Adjusted Indicators

There is a big difference between Deutsche Mutual Fund performing well and Deutsche 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 Deutsche'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
JTSQX	0.50	0.00	0.00	(0.02)	0.00	0.00	0.90	(1.20)	3.28
VTTHX	0.40	0.01	0.03	(0.01)	0.62	(0.37)	0.70	(1.01)	2.64
BIMPX	0.32	0.01	0.05	0.02	0.43	(0.36)	0.69	(0.62)	2.39
TSMHX	0.38	0.02	0.05	0.02	0.58	(0.35)	0.67	(0.73)	2.46
MRMAX	0.29	0.01	0.03	0.00	0.53	(0.31)	0.66	(0.54)	3.18
HBAIX	0.37	0.03	0.07	0.05	0.55	(0.36)	0.76	(0.90)	2.53
BRIEX	0.25	0.02	0.10	0.06	0.31	(0.26)	0.52	(0.43)	2.06
FTMRX	0.38	0.01	0.03	(0.01)	0.58	(0.36)	0.70	(0.80)	2.50

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