Deutsche Global Correlations

SGSCX Fund

USD 29.53 0.54 1.86%

The current 90-days correlation between Deutsche Global Small and Alpine High Yield is 0.26 (i.e., Modest diversification). The correlation of Deutsche Global 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 Global Correlation With Market

Very weak diversification

The correlation between Deutsche Global Small and DJI is 0.55 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Deutsche Global Small 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 Global Small. 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 main economic indicators.

Moving together with Deutsche Mutual Fund

0.78	KTCCX	Deutsche Science And	Pair Corr
0.78	KTCAX	Deutsche Science And	Pair Corr
0.78	KTCIX	Deutsche Science And	Pair Corr
0.78	KTCSX	Deutsche Science And	Pair Corr
0.83	SSDZX	Deutsche Small Cap	Pair Corr
0.83	SSDIX	Deutsche Small Cap	Pair Corr
0.83	SSDSX	Deutsche Small Cap	Pair Corr
0.7	SSLCX	Deutsche Small Cap	Pair Corr
0.83	SCDGX	Deutsche E Equity	Pair Corr
0.74	SCGSX	Deutsche Capital Growth	Pair Corr
0.77	SCPIX	Deutsche Sp 500	Pair Corr
0.76	BTIEX	Deutsche Equity 500	Pair Corr
0.83	SUWAX	Deutsche E Equity	Pair Corr
0.74	SDGAX	Deutsche Capital Growth	Pair Corr
0.75	SDGCX	Deutsche Capital Growth	Pair Corr

Moving against Deutsche Mutual Fund

0.59	GCGGX	Deutsche Gnma	Pair Corr
0.58	SRMSX	Deutsche Short Term	Pair Corr
0.55	SRMCX	Deutsche Short Term	Pair Corr
0.54	SRMAX	Deutsche Short Term	Pair Corr
0.66	SCINX	Deutsche Croci Inter	Pair Corr
0.66	SUIAX	Deutsche Croci Inter	Pair Corr
0.66	SUICX	Deutsche Croci Inter	Pair Corr
0.66	SUIIX	Deutsche Croci Inter	Pair Corr
0.61	GGGGX	Deutsche Gnma	Pair Corr
0.52	SCSBX	Deutsche E Plus	Pair Corr
0.61	GIGGX	Deutsche Gnma	Pair Corr
0.33	AAAZX	Deutsche Real Assets	Pair Corr

Related Correlations Analysis

	AHYMX	JCTFX	AQRRX	ABTYX	PBHAX	DIHRX
AHYMX		0.97	0.69	0.98	0.9	0.82	AHYMX
JCTFX	0.97		0.78	0.96	0.92	0.83	JCTFX
AQRRX	0.69	0.78		0.64	0.82	0.75	AQRRX
ABTYX	0.98	0.96	0.64		0.84	0.78	ABTYX
PBHAX	0.9	0.92	0.82	0.84		0.87	PBHAX
DIHRX	0.82	0.83	0.75	0.78	0.87		DIHRX
	AHYMX	JCTFX	AQRRX	ABTYX	PBHAX	DIHRX

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Risk-Adjusted Indicators

There is a big difference between Deutsche Mutual Fund performing well and Deutsche Global 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 Global'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
AHYMX	0.12	0.00	0.29	(0.08)	0.13	(0.18)	0.22	(0.33)	0.76
JCTFX	0.24	0.00	0.13	(0.05)	0.33	(0.30)	0.43	(0.56)	2.30
AQRRX	0.49	0.05	0.13	0.06	0.63	(0.53)	1.02	(1.08)	3.50
ABTYX	0.24	(0.01)	0.13	(0.20)	0.34	(0.28)	0.50	(0.59)	1.55
PBHAX	0.16	0.02	0.30	0.16	0.04	(0.30)	0.41	(0.21)	1.26
DIHRX	0.60	0.10	0.16	0.13	0.68	(0.69)	1.51	(1.19)	3.80

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