Smallcap World Correlations

SMCFX Fund

USD 66.62 0.28 0.42%

The current 90-days correlation between Smallcap World and Calamos Dynamic Convertible is 0.49 (i.e., Very weak diversification). The correlation of Smallcap World 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.

Smallcap World Correlation With Market

Poor diversification

The correlation between Smallcap World Fund and DJI is 0.68 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Smallcap World Fund 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 Smallcap World Fund. 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 census.

Moving together with Smallcap Mutual Fund

0.92	RNGGX	New Economy Fund	Pair Corr
0.92	RNGFX	New Economy Fund	Pair Corr
0.92	RNGHX	New Economy Fund	Pair Corr
0.91	RNGBX	New Economy Fund	Pair Corr
0.91	RNGAX	New Economy Fund	Pair Corr
0.92	RNGEX	New Economy Fund	Pair Corr
0.92	RNGCX	New Economy Fund	Pair Corr
0.92	RNNEX	New Economy Fund	Pair Corr
0.87	CDJAX	American Funds College	Pair Corr
0.94	AMPCX	Amcap Fund Class	Pair Corr
0.95	AMPFX	Amcap Fund Class	Pair Corr
0.78	RNPBX	New Perspective	Pair Corr
0.78	RNPAX	New Perspective	Pair Corr
0.77	RNPHX	New Perspective	Pair Corr
0.77	RNPGX	New Perspective	Pair Corr
0.77	RNPCX	New Perspective	Pair Corr
0.77	RNPFX	New Perspective	Pair Corr
0.77	RNPEX	New Perspective	Pair Corr

Moving against Smallcap Mutual Fund

0.68	FPPPX	American Funds Prese	Pair Corr
0.32	AMHIX	American High Income	Pair Corr
0.68	CEAMX	Short Term Bond	Pair Corr
0.67	SBFFX	Short Term Bond	Pair Corr
0.65	AMUSX	Us Government Securities	Pair Corr
0.62	ANBFX	American Funds Strategic	Pair Corr
0.6	ANBCX	American Funds Strategic	Pair Corr
0.59	ANBEX	American Funds Strategic	Pair Corr
0.59	ANBGX	American Funds Strategic	Pair Corr
0.59	ANBAX	American Funds Strategic	Pair Corr
0.43	TEPAX	American Funds Tax	Pair Corr

Related Correlations Analysis

	CCD	LCFYX	VAADX	PBXIX	GCV
CCD		0.73	0.88	0.79	0.24	CCD
LCFYX	0.73		0.9	0.94	0.65	LCFYX
VAADX	0.88	0.9		0.92	0.43	VAADX
PBXIX	0.79	0.94	0.92		0.55	PBXIX
GCV	0.24	0.65	0.43	0.55		GCV
	CCD	LCFYX	VAADX	PBXIX	GCV

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Risk-Adjusted Indicators

There is a big difference between Smallcap Mutual Fund performing well and Smallcap World 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 Smallcap World'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	Treynor Ratio	Potential Upside	Value @Risk	Maximum Drawdown
CCD	0.77	(0.08)	(0.26)	1.41	(1.67)	7.13
LCFYX	0.65	(0.01)	(0.10)	1.12	(1.42)	3.20
VAADX	0.67	(0.07)	(0.19)	1.13	(1.60)	3.27
PBXIX	0.43	(0.03)	(0.14)	0.81	(0.90)	2.66
GCV	0.92	0.01	(0.05)	2.17	(2.14)	6.16

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