Smallcap World Correlations

SMCWX Fund

USD 71.20 0.02 0.03%

The current 90-days correlation between Smallcap World and Goldman Sachs Technology is 0.67 (i.e., Poor 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

Very poor diversification

The correlation between Smallcap World Fund and DJI is 0.8 (i.e., Very 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 housing.

Moving together with Smallcap Mutual Fund

0.89	AMECX	Income Fund	Pair Corr
0.87	AMFCX	American Mutual	Pair Corr
0.86	AMFFX	American Mutual	Pair Corr
0.89	RNCCX	American Funds Income	Pair Corr
0.88	AMEFX	Income Fund	Pair Corr
0.82	RNGGX	New Economy Fund	Pair Corr
0.82	RNGFX	New Economy Fund	Pair Corr
0.82	RNGHX	New Economy Fund	Pair Corr
0.82	RNGBX	New Economy Fund	Pair Corr
0.82	RNGAX	New Economy Fund	Pair Corr
0.82	RNGEX	New Economy Fund	Pair Corr
0.82	RNGCX	New Economy Fund	Pair Corr
0.91	FPTPX	American Funds Conse	Pair Corr
0.82	RNNEX	New Economy Fund	Pair Corr
0.91	CDJAX	American Funds College	Pair Corr
0.84	AMPCX	Amcap Fund Class	Pair Corr
0.84	AMPFX	Amcap Fund Class	Pair Corr
0.9	RNPBX	New Perspective	Pair Corr
0.9	RNPAX	New Perspective	Pair Corr
0.9	RNPHX	New Perspective	Pair Corr
0.9	RNPGX	New Perspective	Pair Corr
0.9	RNPCX	New Perspective	Pair Corr
0.9	RNPFX	New Perspective	Pair Corr
0.9	RNPEX	New Perspective	Pair Corr
0.86	AMRMX	American Mutual	Pair Corr
0.86	AMRFX	American Mutual	Pair Corr
0.85	RNRPX	American Funds Retirement	Pair Corr

Related Correlations Analysis

	GITAX	DRGTX	ICTEX	RYCFX	USTCX	FIKHX
GITAX		0.98	0.78	-0.46	0.99	0.97	GITAX
DRGTX	0.98		0.81	-0.45	0.98	0.96	DRGTX
ICTEX	0.78	0.81		0.02	0.83	0.75	ICTEX
RYCFX	-0.46	-0.45	0.02		-0.37	-0.4	RYCFX
USTCX	0.99	0.98	0.83	-0.37		0.97	USTCX
FIKHX	0.97	0.96	0.75	-0.4	0.97		FIKHX
	GITAX	DRGTX	ICTEX	RYCFX	USTCX	FIKHX

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

USTCX	+ 0.99	GITAX
DRGTX	+ 0.98	GITAX
USTCX	+ 0.98	DRGTX
FIKHX	+ 0.97	GITAX
FIKHX	+ 0.97	USTCX
FIKHX	+ 0.96	DRGTX

High negative correlations

RYCFX	- 0.46	GITAX
RYCFX	- 0.45	DRGTX
FIKHX	- 0.4	RYCFX
USTCX	- 0.37	RYCFX

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	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
GITAX	0.86	0.03	0.02	0.15	1.21	(0.87)	2.19	(2.12)	5.42
DRGTX	0.96	0.01	0.02	0.12	1.53	(0.88)	1.80	(2.47)	6.64
ICTEX	0.75	(0.08)	(0.08)	0.03	0.96	(0.81)	1.31	(1.83)	4.33
RYCFX	0.81	(0.15)	0.00	(0.06)	0.00	0.00	1.51	(1.74)	6.19
USTCX	0.90	0.04	0.03	0.15	1.22	(0.86)	2.39	(2.53)	6.28
FIKHX	1.01	(0.02)	(0.01)	0.09	1.59	(0.92)	1.82	(2.57)	6.73

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