Deutsche Small Correlations

SZCIX Fund

USD 49.14 0.12 0.24%

The current 90-days correlation between Deutsche Small Cap and Multimanager Lifestyle Servative is 0.67 (i.e., Poor diversification). The correlation of Deutsche Small 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 Small Correlation With Market

Poor diversification

The correlation between Deutsche Small Cap and DJI is 0.75 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Deutsche Small Cap 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 Small Cap. 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

0.71	KTCCX	Deutsche Science And	Pair Corr
0.88	KTCAX	Deutsche Science And	Pair Corr
0.88	KTCIX	Deutsche Science And	Pair Corr
0.88	KTCSX	Deutsche Science And	Pair Corr
0.67	KTRAX	Deutsche Global Income	Pair Corr
0.7	KTRCX	Deutsche Global Income	Pair Corr
0.63	KTRIX	Deutsche Global Income	Pair Corr
0.67	KTRSX	Deutsche Global Income	Pair Corr
0.62	KTRZX	Deutsche Global Income	Pair Corr
0.86	SSDZX	Deutsche Small Cap	Pair Corr
0.86	SSDAX	Deutsche Small Cap	Pair Corr
0.85	SSDCX	Deutsche Small Cap	Pair Corr
0.86	SSDIX	Deutsche Small Cap	Pair Corr
0.86	SSDSX	Deutsche Small Cap	Pair Corr
1.0	SSLCX	Deutsche Small Cap	Pair Corr
0.92	SCDGX	Deutsche E Equity	Pair Corr
0.93	SCGSX	Deutsche Capital Growth	Pair Corr
0.91	SCQGX	Deutsche Large Cap	Pair Corr
0.94	SCPIX	Deutsche Sp 500	Pair Corr

Moving against Deutsche Mutual Fund

0.42	GCGGX	Deutsche Gnma	Pair Corr
0.35	SCINX	Deutsche Croci Inter	Pair Corr
0.35	SUIAX	Deutsche Croci Inter	Pair Corr
0.35	SUICX	Deutsche Croci Inter	Pair Corr
0.35	SUIIX	Deutsche Croci Inter	Pair Corr
0.35	SUIRX	Deutsche Croci Inter	Pair Corr
0.31	SCSBX	Deutsche E Plus	Pair Corr

Related Correlations Analysis

	JTLRX	FVOKX	MDBLX	OIDAX	CETFX	SMGAX	PFCOX
JTLRX		0.9	0.78	0.73	0.92	0.85	0.89	JTLRX
FVOKX	0.9		0.81	0.72	0.8	0.71	0.87	FVOKX
MDBLX	0.78	0.81		0.62	0.77	0.62	0.92	MDBLX
OIDAX	0.73	0.72	0.62		0.83	0.77	0.79	OIDAX
CETFX	0.92	0.8	0.77	0.83		0.82	0.94	CETFX
SMGAX	0.85	0.71	0.62	0.77	0.82		0.75	SMGAX
PFCOX	0.89	0.87	0.92	0.79	0.94	0.75		PFCOX
	JTLRX	FVOKX	MDBLX	OIDAX	CETFX	SMGAX	PFCOX

Click cells to compare fundamentals

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Risk-Adjusted Indicators

There is a big difference between Deutsche Mutual Fund performing well and Deutsche Small 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 Small'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
JTLRX	0.19	0.01	0.21	0.00	0.23	(0.23)	0.42	(0.34)	1.11
FVOKX	0.74	0.10	0.11	0.09	1.01	(0.77)	1.37	(1.36)	6.20
MDBLX	0.23	0.02	0.31	0.31	0.15	(0.30)	0.50	(0.38)	1.38
OIDAX	0.70	(0.05)	0.00	0.20	0.00	0.00	1.42	(1.46)	5.03
CETFX	0.21	(0.01)	0.18	0.09	0.28	(0.25)	0.39	(0.39)	1.18
SMGAX	0.36	(0.03)	0.00	(0.15)	0.00	0.00	0.58	(0.73)	3.95
PFCOX	0.18	0.00	0.22	(0.09)	0.21	(0.24)	0.42	(0.41)	1.16

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