Deutsche Global Correlations

TOLCX Fund

USD 15.84 0.05 0.32%

The current 90-days correlation between Deutsche Global Infr and Materials Portfolio Fidelity is -0.09 (i.e., Good 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 Infrastructure and DJI is 0.54 (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 Infrastructure 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 Infrastructure. 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

0.74	GCGGX	Deutsche Gnma	Pair Corr
0.77	SCINX	Deutsche Croci Inter	Pair Corr
0.66	SCSBX	Deutsche E Plus	Pair Corr
0.78	SUIAX	Deutsche Croci Inter	Pair Corr

Moving against Deutsche Mutual Fund

0.71	KTCCX	Deutsche Science And	Pair Corr
0.7	KTCAX	Deutsche Science And	Pair Corr
0.7	KTCSX	Deutsche Science And	Pair Corr
0.67	KTCIX	Deutsche Science And	Pair Corr
0.64	SSDAX	Deutsche Small Cap	Pair Corr
0.64	SSDCX	Deutsche Small Cap	Pair Corr
0.64	SSDIX	Deutsche Small Cap	Pair Corr
0.64	SSDSX	Deutsche Small Cap	Pair Corr
0.63	SSDZX	Deutsche Small Cap	Pair Corr
0.45	SSLCX	Deutsche Small Cap	Pair Corr
0.69	SCQGX	Deutsche Large Cap	Pair Corr
0.65	SCGSX	Deutsche Capital Growth	Pair Corr
0.64	SCDGX	Deutsche E Equity	Pair Corr
0.6	SUWCX	Deutsche E Equity	Pair Corr
0.59	SUWZX	Deutsche E Equity	Pair Corr
0.59	SUWAX	Deutsche E Equity	Pair Corr
0.58	SCPIX	Deutsche Sp 500	Pair Corr
0.58	BTIRX	Deutsche Equity 500	Pair Corr
0.58	BTIEX	Deutsche Equity 500	Pair Corr
0.38	SUPCX	Deutsche Multi Asset	Pair Corr
0.36	SUPAX	Deutsche Multi Asset	Pair Corr

Related Correlations Analysis

	FMFTX	SGICX	JTSQX	EICVX	OPTCX	WABMSX
FMFTX		0.62	0.61	0.15	-0.28	0.66	FMFTX
SGICX	0.62		0.91	0.27	-0.05	0.89	SGICX
JTSQX	0.61	0.91		0.44	0.13	0.98	JTSQX
EICVX	0.15	0.27	0.44		0.77	0.48	EICVX
OPTCX	-0.28	-0.05	0.13	0.77		0.12	OPTCX
WABMSX	0.66	0.89	0.98	0.48	0.12		WABMSX
	FMFTX	SGICX	JTSQX	EICVX	OPTCX	WABMSX

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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

WABMSX	+ 0.98	JTSQX
JTSQX	+ 0.91	SGICX
WABMSX	+ 0.89	SGICX
OPTCX	+ 0.77	EICVX
WABMSX	+ 0.66	FMFTX
SGICX	+ 0.62	FMFTX

High negative correlations

OPTCX	- 0.28	FMFTX
OPTCX	- 0.05	SGICX

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
FMFTX	0.86	(0.08)	0.00	(0.77)	0.00	0.00	1.43	(1.92)	8.22
SGICX	0.53	0.03	0.05	0.01	0.69	(0.50)	1.09	(1.14)	2.61
JTSQX	0.62	0.03	0.04	0.01	0.85	(0.59)	1.22	(1.27)	3.69
EICVX	0.55	0.14	0.22	0.21	0.50	(0.59)	1.21	(0.85)	2.93
OPTCX	0.06	0.00	0.14	0.34	0.00	(0.18)	0.21	(0.10)	0.93
WABMSX	0.61	0.03	0.05	0.02	0.80	(0.61)	1.13	(1.21)	3.66

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