Global Alpha Correlations

BGASX Fund

USD 13.59 0.28 2.10%

The current 90-days correlation between Global Alpha and Siit Small Cap is 0.24 (i.e., Modest diversification). The correlation of Global Alpha 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.

Global Alpha Correlation With Market

Weak diversification

The correlation between The Global Alpha and DJI is 0.3 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding The Global Alpha and DJI in the same portfolio, assuming nothing else is changed.

Check out Trending Equities to better understand how to build diversified portfolios, which includes a position in The Global Alpha. 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 real.

Moving together with Global Mutual Fund

0.61	BGAKX	Global Alpha	Pair Corr
0.63	BGCWX	Baillie Gifford Eafe	Pair Corr
0.63	BGCSX	Eafe Choice	Pair Corr
0.7	BGETX	Baillie Gifford Eafe	Pair Corr
0.64	BGPKX	Eafe Pure	Pair Corr
0.63	BKGCX	Eafe Choice	Pair Corr

Moving against Global Mutual Fund

0.55	CNPFX	New Perspective	Pair Corr
0.53	ANWPX	New Perspective	Pair Corr
0.53	CNPAX	New Perspective	Pair Corr
0.53	CNPEX	New Perspective	Pair Corr
0.53	CNPCX	New Perspective	Pair Corr
0.53	RNPAX	New Perspective	Pair Corr
0.48	NPFCX	New Perspective	Pair Corr
0.48	NPFFX	New Perspective	Pair Corr
0.46	BGKEX	Emerging Markets Steady Growth	Pair Corr

Related Correlations Analysis

	SECAX	PSBMX	ARTSX	QSERX	ANTMX	GMAWX	IJSIX
SECAX		0.95	0.91	0.97	0.82	0.66	0.67	SECAX
PSBMX	0.95		0.92	0.9	0.75	0.72	0.64	PSBMX
ARTSX	0.91	0.92		0.87	0.78	0.75	0.68	ARTSX
QSERX	0.97	0.9	0.87		0.8	0.61	0.64	QSERX
ANTMX	0.82	0.75	0.78	0.8		0.77	0.72	ANTMX
GMAWX	0.66	0.72	0.75	0.61	0.77		0.81	GMAWX
IJSIX	0.67	0.64	0.68	0.64	0.72	0.81		IJSIX
	SECAX	PSBMX	ARTSX	QSERX	ANTMX	GMAWX	IJSIX

Risk-Adjusted Indicators

There is a big difference between Global Mutual Fund performing well and Global Alpha 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 Global Alpha'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
SECAX	1.08	0.12	0.11	0.16	0.99	(1.20)	2.40	(1.72)	10.96
PSBMX	0.95	0.08	0.08	0.14	1.06	(1.05)	1.93	(1.87)	6.99
ARTSX	1.18	0.12	0.12	0.15	1.08	(1.37)	2.12	(1.94)	13.44
QSERX	1.15	0.12	0.10	0.17	1.12	(1.32)	2.23	(2.18)	10.30
ANTMX	0.72	0.00	(0.01)	0.07	0.93	(0.74)	1.40	(1.60)	3.31
GMAWX	0.73	(0.03)	(0.03)	0.04	0.83	(0.78)	1.60	(1.51)	4.15
IJSIX	0.88	0.05	(0.01)	1.68	1.08	(0.93)	1.74	(1.82)	4.57

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