Bogle Small Correlations

BOGIX Fund

USD 33.14 0.43 1.28%

The current 90-days correlation between Bogle Small Cap and Amg Timessquare International is 0.53 (i.e., Very weak diversification). The correlation of Bogle 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.

Bogle Small Correlation With Market

Very poor diversification

The correlation between Bogle Small Cap and DJI is 0.89 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Bogle Small Cap 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 Bogle 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 Bogle Mutual Fund

0.83	SGICX	Summit Global Investments	Pair Corr
0.87	SGLIX	Summit Global Investments	Pair Corr
0.94	SGPKX	Sgi Peak Growth	Pair Corr
0.94	SGPGX	Sgi Prudent Growth	Pair Corr
0.92	SILVX	Summit Global Investments	Pair Corr
0.86	LVOLX	Summit Global Investments	Pair Corr
0.96	VSMAX	Vanguard Small Cap	Pair Corr
0.96	VSCIX	Vanguard Small Cap	Pair Corr
0.96	VSCPX	Vanguard Small Cap	Pair Corr
0.96	NAESX	Vanguard Small Cap	Pair Corr
0.92	FSSNX	Fidelity Small Cap	Pair Corr
0.99	DFSTX	Us Small Cap	Pair Corr
0.99	FTHSX	Fuller Thaler Behavioral	Pair Corr
0.99	FTHNX	Fuller Thaler Behavioral	Pair Corr
0.9	PASVX	T Rowe Price	Pair Corr
0.83	PRVIX	T Rowe Price	Pair Corr
0.84	RYMEX	Commodities Strategy	Pair Corr
0.85	RYMJX	Commodities Strategy	Pair Corr
0.85	RYMBX	Commodities Strategy	Pair Corr
0.93	BRUFX	Bruce Fund Bruce	Pair Corr
0.64	SPGSX	State Street Premier	Pair Corr
0.92	KF	Korea Closed	Pair Corr
0.93	DEMSX	Emerging Markets Small	Pair Corr
0.93	SMAIX	Ultra Short Term	Pair Corr
0.71	AGDZX	Ab High Income	Pair Corr
0.88	MADVX	Blackrock Equity Dividend	Pair Corr
0.85	GSSMX	Goldman Sachs Small	Pair Corr
0.92	IGAIX	International Growth And	Pair Corr
0.73	HSACX	Hartford Schroders	Pair Corr
0.84	TLWIX	Tiaa Cref Lifecycle	Pair Corr
0.67	VWENX	Vanguard Wellington	Pair Corr
0.71	NOLCX	Northern Large Cap	Pair Corr
0.9	JNHYX	Janus High Yield	Pair Corr
0.92	VSPSX	Voya Solution 2060	Pair Corr
0.84	FVHIX	Franklin High Income	Pair Corr
0.85	MWESX	Metwest Esg Securitized	Pair Corr
0.83	ANNPX	Allianzgi Vertible	Pair Corr
0.88	GRRTX	Goldman Sachs Absolute	Pair Corr
0.8	CMMRX	Calvert Mortgage Access	Pair Corr

Related Correlations Analysis

	SWFCX	RYIPX	EKGIX	CGO	TPZ	IHD	MCN	TCMIX
SWFCX		0.17	0.92	0.96	0.62	0.96	0.92	0.96	SWFCX
RYIPX	0.17		0.34	0.24	-0.29	0.19	0.16	0.36	RYIPX
EKGIX	0.92	0.34		0.9	0.4	0.91	0.87	0.93	EKGIX
CGO	0.96	0.24	0.9		0.67	0.98	0.94	0.98	CGO
TPZ	0.62	-0.29	0.4	0.67		0.68	0.67	0.59	TPZ
IHD	0.96	0.19	0.91	0.98	0.68		0.94	0.97	IHD
MCN	0.92	0.16	0.87	0.94	0.67	0.94		0.92	MCN
TCMIX	0.96	0.36	0.93	0.98	0.59	0.97	0.92		TCMIX
	SWFCX	RYIPX	EKGIX	CGO	TPZ	IHD	MCN	TCMIX

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

IHD	+ 0.98	CGO
TCMIX	+ 0.98	CGO
TCMIX	+ 0.97	IHD
CGO	+ 0.96	SWFCX
IHD	+ 0.96	SWFCX
TCMIX	+ 0.96	SWFCX

High negative correlations

TPZ

- 0.29

RYIPX

Risk-Adjusted Indicators

There is a big difference between Bogle Mutual Fund performing well and Bogle 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 Bogle 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
SWFCX	0.63	0.36	0.58	0.57	0.00	(0.83)	1.51	(0.69)	6.96
RYIPX	0.57	0.01	(0.06)	0.11	0.60	(0.64)	1.18	(1.13)	2.97
EKGIX	0.56	0.07	0.08	0.16	0.44	(0.63)	1.84	(0.93)	3.58
CGO	0.60	0.19	0.18	0.41	0.43	(0.71)	1.37	(1.34)	3.92
TPZ	0.72	0.13	0.07	0.84	0.76	(0.76)	1.62	(1.20)	3.82
IHD	0.67	0.27	0.25	2.05	0.36	(0.82)	1.63	(0.96)	3.52
MCN	0.53	0.10	0.08	0.30	0.46	(0.63)	1.21	(1.04)	2.88
TCMIX	0.54	0.12	0.11	0.29	0.51	(0.60)	1.20	(1.21)	3.27

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