Smallcap World Correlations

CSPAX Fund

USD 75.89 0.39 0.51%

The current 90-days correlation between Smallcap World and American Funds 2055 is 0.8 (i.e., Very 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

Almost no diversification

The correlation between Smallcap World Fund and DJI is 0.91 (i.e., Almost no 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 Trending Equities 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 nation.

Moving together with Smallcap Mutual Fund

0.97	RNEBX	New World Fund	Pair Corr
0.96	RNCCX	American Funds Income	Pair Corr
0.85	FPPPX	American Funds Prese	Pair Corr
0.95	RNGGX	New Economy Fund	Pair Corr
0.95	RNGFX	New Economy Fund	Pair Corr
0.95	RNGHX	New Economy Fund	Pair Corr
0.94	RNGBX	New Economy Fund	Pair Corr
0.94	RNGAX	New Economy Fund	Pair Corr
0.95	RNGEX	New Economy Fund	Pair Corr
0.96	FPTPX	American Funds Conse	Pair Corr
0.93	RNNEX	New Economy Fund	Pair Corr
0.95	FAXTX	American Funds 2065	Pair Corr
0.95	RRPPX	American Funds Retirement	Pair Corr
0.96	FCJTX	American Funds 2055	Pair Corr
0.95	RRQPX	American Funds Retirement	Pair Corr
0.95	RROPX	American Funds Retirement	Pair Corr
0.96	FCKTX	American Funds 2060	Pair Corr
0.95	RBHTX	American Funds 2045	Pair Corr
0.94	REJTX	American Funds 2015	Pair Corr
0.95	RWIGX	Capital World Growth	Pair Corr
0.96	AFMBX	American Balanced	Pair Corr
0.96	RINFX	American Funds Income	Pair Corr
0.96	RIVDX	American Funds Inter	Pair Corr
0.97	WMFFX	Washington Mutual	Pair Corr
0.97	FNPFX	New Perspective	Pair Corr
1.0	CSPFX	Smallcap World	Pair Corr
0.75	CBOEX	Intermediate Bond	Pair Corr
1.0	SCWCX	American Fds Smallcap	Pair Corr
1.0	SCWFX	Smallcap World	Pair Corr
1.0	SMCWX	Smallcap World	Pair Corr
1.0	FSWFX	American Funds Smallcap	Pair Corr

Related Correlations Analysis

	CNWAX	CFAAX	MFEJX	MFEKX	HSWFX	BHYIX	TRFHX	DFCEX	PEMGX	RFKTX
CNWAX		0.5	-0.77	0.9	0.84	0.9	0.93	0.92	0.85	0.92	CNWAX
CFAAX	0.5		-0.36	0.48	0.55	0.57	0.59	0.42	0.52	0.6	CFAAX
MFEJX	-0.77	-0.36		-0.88	-0.43	-0.73	-0.65	-0.55	-0.82	-0.57	MFEJX
MFEKX	0.9	0.48	-0.88		0.7	0.8	0.81	0.7	0.88	0.79	MFEKX
HSWFX	0.84	0.55	-0.43	0.7		0.72	0.87	0.9	0.72	0.89	HSWFX
BHYIX	0.9	0.57	-0.73	0.8	0.72		0.94	0.8	0.82	0.91	BHYIX
TRFHX	0.93	0.59	-0.65	0.81	0.87	0.94		0.89	0.86	0.99	TRFHX
DFCEX	0.92	0.42	-0.55	0.7	0.9	0.8	0.89		0.68	0.89	DFCEX
PEMGX	0.85	0.52	-0.82	0.88	0.72	0.82	0.86	0.68		0.82	PEMGX
RFKTX	0.92	0.6	-0.57	0.79	0.89	0.91	0.99	0.89	0.82		RFKTX
	CNWAX	CFAAX	MFEJX	MFEKX	HSWFX	BHYIX	TRFHX	DFCEX	PEMGX	RFKTX

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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

RFKTX	+ 0.99	TRFHX
TRFHX	+ 0.94	BHYIX
TRFHX	+ 0.93	CNWAX
DFCEX	+ 0.92	CNWAX
RFKTX	+ 0.92	CNWAX
RFKTX	+ 0.91	BHYIX

High negative correlations

MFEKX	- 0.88	MFEJX
PEMGX	- 0.82	MFEJX
MFEJX	- 0.77	CNWAX
BHYIX	- 0.73	MFEJX
TRFHX	- 0.65	MFEJX
RFKTX	- 0.57	MFEJX

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
CNWAX	0.64	0.13	0.16	0.26	0.38	(0.73)	1.46	(1.03)	7.12
CFAAX	0.14	(0.01)	(0.36)	(0.14)	0.18	(0.15)	0.26	(0.35)	0.70
MFEJX	0.90	(0.25)	0.00	(0.17)	0.00	0.00	1.45	(2.03)	12.27
MFEKX	0.94	0.17	0.12	0.40	0.89	(1.05)	1.52	(1.89)	17.59
HSWFX	0.58	(0.02)	(0.04)	0.04	0.76	(0.59)	1.15	(1.50)	3.19
BHYIX	0.12	0.01	(0.25)	0.20	0.00	(0.20)	0.28	(0.14)	0.98
TRFHX	0.34	0.01	(0.04)	0.09	0.37	(0.36)	0.77	(0.69)	1.94
DFCEX	0.52	0.08	0.07	0.23	0.43	(0.63)	1.08	(1.03)	2.63
PEMGX	0.71	0.02	0.03	0.08	0.72	(0.83)	1.44	(1.52)	10.17
RFKTX	0.53	0.01	(0.01)	0.08	0.64	(0.54)	1.05	(1.22)	3.10

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