Smallcap World Correlations

CSPAX Fund

USD 72.65 0.64 0.89%

The current 90-days correlation between Smallcap World and New World Fund is 0.57 (i.e., Very weak 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

Average diversification

The correlation between Smallcap World Fund and DJI is 0.15 (i.e., Average 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

0.81	AMEFX	Income Fund	Pair Corr
0.85	RNGFX	New Economy Fund	Pair Corr
0.85	RNGHX	New Economy Fund	Pair Corr
0.85	RNGCX	New Economy Fund	Pair Corr
0.88	RNPHX	New Perspective	Pair Corr
0.88	RNPCX	New Perspective	Pair Corr
0.85	AMRFX	American Mutual	Pair Corr
0.87	RNWEX	New World Fund	Pair Corr
0.87	RNWHX	New World Fund	Pair Corr
0.87	RNWGX	New World Fund	Pair Corr
0.85	CWICX	Capital World Growth	Pair Corr
0.96	CWMAX	Washington Mutual	Pair Corr
0.72	CFNAX	American Funds Funda	Pair Corr
0.82	FAXTX	American Funds 2065	Pair Corr
0.7	RROPX	American Funds Retirement	Pair Corr
0.65	RAAEX	Short Term Bond	Pair Corr
0.93	RSEBX	Smallcap World	Pair Corr
0.93	RSLAX	Smallcap World	Pair Corr
0.83	RBHEX	American Funds 2050	Pair Corr
0.83	RBHTX	American Funds 2045	Pair Corr

Moving against Smallcap Mutual Fund

0.52	RAJTX	American Funds 2015	Pair Corr
0.5	RBCTX	American Funds 2020	Pair Corr
0.53	REJTX	American Funds 2015	Pair Corr
0.42	FFMMX	American Funds American	Pair Corr

Related Correlations Analysis

	CNWAX	CFAAX	MFEJX	MFEKX	HSWFX	BHYIX	TRFHX	DFCEX	PEMGX	RFKTX
CNWAX		0.31	-0.58	0.82	0.17	0.72	0.83	0.72	0.61	0.73	CNWAX
CFAAX	0.31		-0.11	0.25	0.29	0.41	0.46	0.37	0.06	0.57	CFAAX
MFEJX	-0.58	-0.11		-0.81	0.3	-0.47	-0.38	-0.04	-0.69	-0.24	MFEJX
MFEKX	0.82	0.25	-0.81		0.15	0.61	0.66	0.5	0.77	0.64	MFEKX
HSWFX	0.17	0.29	0.3	0.15		0.07	0.31	0.58	0.17	0.51	HSWFX
BHYIX	0.72	0.41	-0.47	0.61	0.07		0.88	0.5	0.47	0.77	BHYIX
TRFHX	0.83	0.46	-0.38	0.66	0.31	0.88		0.67	0.57	0.86	TRFHX
DFCEX	0.72	0.37	-0.04	0.5	0.58	0.5	0.67		0.27	0.76	DFCEX
PEMGX	0.61	0.06	-0.69	0.77	0.17	0.47	0.57	0.27		0.48	PEMGX
RFKTX	0.73	0.57	-0.24	0.64	0.51	0.77	0.86	0.76	0.48		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

TRFHX	+ 0.88	BHYIX
RFKTX	+ 0.86	TRFHX
TRFHX	+ 0.83	CNWAX
MFEKX	+ 0.82	CNWAX
PEMGX	+ 0.77	MFEKX
RFKTX	+ 0.77	BHYIX

High negative correlations

MFEKX	- 0.81	MFEJX
PEMGX	- 0.69	MFEJX
MFEJX	- 0.58	CNWAX
BHYIX	- 0.47	MFEJX
TRFHX	- 0.38	MFEJX
RFKTX	- 0.24	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	0.10	0.92	0.62	(0.70)	1.34	(1.16)	6.16
CFAAX	0.15	0.00	(0.23)	0.07	0.13	(0.17)	0.26	(0.26)	0.88
MFEJX	0.90	(0.24)	0.00	(0.15)	0.00	0.00	1.52	(2.03)	12.27
MFEKX	0.95	0.18	0.12	0.34	0.89	(1.03)	1.84	(1.89)	16.89
HSWFX	0.66	(0.04)	(0.04)	0.01	1.03	(0.62)	1.10	(1.52)	4.74
BHYIX	0.14	0.02	(0.21)	2.94	0.00	(0.23)	0.42	(0.28)	0.99
TRFHX	0.35	0.02	(0.05)	0.23	0.46	(0.33)	0.77	(0.69)	1.99
DFCEX	0.60	0.04	0.02	0.12	0.74	(0.67)	1.54	(1.09)	3.83
PEMGX	0.71	0.02	(0.03)	0.30	0.77	(0.85)	1.19	(1.52)	8.32
RFKTX	0.54	0.01	0.00	0.06	0.74	(0.54)	1.16	(1.22)	3.13

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