Smallcap World Correlations

Mutual Funds USA . 
Fund . Smallcap World Fund
CSPFX Fund  USD 79.81  0.45  0.56%   
The current 90-days correlation between Smallcap World and New Economy Fund is 0.82 (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 price.

Moving together with Smallcap Mutual Fund

  0.95RNEBX New World FundPairCorr
  0.97RNCCX American Funds IncomePairCorr
  0.87FPPPX American Funds PresePairCorr
  0.91AMEFX Income FundPairCorr
  0.83RNGGX New Economy FundPairCorr
  0.83RNGFX New Economy FundPairCorr
  0.8RNGHX New Economy FundPairCorr
  0.82RNGBX New Economy FundPairCorr
  0.82RNGAX New Economy FundPairCorr
  0.83RNGEX New Economy FundPairCorr
  0.82RNGCX New Economy FundPairCorr
  0.89TEAFX Tax Exempt BondPairCorr
  0.96FPTPX American Funds ConsePairCorr
  0.87TEFEX Tax Exempt FundPairCorr
  0.82RNNEX New Economy FundPairCorr
  0.9CDJAX American Funds CollegePairCorr
  0.84RNPBX New PerspectivePairCorr
  0.84RNPAX New PerspectivePairCorr
  0.83RNPHX New PerspectivePairCorr
  0.86RNPGX New PerspectivePairCorr
  0.85RNPCX New PerspectivePairCorr
  0.86RNPFX New PerspectivePairCorr
  0.86RNPEX New PerspectivePairCorr
  0.96AMRFX American MutualPairCorr
  0.96RNRPX American Funds RetirementPairCorr
  0.97RNWFX New World FundPairCorr
  0.97RNWEX New World FundPairCorr
  0.95RNWHX New World FundPairCorr
  0.97RNWGX New World FundPairCorr
  0.97RNWBX New World FundPairCorr
  0.97RNWAX New World FundPairCorr
  0.97RNWCX New World FundPairCorr
  0.96CDWEX American Funds DevelopingPairCorr
  0.96CDWFX American Funds DevelopingPairCorr
  0.96CDWCX American Funds DevelopingPairCorr
  0.96CDWAX American Funds DevelopingPairCorr
  0.77ANBGX American Funds StrategicPairCorr
  0.77ANBFX American Funds StrategicPairCorr
  0.82CEAMX Short Term BondPairCorr
  0.89TFEBX Tax Exempt BondPairCorr

Related Correlations Analysis


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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
RNEBX  0.68  0.22  0.27  0.41  0.08 
(0.77)
 1.60 
(1.03)
 7.64 
RNCCX  0.24  0.06  0.01  0.25  0.00 
(0.28)
 0.56 
(0.42)
 1.62 
FPPPX  0.07  0.01 (0.55)(0.47) 0.00 
(0.12)
 0.11 
(0.11)
 0.52 
AMEFX  0.41  0.22  0.38  0.66  0.00 
(0.52)
 0.79 
(0.62)
 7.41 
RNGGX  0.78  0.08  0.06  0.18  0.91 
(0.76)
 1.71 
(1.58)
 4.53 
RNGFX  0.79  0.08  0.06  0.17  0.96 
(0.75)
 1.72 
(1.58)
 4.52 
RNGHX  0.93  0.27  0.20  0.52  0.69 
(1.00)
 1.81 
(1.58)
 12.70 
RNGBX  0.79  0.08  0.05  0.17  0.97 
(0.75)
 1.71 
(1.58)
 4.53 
RNGAX  0.78  0.08  0.06  0.17  0.94 
(0.76)
 1.71 
(1.58)
 4.53 
RNGEX  0.79  0.08  0.06  0.17  0.96 
(0.75)
 1.70 
(1.57)
 4.54 

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