Global Small Correlations

DGLIX Fund

USD 17.71 0.16 0.91%

The current 90-days correlation between Global Small and Nasdaq 100 2x Strategy is 0.54 (i.e., Very weak diversification). The correlation of Global 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.

Global Small Correlation With Market

Very poor diversification

The correlation between Global Small and DJI is 0.84 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Global Small and DJI in the same portfolio, assuming nothing else is changed.

Check out Investing Opportunities to better understand how to build diversified portfolios, which includes a position in Global Small. 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 Global Mutual Fund

0.87	DIHRX	Intal High Relative	Pair Corr
0.77	DILRX	Dfa International	Pair Corr
0.79	DISVX	Dfa International Small	Pair Corr
0.83	DISMX	Dfa International	Pair Corr
0.66	DMNBX	Dfa Mn Municipal	Pair Corr
0.73	DMREX	Dfa Municipal Real	Pair Corr
0.85	DREIX	World Core Equity	Pair Corr
0.82	DRIIX	Dimensional 2045 Target	Pair Corr
0.78	DRIHX	Dimensional 2040 Target	Pair Corr
0.77	DRIGX	Dimensional 2035 Target	Pair Corr
0.68	DRIUX	Dimensional 2025 Target	Pair Corr
0.68	DRIRX	Dimensional 2020 Target	Pair Corr
0.68	DRIQX	Dimensional 2015 Target	Pair Corr
0.79	DRILX	Dimensional 2060 Target	Pair Corr
0.75	DRIKX	Dimensional 2055 Target	Pair Corr
0.83	DRIJX	Dimensional 2050 Target	Pair Corr
0.81	DSCLX	Dfa International Social	Pair Corr
0.94	DSCGX	Dfa Small	Pair Corr
0.81	DSHGX	Dfa Selectively Hedged	Pair Corr
0.79	DCARX	Dfa California Municipal	Pair Corr
0.81	DURPX	Us High Relative	Pair Corr
0.81	DUSQX	Us Lg Cap	Pair Corr
0.88	DFALX	Large Cap International	Pair Corr
0.66	DFABX	Dfa Investment Dimensions	Pair Corr
0.91	DFCSX	Continental Small Pany	Pair Corr

Moving against Global Mutual Fund

0.31	DIPSX	Dfa Inflation Protected	Pair Corr
0.6	DWFIX	Dfa World Ex	Pair Corr
0.42	DRXIX	Dfa Ltip Portfolio	Pair Corr

Related Correlations Analysis

	RYCCX	RYCVX	JOEAX	EMDQX	REMVX	SAEMX
RYCCX		0.81	0.77	0.65	0.75	0.68	RYCCX
RYCVX	0.81		0.84	0.77	0.81	0.76	RYCVX
JOEAX	0.77	0.84		0.81	0.9	0.88	JOEAX
EMDQX	0.65	0.77	0.81		0.8	0.73	EMDQX
REMVX	0.75	0.81	0.9	0.8		0.94	REMVX
SAEMX	0.68	0.76	0.88	0.73	0.94		SAEMX
	RYCCX	RYCVX	JOEAX	EMDQX	REMVX	SAEMX

Risk-Adjusted Indicators

There is a big difference between Global Mutual Fund performing well and Global 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 Global 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
RYCCX	1.82	0.12	0.07	0.12	2.38	(1.95)	4.31	(4.11)	16.28
RYCVX	1.11	0.00	0.03	0.05	1.35	(1.19)	2.38	(2.11)	5.92
JOEAX	0.71	0.07	0.06	0.14	0.90	(0.76)	1.35	(1.25)	4.99
EMDQX	0.19	0.02	(0.10)	0.18	0.08	(0.26)	0.41	(0.41)	1.02
REMVX	0.64	0.09	0.08	0.19	0.72	(0.76)	1.23	(0.86)	4.38
SAEMX	0.56	0.09	0.05	0.52	0.69	(0.63)	1.32	(1.30)	3.87

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