Driehaus Multi-asset Correlations

DMAGX Fund

USD 17.08 0.05 0.29%

The current 90-days correlation between Driehaus Multi Asset and Driehaus Emerging Markets is 0.69 (i.e., Poor diversification). The correlation of Driehaus Multi-asset 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.

Driehaus Multi-asset Correlation With Market

Poor diversification

The correlation between Driehaus Multi Asset Growth and DJI is 0.73 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Driehaus Multi Asset Growth 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 Driehaus Multi Asset Growth. 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 Driehaus Mutual Fund

0.93	DMCRX	Driehaus Micro Cap	Pair Corr
0.96	DNSMX	Driehaus Small Cap	Pair Corr
0.94	DSMDX	Driehaus Smallmid Cap	Pair Corr
0.96	DVSMX	Driehaus Small Cap	Pair Corr
0.85	DEVDX	Driehaus Event Driven	Pair Corr
0.78	FCWGX	American Funds Capital	Pair Corr
0.78	FWCGX	American Funds Capital	Pair Corr
0.83	CWGIX	Capital World Growth	Pair Corr
0.82	CWGFX	Capital World Growth	Pair Corr
0.76	CWGCX	Capital World Growth	Pair Corr
0.78	RWIFX	Capital World Growth	Pair Corr
0.81	CWICX	Capital World Growth	Pair Corr
0.81	RWIAX	Capital World Growth	Pair Corr
0.83	CWIAX	Capital World Growth	Pair Corr
0.83	WGIFX	Capital World Growth	Pair Corr
0.77	PFN	Pimco Income Strategy	Pair Corr
0.87	XNKGX	Nuveen Georgia Quality	Pair Corr
0.79	XPPRX	Voya Prime Rate	Pair Corr
0.81	PCF	Putnam High Income	Pair Corr
0.82	RCILX	Alternative Credit Income	Pair Corr
0.92	WBCIX	William Blair Small	Pair Corr
0.86	SMERX	Invesco Small Cap	Pair Corr
0.75	GAB	Gabelli Equity Trust	Pair Corr
0.94	FFIDX	Fidelity Fund Fidelity	Pair Corr
0.89	FSLBX	Brokerage And Investment	Pair Corr
0.91	DMA	Destra Multi Alternative	Pair Corr
0.94	CSQ	Calamos Strategic Total	Pair Corr
0.98	USPRX	Sp 500 Index	Pair Corr

Moving against Driehaus Mutual Fund

0.43	DRIOX	Driehaus International	Pair Corr
0.69	XNXJX	Nuveen New Jersey	Pair Corr
0.61	XNBHX	Neuberger Berman Int	Pair Corr
0.35	XDSMX	Dreyfus Strategic	Pair Corr
0.31	NXJ	Nuveen New Jersey	Pair Corr

Related Correlations Analysis

	DIEMX	DMAGX	DMCRX	DNSMX	DRESX	DREGX	DRIOX	DSMDX	DVSMX	DEVDX
DIEMX		0.16	-0.11	-0.02	0.84	1.0	0.72	-0.08	-0.02	0.03	DIEMX
DMAGX	0.16		0.93	0.96	0.06	0.15	-0.43	0.94	0.96	0.85	DMAGX
DMCRX	-0.11	0.93		0.99	-0.13	-0.12	-0.58	0.98	0.99	0.84	DMCRX
DNSMX	-0.02	0.96	0.99		-0.06	-0.02	-0.52	0.99	1.0	0.84	DNSMX
DRESX	0.84	0.06	-0.13	-0.06		0.84	0.83	-0.13	-0.06	0.09	DRESX
DREGX	1.0	0.15	-0.12	-0.02	0.84		0.72	-0.09	-0.02	0.03	DREGX
DRIOX	0.72	-0.43	-0.58	-0.52	0.83	0.72		-0.57	-0.52	-0.41	DRIOX
DSMDX	-0.08	0.94	0.98	0.99	-0.13	-0.09	-0.57		0.99	0.79	DSMDX
DVSMX	-0.02	0.96	0.99	1.0	-0.06	-0.02	-0.52	0.99		0.84	DVSMX
DEVDX	0.03	0.85	0.84	0.84	0.09	0.03	-0.41	0.79	0.84		DEVDX
	DIEMX	DMAGX	DMCRX	DNSMX	DRESX	DREGX	DRIOX	DSMDX	DVSMX	DEVDX

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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

DREGX	+ 1.0	DIEMX
DVSMX	+ 1.0	DNSMX
DNSMX	+ 0.99	DMCRX
DVSMX	+ 0.99	DMCRX
DSMDX	+ 0.99	DNSMX
DVSMX	+ 0.99	DSMDX

High negative correlations

DRIOX	- 0.58	DMCRX
DSMDX	- 0.57	DRIOX
DVSMX	- 0.52	DRIOX
DRIOX	- 0.52	DNSMX
DRIOX	- 0.43	DMAGX
DEVDX	- 0.41	DRIOX

Risk-Adjusted Indicators

There is a big difference between Driehaus Mutual Fund performing well and Driehaus Multi-asset 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 Driehaus Multi-asset'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
DIEMX	0.64	(0.10)	0.00	(0.13)	0.00	0.00	1.53	(1.57)	3.98
DMAGX	0.58	(0.01)	(0.04)	0.11	0.71	(0.63)	1.22	(1.43)	3.93
DMCRX	1.23	0.04	0.08	0.14	1.20	(1.51)	3.16	(2.27)	7.69
DNSMX	1.01	0.03	0.06	0.14	1.00	(1.14)	2.61	(2.05)	6.39
DRESX	0.57	(0.09)	0.00	(0.06)	0.00	0.00	1.19	(1.40)	3.26
DREGX	0.64	(0.10)	0.00	(0.13)	0.00	0.00	1.53	(1.59)	4.01
DRIOX	0.59	(0.16)	0.00	(0.19)	0.00	0.00	1.18	(1.28)	3.58
DSMDX	0.88	0.07	0.08	0.18	0.78	(1.05)	2.42	(1.79)	5.44
DVSMX	1.01	0.03	0.06	0.14	0.98	(1.15)	2.63	(2.05)	6.41
DEVDX	0.25	0.00	(0.27)	0.12	0.21	(0.27)	0.54	(0.46)	1.48

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