Driehaus Small Correlations

DNSMX Fund

USD 26.15 0.05 0.19%

The current 90-days correlation between Driehaus Small Cap and Driehaus Emerging Markets is 0.49 (i.e., Very weak diversification). The correlation of Driehaus 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.

Driehaus Small Correlation With Market

Poor diversification

The correlation between Driehaus Small Cap and DJI is 0.78 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Driehaus Small Cap 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 Small Cap. 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 population.

Moving together with Driehaus Mutual Fund

0.96	DMAGX	Driehaus Multi Asset	Pair Corr
0.99	DMCRX	Driehaus Micro Cap	Pair Corr
0.99	DSMDX	Driehaus Smallmid Cap	Pair Corr
1.0	DVSMX	Driehaus Small Cap	Pair Corr
0.84	DEVDX	Driehaus Event Driven	Pair Corr
0.98	VSGAX	Vanguard Small Cap	Pair Corr
0.98	VSGIX	Vanguard Small Cap	Pair Corr
0.98	VISGX	Vanguard Small Cap	Pair Corr
0.97	VEXPX	Vanguard Explorer	Pair Corr
0.97	VEXRX	Vanguard Explorer	Pair Corr
0.97	JGMIX	Janus Triton	Pair Corr
0.97	JGMRX	Janus Triton	Pair Corr
0.97	JGMAX	Janus Triton	Pair Corr
0.97	JGMCX	Janus Triton	Pair Corr
0.97	JGMNX	Janus Triton	Pair Corr
0.84	FTYPX	Fidelity Freedom Index	Pair Corr
0.75	FFBTX	Fidelity Freedom Blend	Pair Corr
0.9	GCAVX	Gmo Small Cap	Pair Corr
0.65	GQLOX	Gmo Quality Fund	Pair Corr
0.74	GHVIX	Gmo High Yield	Pair Corr
0.94	GMCQX	Gmo Equity Allocation	Pair Corr
0.88	DMA	Destra Multi Alternative	Pair Corr
0.93	VBIAX	Vanguard Balanced Index	Pair Corr
0.96	VEIPX	Vanguard Equity Income	Pair Corr
0.82	LEOIX	Lazard Enhanced Oppo	Pair Corr
0.86	AMDVX	Mid Cap Value	Pair Corr
0.98	VGOSX	Voya Large Cap	Pair Corr
0.94	FAGIX	Fidelity Capital Income	Pair Corr
0.93	FSLBX	Brokerage And Investment	Pair Corr
0.7	RRTMX	T Rowe Price	Pair Corr
0.81	FSAHX	Fidelity Short Duration	Pair Corr
0.95	FMILX	Fidelity New Millennium	Pair Corr

Moving against Driehaus Mutual Fund

0.52	DRIOX	Driehaus International	Pair Corr
0.82	GABFX	Gmo Asset Allocation	Pair Corr
0.54	GAAVX	Gmo Alternative Allo	Pair Corr

Related Correlations Analysis

	DIEMX	DMCRX	DRESX	DREGX	DRIOX	DSMDX	DEVDX
DIEMX		-0.11	0.84	1.0	0.72	-0.08	0.03	DIEMX
DMCRX	-0.11		-0.13	-0.12	-0.58	0.98	0.84	DMCRX
DRESX	0.84	-0.13		0.84	0.83	-0.13	0.09	DRESX
DREGX	1.0	-0.12	0.84		0.72	-0.09	0.03	DREGX
DRIOX	0.72	-0.58	0.83	0.72		-0.57	-0.41	DRIOX
DSMDX	-0.08	0.98	-0.13	-0.09	-0.57		0.79	DSMDX
DEVDX	0.03	0.84	0.09	0.03	-0.41	0.79		DEVDX
	DIEMX	DMCRX	DRESX	DREGX	DRIOX	DSMDX	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
DSMDX	+ 0.98	DMCRX
DRESX	+ 0.84	DIEMX
DEVDX	+ 0.84	DMCRX
DREGX	+ 0.84	DRESX
DRIOX	+ 0.83	DRESX

High negative correlations

DRIOX	- 0.58	DMCRX
DSMDX	- 0.57	DRIOX
DEVDX	- 0.41	DRIOX
DSMDX	- 0.13	DRESX
DRESX	- 0.13	DMCRX
DREGX	- 0.12	DMCRX

Risk-Adjusted Indicators

There is a big difference between Driehaus Mutual Fund performing well and Driehaus 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 Driehaus 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
DIEMX	0.64	(0.10)	0.00	(0.13)	0.00	0.00	1.53	(1.57)	3.98
DMCRX	1.23	0.04	0.08	0.14	1.20	(1.51)	3.16	(2.27)	7.69
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
DEVDX	0.25	0.00	(0.27)	0.12	0.21	(0.27)	0.54	(0.46)	1.48

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