Driehaus International Correlations

DRIOX Fund

USD 9.11 0.05 0.55%

The current 90-days correlation between Driehaus International and Driehaus Emerging Markets is 0.79 (i.e., Poor diversification). The correlation of Driehaus International 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 International Correlation With Market

Very weak diversification

The correlation between Driehaus International Small and DJI is 0.52 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Driehaus International 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 Driehaus International 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 persons.

Moving together with Driehaus Mutual Fund

0.71	DIEMX	Driehaus Emerging Markets	Pair Corr
0.82	DRESX	Driehaus Emerging Markets	Pair Corr
0.72	DREGX	Driehaus Emerging Markets	Pair Corr
0.97	OSMYX	Oppenheimer Intl Small	Pair Corr
0.97	OSCIX	Oppenheimer Intl Small	Pair Corr
0.97	OSMNX	Oppenheimer Intl Small	Pair Corr
0.81	TIDDX	T Rowe Price	Pair Corr
0.9	MIDGX	Mfs International New	Pair Corr
0.9	MIDHX	Mfs International New	Pair Corr
0.96	MIDRX	Mfs International New	Pair Corr

Moving against Driehaus Mutual Fund

0.58	DSMDX	Driehaus Smallmid Cap	Pair Corr
0.56	DMCRX	Driehaus Micro Cap	Pair Corr
0.53	DNSMX	Driehaus Small Cap	Pair Corr
0.53	DVSMX	Driehaus Small Cap	Pair Corr
0.47	DMAGX	Driehaus Multi Asset	Pair Corr
0.39	DEVDX	Driehaus Event Driven	Pair Corr
0.73	FSLBX	Brokerage And Investment	Pair Corr
0.52	VTSAX	Vanguard Total Stock	Pair Corr
0.49	INDEX	Sp 500 Equal	Pair Corr
0.49	CLXRX	Columbia Large Cap	Pair Corr
0.49	FCNTX	Fidelity Contrafund	Pair Corr
0.48	AGTHX	Growth Fund	Pair Corr
0.48	FPURX	Fidelity Puritan	Pair Corr
0.47	RYVYX	Nasdaq 100 2x	Pair Corr
0.47	ATAGX	Anchor Risk Managed	Pair Corr
0.45	DPG	Duff And Phelps	Pair Corr
0.43	WBCIX	William Blair Small	Pair Corr
0.42	VEIPX	Vanguard Equity Income	Pair Corr
0.37	VWENX	Vanguard Wellington	Pair Corr
0.58	GRSPX	Greenspring Fund Retail	Pair Corr
0.58	LEOIX	Lazard Enhanced Oppo	Pair Corr

Related Correlations Analysis

	DIEMX	DMCRX	DNSMX	DRESX	DREGX	DRIOX	DSMDX	DVSMX	DEVDX
DIEMX		-0.08	-0.01	0.84	1.0	0.71	-0.07	-0.01	0.06	DIEMX
DMCRX	-0.08		0.95	-0.1	-0.09	-0.56	0.96	0.95	0.84	DMCRX
DNSMX	-0.01	0.95		-0.09	-0.02	-0.53	0.99	1.0	0.79	DNSMX
DRESX	0.84	-0.1	-0.09		0.84	0.82	-0.15	-0.09	0.12	DRESX
DREGX	1.0	-0.09	-0.02	0.84		0.72	-0.08	-0.02	0.06	DREGX
DRIOX	0.71	-0.56	-0.53	0.82	0.72		-0.58	-0.53	-0.39	DRIOX
DSMDX	-0.07	0.96	0.99	-0.15	-0.08	-0.58		0.99	0.75	DSMDX
DVSMX	-0.01	0.95	1.0	-0.09	-0.02	-0.53	0.99		0.79	DVSMX
DEVDX	0.06	0.84	0.79	0.12	0.06	-0.39	0.75	0.79		DEVDX
	DIEMX	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
DSMDX	+ 0.99	DNSMX
DVSMX	+ 0.99	DSMDX
DSMDX	+ 0.96	DMCRX
DNSMX	+ 0.95	DMCRX

High negative correlations

DSMDX	- 0.58	DRIOX
DRIOX	- 0.56	DMCRX
DVSMX	- 0.53	DRIOX
DRIOX	- 0.53	DNSMX
DEVDX	- 0.39	DRIOX
DSMDX	- 0.15	DRESX

Risk-Adjusted Indicators

There is a big difference between Driehaus Mutual Fund performing well and Driehaus International 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 International'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	0.66	(0.09)	0.00	(0.08)	0.00	0.00	1.53	(1.57)	3.98
DMCRX	1.26	0.06	0.10	0.15	1.19	(1.52)	3.15	(2.27)	7.69
DNSMX	1.02	0.14	0.04	0.69	1.01	(1.18)	2.64	(2.05)	6.39
DRESX	0.59	(0.08)	0.00	(0.03)	0.00	0.00	1.19	(1.40)	3.61
DREGX	0.66	(0.09)	0.00	(0.09)	0.00	0.00	1.53	(1.59)	4.01
DRIOX	0.61	(0.15)	0.00	(0.14)	0.00	0.00	1.29	(1.28)	4.45
DSMDX	0.86	0.13	0.04	0.53	0.83	(1.03)	2.42	(1.79)	5.44
DVSMX	1.02	0.14	0.04	0.70	0.99	(1.19)	2.63	(2.05)	6.41
DEVDX	0.25	0.00	(0.28)	0.12	0.22	(0.26)	0.48	(0.46)	1.48

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