US Small Correlations

RUSC Etf

33.66 0.42 1.23%

The current 90-days correlation between US Small Cap and Direxion Daily Small is 0.96 (i.e., Almost no diversification). The correlation of US 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.

US Small Correlation With Market

Almost no diversification

The correlation between US Small Cap and DJI is 0.92 (i.e., Almost no diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding US Small Cap and DJI in the same portfolio, assuming nothing else is changed.

Build AI portfolio with RUSC Etf

Check out Your Equity Center to better understand how to build diversified portfolios, which includes a position in US Small Cap. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in main economic indicators.

Moving together with RUSC Etf

0.99	VB	Vanguard Small Cap	Pair Corr
0.71	IJR	iShares Core SP	Pair Corr
0.96	IWM	iShares Russell 2000	Pair Corr
0.96	VRTIX	Vanguard Russell 2000	Pair Corr
0.74	VTWO	Vanguard Russell 2000	Pair Corr
0.68	FNDA	Schwab Fundamental Small	Pair Corr
0.71	SPSM	SPDR Portfolio SP	Pair Corr
1.0	DFAS	Dimensional Small Cap	Pair Corr
1.0	VIOO	Vanguard SP Small	Pair Corr
0.7	PRFZ	Invesco FTSE RAFI	Pair Corr
0.91	EWC	iShares MSCI Canada	Pair Corr
0.7	TOT	Advisor Managed Port	Pair Corr
0.68	LQIG	SPDR MarketAxess Inv	Pair Corr
0.84	ISTB	iShares Core 1	Pair Corr
0.88	HCMAX	THE HILLMAN FUND	Pair Corr
0.87	URA	Global X Uranium	Pair Corr
0.78	IYR	iShares Real Estate	Pair Corr
0.91	TAXT	Northern Trust Tax	Pair Corr
0.69	FNK	First Trust Mid	Pair Corr
0.95	CCNR	CoreCommodity Natural	Pair Corr
0.75	DIA	SPDR Dow Jones	Pair Corr
0.66	AVUV	Avantis Small Cap	Pair Corr
0.94	AHYB	American Century ETF	Pair Corr
0.96	DES	WisdomTree SmallCap	Pair Corr

Moving against RUSC Etf

0.56	HUM	Humana Inc	Pair Corr
0.45	ARKW	ARK Next Generation	Pair Corr
0.68	ENTR	EntrepreneurShares	Pair Corr

Related Correlations Analysis

	EWG	FTLS	FUTY	EWW	HDEF	XSOE	XOP	TNA
EWG		0.26	-0.03	0.87	0.8	0.89	0.55	0.85	EWG
FTLS	0.26		-0.01	0.21	0.15	0.29	0.08	0.22	FTLS
FUTY	-0.03	-0.01		0.28	0.42	0.32	0.56	-0.07	FUTY
EWW	0.87	0.21	0.28		0.94	0.96	0.82	0.8	EWW
HDEF	0.8	0.15	0.42	0.94		0.91	0.87	0.61	HDEF
XSOE	0.89	0.29	0.32	0.96	0.91		0.8	0.8	XSOE
XOP	0.55	0.08	0.56	0.82	0.87	0.8		0.52	XOP
TNA	0.85	0.22	-0.07	0.8	0.61	0.8	0.52		TNA
	EWG	FTLS	FUTY	EWW	HDEF	XSOE	XOP	TNA

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

XSOE	+ 0.96	EWW
HDEF	+ 0.94	EWW
XSOE	+ 0.91	HDEF
XSOE	+ 0.89	EWG
EWW	+ 0.87	EWG
XOP	+ 0.87	HDEF

High negative correlations

TNA	- 0.07	FUTY
FUTY	- 0.03	EWG
FUTY	- 0.01	FTLS

US Small Constituents Risk-Adjusted Indicators

There is a big difference between RUSC Etf performing well and US Small ETF 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 US 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
EWG	0.58	0.12	0.12	0.27	0.46	(0.62)	1.15	(0.98)	3.67
FTLS	0.38	(0.04)	(0.16)	(0.03)	0.53	(0.37)	0.69	(0.75)	2.48
FUTY	0.71	0.11	0.04	1.03	0.75	(0.76)	1.46	(1.31)	4.35
EWW	0.92	0.28	0.21	0.51	0.86	(1.10)	1.96	(1.45)	7.17
HDEF	0.48	0.17	0.23	0.67	0.00	(0.60)	1.50	(0.74)	2.58
XSOE	0.69	0.20	0.22	0.37	0.44	(0.83)	2.03	(1.14)	4.40
XOP	1.34	0.24	0.12	0.69	1.36	(1.42)	2.96	(2.20)	6.95
TNA	2.56	0.18	0.12	0.13	2.83	(2.72)	5.37	(5.14)	16.60

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