Russell 2000 Correlations

RYRHX Fund

USD 55.43 0.57 1.04%

The current 90-days correlation between Russell 2000 and Sp 500 Fund is 0.82 (i.e., Very poor diversification). The correlation of Russell 2000 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.

Russell 2000 Correlation With Market

Poor diversification

The correlation between Russell 2000 Fund and DJI is 0.67 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Russell 2000 Fund and DJI in the same portfolio, assuming nothing else is changed.

Check out Your Equity Center to better understand how to build diversified portfolios, which includes a position in Russell 2000 Fund. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as various price indices.

Moving together with Russell Mutual Fund

0.93	VSMAX	Vanguard Small Cap	Pair Corr
0.93	VSCIX	Vanguard Small Cap	Pair Corr
0.93	VSCPX	Vanguard Small Cap	Pair Corr
0.93	NAESX	Vanguard Small Cap	Pair Corr
1.0	FSSNX	Fidelity Small Cap	Pair Corr
0.98	DFSTX	Us Small Cap	Pair Corr
0.9	PASVX	T Rowe Price	Pair Corr
0.91	PRVIX	T Rowe Price	Pair Corr
0.91	TRZVX	T Rowe Price	Pair Corr
0.91	PRSVX	T Rowe Price	Pair Corr
0.73	XDSMX	Dreyfus Strategic	Pair Corr
0.75	XNXJX	Nuveen New Jersey	Pair Corr
0.78	NXJ	Nuveen New Jersey	Pair Corr
0.71	PCF	Putnam High Income	Pair Corr
0.79	XNBHX	Neuberger Berman Int	Pair Corr
0.82	AA	Alcoa Corp	Pair Corr
0.64	PG	Procter Gamble	Pair Corr
0.73	XOM	Exxon Mobil Corp Earnings Call Today	Pair Corr
0.81	TRV	The Travelers Companies	Pair Corr
0.78	HPQ	HP Inc	Pair Corr

Moving against Russell Mutual Fund

0.61	BA	Boeing	Pair Corr
0.37	PFE	Pfizer Inc Earnings Call This Week	Pair Corr

Related Correlations Analysis

	RYSPX	RYBHX	RYRSX	RYAWX	RYWAX
RYSPX		0.53	0.74	0.84	0.56	RYSPX
RYBHX	0.53		0.92	0.17	1.0	RYBHX
RYRSX	0.74	0.92		0.4	0.94	RYRSX
RYAWX	0.84	0.17	0.4		0.18	RYAWX
RYWAX	0.56	1.0	0.94	0.18		RYWAX
	RYSPX	RYBHX	RYRSX	RYAWX	RYWAX

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Risk-Adjusted Indicators

There is a big difference between Russell Mutual Fund performing well and Russell 2000 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 Russell 2000'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
RYSPX	0.63	0.02	(0.01)	0.13	0.84	(0.64)	1.22	(1.44)	5.47
RYBHX	1.04	(0.23)	0.00	(0.12)	0.00	0.00	1.75	(1.85)	18.54
RYRSX	1.88	(0.08)	0.01	0.05	2.44	(1.94)	3.66	(3.14)	20.51
RYAWX	0.91	0.11	0.07	0.22	1.16	(0.92)	1.78	(1.46)	7.32
RYWAX	1.07	(0.17)	0.00	(0.05)	0.00	0.00	1.85	(1.52)	17.88

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