Russell 2000 Correlations

RYRSX Fund

USD 182.58 0.12 0.07%

The current 90-days correlation between Russell 2000 2x and Aqr Large Cap is 0.08 (i.e., Significant 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

Significant diversification

The correlation between Russell 2000 2x and DJI is 0.02 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Russell 2000 2x 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 2x. 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 state.

Moving together with Russell Mutual Fund

0.86	RYBKX	Banking Fund Class	Pair Corr
0.93	RYBHX	Sp Midcap 400	Pair Corr
0.91	RYAKX	Russell 2000 15x	Pair Corr
0.9	RYAHX	Mid Cap 15x	Pair Corr
0.7	RYAQX	Inverse Government Long	Pair Corr
0.87	RYATX	Nasdaq 100 Fund	Pair Corr
0.84	RYANX	Nova Fund Class	Pair Corr
0.8	RYAWX	Sp 500 Pure	Pair Corr
0.9	RYAVX	Sp Midcap 400	Pair Corr
0.89	RYDHX	Dow Jones Industrial	Pair Corr
0.9	RYDCX	Mid Cap 15x	Pair Corr
0.63	RYECX	Energy Fund Class	Pair Corr
0.81	RYCCX	Nasdaq 100 2x	Pair Corr
0.87	RYCOX	Nasdaq 100 Fund	Pair Corr
0.9	RYCVX	Dow 2x Strategy	Pair Corr
0.9	RYCYX	Dow 2x Strategy	Pair Corr
0.89	RYDAX	Dow Jones Industrial	Pair Corr
0.85	RYFIX	Financial Services	Pair Corr
0.63	RYEIX	Energy Fund Investor	Pair Corr

Moving against Russell Mutual Fund

0.91	RYAFX	Inverse Russell 2000	Pair Corr
0.9	RYAGX	Inverse Mid Cap	Pair Corr
0.89	RYARX	Inverse Sp 500	Pair Corr
0.86	RYACX	Inverse Nasdaq 100	Pair Corr
0.86	RYALX	Inverse Nasdaq 100	Pair Corr
0.86	RYAPX	Inverse Nasdaq 100	Pair Corr
0.91	RYCQX	Inverse Russell 2000	Pair Corr
0.9	RYCLX	Inverse Mid Cap	Pair Corr
0.9	RYCWX	Inverse Dow 2x	Pair Corr
0.85	RYCDX	Rydex Inverse Nasdaq	Pair Corr
0.83	RYCBX	Inverse Sp 500	Pair Corr
0.68	RYGBX	Government Long Bond	Pair Corr
0.5	RYCAX	Consumer Products	Pair Corr
0.86	RYIDX	Rydex Dynamic Fds	Pair Corr
0.67	RYEUX	Europe 125x Strategy	Pair Corr

Related Correlations Analysis

	AMONX	RTLCX	LCGFX	GQLVX	OWLSX	SLCAX	FMSTX
AMONX		0.94	0.98	0.89	0.92	0.94	0.97	AMONX
RTLCX	0.94		0.92	0.95	0.98	0.99	0.95	RTLCX
LCGFX	0.98	0.92		0.86	0.91	0.93	0.94	LCGFX
GQLVX	0.89	0.95	0.86		0.94	0.96	0.94	GQLVX
OWLSX	0.92	0.98	0.91	0.94		0.98	0.92	OWLSX
SLCAX	0.94	0.99	0.93	0.96	0.98		0.96	SLCAX
FMSTX	0.97	0.95	0.94	0.94	0.92	0.96		FMSTX
	AMONX	RTLCX	LCGFX	GQLVX	OWLSX	SLCAX	FMSTX

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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
AMONX	0.72	0.02	0.03	0.12	0.88	(0.77)	1.63	(1.30)	4.55
RTLCX	0.54	0.07	(0.04)	(1.26)	0.68	(0.57)	1.14	(1.47)	4.06
LCGFX	0.75	(0.01)	(0.01)	0.09	1.09	(0.74)	1.71	(1.76)	5.22
GQLVX	0.56	0.08	(0.04)	6.19	0.44	(0.67)	1.27	(0.86)	3.59
OWLSX	0.52	0.06	(0.06)	(0.84)	0.65	(0.56)	1.21	(1.18)	3.44
SLCAX	0.54	0.09	(0.01)	(2.56)	0.57	(0.59)	1.19	(1.11)	3.63
FMSTX	0.52	0.06	0.07	0.17	0.33	(0.62)	1.14	(0.89)	3.58

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