Smallcap World Correlations

Mutual Funds . USA . 
Fund . Smallcap World Fund
SCWFX Fund  USD 77.69  0.44  0.56%   
The current 90-days correlation between Smallcap World and New World Fund is 0.84 (i.e., Very poor diversification). The correlation of Smallcap World 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.

Smallcap World Correlation With Market

Almost no diversification

The correlation between Smallcap World Fund and DJI is 0.91 (i.e., Almost no diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Smallcap World Fund and DJI in the same portfolio, assuming nothing else is changed.
  
Check out World Market Map to better understand how to build diversified portfolios, which includes a position in Smallcap World Fund. 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 price.

Moving together with Smallcap Mutual Fund

  0.97AMECX Income FundPairCorr
  0.96AMFCX American MutualPairCorr
  0.96AMFFX American MutualPairCorr
  0.71CUSEX Capital Group EquityPairCorr
  0.88AMHIX American High IncomePairCorr
  0.88TEBCX Tax Exempt BondPairCorr
  0.86TECCX Tax Exempt FundPairCorr
  0.86TECFX Tax Exempt FundPairCorr
  0.68AMUSX Us Government SecuritiesPairCorr
  0.93TEPCX American Funds TaxPairCorr
  0.94TEPAX American Funds TaxPairCorr
  0.94TEPFX American Funds TaxPairCorr
  0.96EMGEX Emerging Markets GrowthPairCorr
  0.75ANBEX American Funds StrategicPairCorr
  0.76ANBAX American Funds StrategicPairCorr
  0.71ANBCX American Funds StrategicPairCorr
  0.93ANCFX American Funds FundaPairCorr
  0.82ANFCX New Economy FundPairCorr
  0.83ANEFX New Economy FundPairCorr
  0.83ANFFX New Economy FundPairCorr
  0.96EMRGX Emerging Markets GrowthPairCorr
  0.85NPFCX New PerspectivePairCorr
  0.85NPFFX New PerspectivePairCorr
  0.84CWBFX Capital World BondPairCorr
  0.82CWBCX Capital World BondPairCorr
  0.94PGGAX American Funds GlobalPairCorr
  0.94PGGFX American Funds GlobalPairCorr
  0.86ANWPX New PerspectivePairCorr
  0.98BALFX American BalancedPairCorr
  0.98BALCX American BalancedPairCorr
  0.97CWGIX Capital World GrowthPairCorr
  0.97CWGFX Capital World GrowthPairCorr
  0.97CWGCX Capital World GrowthPairCorr
  0.95WSHFX Washington MutualPairCorr
  0.95WSHCX Washington MutualPairCorr
  0.97FAATX American Funds 2010PairCorr
  0.98FAETX American Funds 2030PairCorr

Related Correlations Analysis


Risk-Adjusted Indicators

There is a big difference between Smallcap Mutual Fund performing well and Smallcap World 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 Smallcap World'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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
SMCWX  0.66  0.11  0.13  0.20  0.49 
(0.71)
 1.37 
(1.25)
 3.90 
RLLGX  0.66  0.11  0.12  0.21  0.50 
(0.71)
 1.38 
(1.23)
 3.91 
RSLAX  0.66  0.11  0.12  0.20  0.50 
(0.70)
 1.36 
(1.24)
 3.91 
RMFGX  0.44  0.07  0.05  0.19  0.44 
(0.46)
 0.86 
(0.77)
 3.20 
AMFFX  0.44  0.06  0.05  0.18  0.44 
(0.46)
 0.87 
(0.77)
 3.18 
FNCFX  0.30  0.08  0.03  0.43  0.00 
(0.50)
 0.82 
(0.41)
 2.44 
NFFFX  0.59  0.14  0.16  0.30  0.33 
(0.65)
 1.46 
(1.02)
 3.36 
RNWGX  0.59  0.14  0.17  0.30  0.30 
(0.65)
 1.47 
(1.02)
 3.36 
NEWFX  0.59  0.14  0.17  0.29  0.35 
(0.65)
 1.47 
(1.03)
 3.36 
NWFFX  0.59  0.14  0.17  0.29  0.33 
(0.65)
 1.47 
(1.03)
 3.36 

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