Deutsche Small Correlations

SZCIX Fund

USD 54.22 0.97 1.76%

The current 90-days correlation between Deutsche Small Cap and Deutsche Global Income is 0.29 (i.e., Modest diversification). The correlation of Deutsche 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. If the correlation is 0, the equities are not correlated; they are entirely random.

Deutsche Small Correlation With Market

Almost no diversification

The correlation between Deutsche Small Cap and DJI is 0.95 (i.e., Almost no diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Deutsche Small Cap 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 Deutsche Small Cap. 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 gross domestic product.

Moving together with Deutsche Mutual Fund

0.62	GCGGX	Deutsche Gnma	Pair Corr
0.88	SRMAX	Deutsche Short Term	Pair Corr
0.84	SRMCX	Deutsche Short Term	Pair Corr
0.79	KTCCX	Deutsche Science And	Pair Corr
0.64	KTCIX	Deutsche Science And	Pair Corr
0.68	KTCSX	Deutsche Science And	Pair Corr
0.86	SRMSX	Deutsche Short Term	Pair Corr
0.9	KTRAX	Deutsche Global Income	Pair Corr
0.92	KTRCX	Deutsche Global Income	Pair Corr
0.92	KTRIX	Deutsche Global Income	Pair Corr
0.78	NOTCX	Deutsche Strategic High	Pair Corr
0.79	NOTAX	Deutsche Strategic High	Pair Corr
0.78	NOTIX	Deutsche Strategic High	Pair Corr
0.92	KTRSX	Deutsche Global Income	Pair Corr
0.92	KTRZX	Deutsche Global Income	Pair Corr
0.98	SSDZX	Deutsche Small Cap	Pair Corr
0.95	SSDAX	Deutsche Small Cap	Pair Corr
0.97	SSDCX	Deutsche Small Cap	Pair Corr
0.98	SSDIX	Deutsche Small Cap	Pair Corr
0.98	SSDSX	Deutsche Small Cap	Pair Corr
1.0	SSLCX	Deutsche Small Cap	Pair Corr
0.66	KCTAX	Deutsche California Tax	Pair Corr
0.92	KDHSX	Deutsche Croci Equity	Pair Corr
0.92	KDHCX	Deutsche Croci Equity	Pair Corr
0.91	KDHAX	Deutsche Croci Equity	Pair Corr
0.92	KDHIX	Deutsche Croci Equity	Pair Corr
0.86	SCDGX	Deutsche E Equity	Pair Corr
0.8	SCEMX	Deutsche Enhanced	Pair Corr
0.88	SCINX	Deutsche Croci Inter	Pair Corr
0.78	SCHLX	Deutsche Health And	Pair Corr
0.78	SCMAX	Deutsche Massachusetts	Pair Corr
0.67	SCMBX	Deutsche Managed Mun	Pair Corr
0.8	SCMTX	Deutsche Intermediate	Pair Corr
0.92	SCOBX	Deutsche Global Growth	Pair Corr
0.72	SCQGX	Deutsche Large Cap	Pair Corr
0.89	SCPIX	Deutsche Sp 500	Pair Corr
0.62	SCSBX	Deutsche E Plus	Pair Corr

Moving against Deutsche Mutual Fund

0.4

SDGTX

Deutsche Capital Growth

Pair Corr

Related Correlations Analysis

	GCGGX	SRMAX	SRMCX	KTCCX	KTCAX	KTCIX	KTCSX	SRMSX	KTRAX	KTRCX
GCGGX		0.76	0.78	0.4	-0.27	0.2	0.24	0.76	0.67	0.67	GCGGX
SRMAX	0.76		0.99	0.58	-0.2	0.34	0.38	0.99	0.86	0.85	SRMAX
SRMCX	0.78	0.99		0.54	-0.25	0.28	0.33	1.0	0.84	0.83	SRMCX
KTCCX	0.4	0.58	0.54		0.2	0.87	0.91	0.55	0.85	0.87	KTCCX
KTCAX	-0.27	-0.2	-0.25	0.2		0.57	0.52	-0.23	-0.01	-0.04	KTCAX
KTCIX	0.2	0.34	0.28	0.87	0.57		1.0	0.31	0.65	0.68	KTCIX
KTCSX	0.24	0.38	0.33	0.91	0.52	1.0		0.35	0.69	0.72	KTCSX
SRMSX	0.76	0.99	1.0	0.55	-0.23	0.31	0.35		0.85	0.84	SRMSX
KTRAX	0.67	0.86	0.84	0.85	-0.01	0.65	0.69	0.85		0.98	KTRAX
KTRCX	0.67	0.85	0.83	0.87	-0.04	0.68	0.72	0.84	0.98		KTRCX
	GCGGX	SRMAX	SRMCX	KTCCX	KTCAX	KTCIX	KTCSX	SRMSX	KTRAX	KTRCX

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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

SRMSX	+ 1.0	SRMCX
KTCSX	+ 1.0	KTCIX
SRMCX	+ 0.99	SRMAX
SRMSX	+ 0.99	SRMAX
KTRCX	+ 0.98	KTRAX
KTCSX	+ 0.91	KTCCX

High negative correlations

KTCAX	- 0.27	GCGGX
KTCAX	- 0.25	SRMCX
SRMSX	- 0.23	KTCAX
KTCAX	- 0.2	SRMAX
KTRCX	- 0.04	KTCAX
KTRAX	- 0.01	KTCAX

Risk-Adjusted Indicators

There is a big difference between Deutsche Mutual Fund performing well and Deutsche Small 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 Deutsche 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
GCGGX	0.14	0.01	(0.25)	0.23	0.00	(0.17)	0.34	(0.25)	0.84
SRMAX	0.04	0.01	0.00	4.96	0.00	0.00	0.10	0.00	0.20
SRMCX	0.04	0.01	0.00	2.01	0.00	0.00	0.10	0.00	0.30
KTCCX	1.60	0.40	0.27	0.25	1.05	(1.72)	2.09	(2.63)	40.30
KTCAX	1.02	0.00	(0.04)	0.09	1.66	(0.84)	1.97	(2.65)	6.72
KTCIX	1.10	0.01	0.01	0.07	1.69	(0.96)	2.07	(2.65)	9.79
KTCSX	1.11	0.03	0.02	0.09	1.64	(1.01)	2.09	(2.63)	11.02
SRMSX	0.04	0.01	0.00	1.20	0.00	0.00	0.10	0.00	0.41
KTRAX	0.45	0.16	0.19	(1.39)	0.00	(0.58)	0.93	(0.70)	6.47
KTRCX	0.45	0.13	0.20	0.36	0.00	(0.64)	0.81	(0.64)	6.45

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