Smallcap World Correlations

CSPFX Fund

USD 68.25 0.02 0.03%

The current 90-days correlation between Smallcap World and Blrc Sgy Mnp is -0.32 (i.e., Very good 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 0.92 (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 Trending Equities 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 census.

Moving together with Smallcap Mutual Fund

0.94	AMECX	Income Fund	Pair Corr
0.95	RNEBX	New World Fund	Pair Corr
0.89	AMFCX	American Mutual	Pair Corr
0.9	AMFFX	American Mutual	Pair Corr
0.94	RNCCX	American Funds Income	Pair Corr
0.94	AMEFX	Income Fund	Pair Corr
0.97	RNGGX	New Economy Fund	Pair Corr
0.97	RNGFX	New Economy Fund	Pair Corr
0.97	RNGHX	New Economy Fund	Pair Corr
0.97	RNGBX	New Economy Fund Potential Growth	Pair Corr
0.97	RNGAX	New Economy Fund Potential Growth	Pair Corr
0.97	RNGEX	New Economy Fund	Pair Corr
0.97	RNGCX	New Economy Fund	Pair Corr
0.95	FPTPX	American Funds Conse	Pair Corr
0.97	RNNEX	New Economy Fund	Pair Corr
0.99	CDJAX	American Funds College	Pair Corr
0.97	AMPCX	Amcap Fund Class	Pair Corr
0.97	AMPFX	Amcap Fund Class	Pair Corr
0.99	RNPBX	New Perspective	Pair Corr
0.99	RNPAX	New Perspective	Pair Corr
0.99	RNPHX	New Perspective	Pair Corr
0.99	RNPGX	New Perspective	Pair Corr
0.99	RNPCX	New Perspective	Pair Corr
0.99	RNPFX	New Perspective	Pair Corr
0.99	RNPEX	New Perspective	Pair Corr
0.9	AMRMX	American Mutual	Pair Corr
0.9	AMRFX	American Mutual	Pair Corr
0.95	RNRPX	American Funds Retirement	Pair Corr
0.95	RNWFX	New World Fund	Pair Corr

Moving against Smallcap Mutual Fund

0.47	FPPPX	American Funds Prese	Pair Corr
0.48	AMUSX	Us Government Securities	Pair Corr
0.42	ANBCX	American Funds Strategic	Pair Corr
0.39	ANBEX	American Funds Strategic	Pair Corr
0.39	ANBAX	American Funds Strategic	Pair Corr
0.38	ANBFX	American Funds Strategic	Pair Corr

Related Correlations Analysis

	MDMTX	ATOAX	OWMBX	RGVAX	BBINX	PBCAX	FCSCX	SNCAX
MDMTX		-0.57	0.95	0.0	0.95	0.99	-0.5	0.98	MDMTX
ATOAX	-0.57		-0.39	0.27	-0.33	-0.5	0.87	-0.48	ATOAX
OWMBX	0.95	-0.39		-0.03	0.99	0.97	-0.39	0.98	OWMBX
RGVAX	0.0	0.27	-0.03		0.04	-0.03	0.62	0.0	RGVAX
BBINX	0.95	-0.33	0.99	0.04		0.97	-0.32	0.98	BBINX
PBCAX	0.99	-0.5	0.97	-0.03	0.97		-0.46	0.98	PBCAX
FCSCX	-0.5	0.87	-0.39	0.62	-0.32	-0.46		-0.44	FCSCX
SNCAX	0.98	-0.48	0.98	0.0	0.98	0.98	-0.44		SNCAX
	MDMTX	ATOAX	OWMBX	RGVAX	BBINX	PBCAX	FCSCX	SNCAX

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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

PBCAX	+ 0.99	MDMTX
BBINX	+ 0.99	OWMBX
SNCAX	+ 0.98	MDMTX
SNCAX	+ 0.98	OWMBX
SNCAX	+ 0.98	BBINX
SNCAX	+ 0.98	PBCAX

High negative correlations

ATOAX	- 0.57	MDMTX
PBCAX	- 0.5	ATOAX
FCSCX	- 0.5	MDMTX
SNCAX	- 0.48	ATOAX
FCSCX	- 0.46	PBCAX
SNCAX	- 0.44	FCSCX

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 Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
MDMTX	0.36	(0.06)	0.00	0.37	0.00	0.00	0.70	(0.86)	4.70
ATOAX	0.03	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.40
OWMBX	0.21	(0.02)	0.00	0.33	0.00	0.00	0.35	(0.80)	1.97
RGVAX	0.32	0.00	0.23	(0.13)	0.35	(0.34)	0.59	(0.67)	1.83
BBINX	0.23	(0.03)	0.00	0.31	0.00	0.00	0.40	(0.80)	2.21
PBCAX	0.22	(0.04)	0.00	0.31	0.00	0.00	0.42	(0.41)	3.13
FCSCX	0.07	0.01	0.68	(0.88)	0.00	(0.21)	0.13	(0.13)	0.67
SNCAX	0.20	(0.03)	0.00	0.44	0.00	0.00	0.36	(0.74)	1.85

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