Deutsche Global Correlations

KGDCX Fund

USD 18.74 0.06 0.32%

The current 90-days correlation between Deutsche Global Small and Cref Money Market is 0.01 (i.e., Significant diversification). The correlation of Deutsche Global 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 Global Correlation With Market

Good diversification

The correlation between Deutsche Global Small and DJI is -0.11 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Deutsche Global Small and DJI in the same portfolio, assuming nothing else is changed.

Check out Correlation Analysis to better understand how to build diversified portfolios, which includes a position in Deutsche Global Small. 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 main economic indicators.

Moving together with Deutsche Mutual Fund

0.77	SRMAX	Deutsche Short Term	Pair Corr
0.77	SRMCX	Deutsche Short Term	Pair Corr
0.77	KTCCX	Deutsche Science And	Pair Corr
0.77	KTCAX	Deutsche Science And	Pair Corr
0.77	KTCIX	Deutsche Science And	Pair Corr
0.77	KTCSX	Deutsche Science And	Pair Corr
0.75	SRMSX	Deutsche Short Term	Pair Corr
0.74	KTRAX	Deutsche Global Income	Pair Corr
0.98	KTRCX	Deutsche Global Income	Pair Corr
0.98	KTRIX	Deutsche Global Income	Pair Corr
0.98	KTRSX	Deutsche Global Income	Pair Corr
0.98	KTRZX	Deutsche Global Income	Pair Corr
0.99	SSDZX	Deutsche Small Cap	Pair Corr
0.99	SSDAX	Deutsche Small Cap	Pair Corr
0.99	SSDCX	Deutsche Small Cap	Pair Corr
0.99	SSDIX	Deutsche Small Cap	Pair Corr
0.77	SSDSX	Deutsche Small Cap	Pair Corr
0.75	SSLCX	Deutsche Small Cap	Pair Corr
0.63	KDHSX	Deutsche Croci Equity	Pair Corr
0.86	KDHCX	Deutsche Croci Equity	Pair Corr
0.87	KDHAX	Deutsche Croci Equity	Pair Corr
0.87	KDHIX	Deutsche Croci Equity	Pair Corr
0.78	SCDGX	Deutsche E Equity	Pair Corr
0.74	SCEMX	Deutsche Enhanced	Pair Corr
0.93	SCINX	Deutsche Croci Inter	Pair Corr
0.99	SCGSX	Deutsche Capital Growth	Pair Corr
0.64	SCMTX	Deutsche Intermediate	Pair Corr
0.96	SCOBX	Deutsche Global Growth	Pair Corr
0.98	SCQGX	Deutsche Large Cap	Pair Corr
0.77	SCPIX	Deutsche Sp 500	Pair Corr
0.64	SCSBX	Deutsche E Plus	Pair Corr

Related Correlations Analysis

	QCMMIX	IVMXX	GMBXX	AEYXX	SMAAX	FMFXX
QCMMIX		0.63	0.56	0.0	0.95	0.63	QCMMIX
IVMXX	0.63		0.83	0.0	0.77	1.0	IVMXX
GMBXX	0.56	0.83		0.0	0.7	0.83	GMBXX
AEYXX	0.0	0.0	0.0		0.0	0.0	AEYXX
SMAAX	0.95	0.77	0.7	0.0		0.77	SMAAX
FMFXX	0.63	1.0	0.83	0.0	0.77		FMFXX
	QCMMIX	IVMXX	GMBXX	AEYXX	SMAAX	FMFXX

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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

FMFXX	+ 1.0	IVMXX
SMAAX	+ 0.95	QCMMIX
GMBXX	+ 0.83	IVMXX
FMFXX	+ 0.83	GMBXX
SMAAX	+ 0.77	IVMXX
FMFXX	+ 0.77	SMAAX

High negative correlations

FMFXX	- 0.0	AEYXX
SMAAX	- 0.0	AEYXX
AEYXX	- 0.0	GMBXX
AEYXX	- 0.0	IVMXX
AEYXX	- 0.0	QCMMIX

Risk-Adjusted Indicators

There is a big difference between Deutsche Mutual Fund performing well and Deutsche Global 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 Global'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	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
QCMMIX	0.02	0.01	0.00	(4.32)	0.00	0.03	0.00	0.07
IVMXX	0.03	0.00	0.00	1.43	0.00	0.00	0.00	1.01
GMBXX	0.03	0.01	0.00	(3.32)	0.00	0.00	0.00	1.01
AEYXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
SMAAX	0.11	0.03	(0.55)	1.06	(0.16)	0.21	(0.10)	0.72
FMFXX	0.03	0.00	0.00	1.43	0.00	0.00	0.00	1.01

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