Global Small Correlations

AGCVX Fund

USD 20.01 0.03 0.15%

The current 90-days correlation between Global Small Cap and Asg Managed Futures is 0.44 (i.e., Very weak diversification). The correlation of Global 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.

Global Small Correlation With Market

Very poor diversification

The correlation between Global Small Cap and DJI is 0.83 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Global Small Cap 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 Global 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 real.

Moving together with Global Mutual Fund

0.91	AMDVX	Mid Cap Value	Pair Corr
0.89	AMEIX	Equity Growth	Pair Corr
0.86	AMGIX	Income Growth	Pair Corr
0.91	TWADX	Value Fund A	Pair Corr
0.86	TWCCX	Ultra Fund C	Pair Corr
0.86	TWCAX	Select Fund A	Pair Corr
0.79	TWCIX	Select Fund Investor	Pair Corr
0.81	TWCGX	Growth Fund Investor	Pair Corr
0.91	AMVYX	Mid Cap Value	Pair Corr
0.9	AMVRX	Mid Cap Value	Pair Corr
0.84	TWBIX	Balanced Fund Investor	Pair Corr
0.9	AMVGX	Mid Cap Value	Pair Corr
0.79	TWEAX	Equity Income	Pair Corr
0.88	TWEIX	Equity Income	Pair Corr
0.86	TWCUX	Ultra Fund Investor	Pair Corr
0.88	TWGIX	Growth Fund I	Pair Corr
0.64	TWGGX	Global Growth	Pair Corr
0.86	TWHIX	Heritage Fund Investor	Pair Corr
0.88	TWRCX	Growth Fund C	Pair Corr
0.87	TWSCX	Strategic Allocation:	Pair Corr
0.91	TWSAX	Strategic Allocation:	Pair Corr
0.91	TWSMX	Strategic Allocation:	Pair Corr
0.86	TWSIX	Select Fund I	Pair Corr
0.82	TWVLX	Value Fund Investor	Pair Corr
0.86	TWUAX	Ultra Fund A	Pair Corr
0.86	TWUIX	Ultra Fund I	Pair Corr
0.72	NPHIX	High Income Fund	Pair Corr

Moving against Global Mutual Fund

0.44	CDBCX	Diversified Bond	Pair Corr
0.44	TWACX	Short Term Government	Pair Corr
0.43	TWAVX	Short Term Government	Pair Corr
0.41	TWARX	Short Term Government	Pair Corr
0.34	TWUSX	Short Term Government	Pair Corr
0.5	ANTUX	Nt Non Intrinsic	Pair Corr
0.4	TWUOX	Short Term Government	Pair Corr

Related Correlations Analysis

	AMFAX	BPRIX	FODVX	FIBLX	QCILIX	QMHIX	GMSSX	ABNTX
AMFAX		0.7	0.74	0.7	0.73	0.36	0.95	0.71	AMFAX
BPRIX	0.7		0.99	0.98	0.98	0.05	0.74	0.91	BPRIX
FODVX	0.74	0.99		0.99	0.99	0.12	0.78	0.93	FODVX
FIBLX	0.7	0.98	0.99		0.99	0.15	0.76	0.93	FIBLX
QCILIX	0.73	0.98	0.99	0.99		0.21	0.77	0.95	QCILIX
QMHIX	0.36	0.05	0.12	0.15	0.21		0.34	0.29	QMHIX
GMSSX	0.95	0.74	0.78	0.76	0.77	0.34		0.75	GMSSX
ABNTX	0.71	0.91	0.93	0.93	0.95	0.29	0.75		ABNTX
	AMFAX	BPRIX	FODVX	FIBLX	QCILIX	QMHIX	GMSSX	ABNTX

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Risk-Adjusted Indicators

There is a big difference between Global Mutual Fund performing well and Global 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 Global 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
AMFAX	0.41	(0.08)	0.00	(0.10)	0.00	0.00	0.79	(0.92)	2.43
BPRIX	0.21	(0.02)	0.00	(0.37)	0.00	0.00	0.40	(0.51)	1.11
FODVX	0.20	(0.02)	0.00	(0.36)	0.00	0.00	0.39	(0.49)	1.17
FIBLX	0.21	(0.02)	0.00	(0.27)	0.00	0.00	0.32	(0.43)	1.26
QCILIX	0.15	(0.01)	(0.58)	(0.24)	0.20	(0.15)	0.27	(0.32)	0.87
QMHIX	0.60	0.02	(0.10)	1.44	0.80	(0.58)	1.21	(1.11)	3.83
GMSSX	0.57	(0.09)	0.00	(0.10)	0.00	0.00	0.91	(1.83)	3.65
ABNTX	0.14	(0.01)	(0.49)	(0.53)	0.18	(0.17)	0.29	(0.30)	0.88

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