Russell 2000 Correlations

RYRUX Fund

USD 201.72 1.45 0.72%

The current 90-days correlation between Russell 2000 2x and Basic Materials Fund is 0.69 (i.e., Poor diversification). The correlation of Russell 2000 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.

Russell 2000 Correlation With Market

Very poor diversification

The correlation between Russell 2000 2x and DJI is 0.88 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Russell 2000 2x and DJI in the same portfolio, assuming nothing else is changed.

Check out Your Equity Center to better understand how to build diversified portfolios, which includes a position in Russell 2000 2x. 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 employment.

Moving together with Russell Mutual Fund

0.94	RYBKX	Banking Fund Class	Pair Corr
0.96	RYBHX	Sp Midcap 400	Pair Corr
1.0	RYAKX	Russell 2000 15x Steady Growth	Pair Corr
0.98	RYAHX	Mid Cap 15x	Pair Corr
0.69	RYAQX	Inverse Government Long	Pair Corr
0.86	RYATX	Nasdaq 100 Fund	Pair Corr
0.88	RYAWX	Sp 500 Pure	Pair Corr
0.98	RYAVX	Sp Midcap 400	Pair Corr
0.98	RYDCX	Mid Cap 15x	Pair Corr
0.75	RYEAX	Energy Fund Class	Pair Corr
0.75	RYECX	Energy Fund Class	Pair Corr
0.89	RYCHX	Technology Fund Class	Pair Corr
0.87	RYCCX	Nasdaq 100 2x	Pair Corr
0.93	RYCNX	Transportation Fund Class	Pair Corr
1.0	RYCMX	Russell 2000 15x	Pair Corr
0.86	RYCOX	Nasdaq 100 Fund	Pair Corr
0.95	RYCVX	Dow 2x Strategy Steady Growth	Pair Corr
0.95	RYCYX	Dow 2x Strategy Steady Growth	Pair Corr
0.93	RYFNX	Financial Services	Pair Corr
0.93	RYFIX	Financial Services	Pair Corr
0.75	RYENX	Energy Fund Class	Pair Corr
0.94	RYFCX	Financial Services	Pair Corr
0.93	RYFAX	Financial Services	Pair Corr
0.86	RYHOX	Nasdaq 100 Fund	Pair Corr

Moving against Russell Mutual Fund

0.98	RYAGX	Inverse Mid Cap Potential Growth	Pair Corr
0.9	RYARX	Inverse Sp 500	Pair Corr
0.9	RYCBX	Inverse Sp 500	Pair Corr
0.85	RYALX	Inverse Nasdaq 100	Pair Corr
0.68	RYCGX	Government Long Bond	Pair Corr
0.67	RYABX	Government Long Bond Steady Growth	Pair Corr
0.33	RYCPX	Consumer Products	Pair Corr
0.74	RYEUX	Europe 125x Strategy	Pair Corr
0.67	RYGBX	Government Long Bond	Pair Corr
0.67	RYHBX	Government Long Bond	Pair Corr
0.51	RYHCX	Health Care Fund	Pair Corr
0.5	RYHEX	Health Care Fund	Pair Corr
0.49	RYFTX	Emerging Markets Bond	Pair Corr
0.49	RYHIX	Health Care Fund	Pair Corr

Related Correlations Analysis

	RYBCX	RYBAX	RYBKX	RYBMX	RYBHX	RYBIX	RYBOX	RYABX	RYACX	RYAIX
RYBCX		1.0	0.37	1.0	0.63	1.0	-0.07	-0.53	-0.74	-0.74	RYBCX
RYBAX	1.0		0.38	1.0	0.63	1.0	-0.08	-0.54	-0.75	-0.75	RYBAX
RYBKX	0.37	0.38		0.38	0.86	0.39	-0.38	-0.79	-0.8	-0.8	RYBKX
RYBMX	1.0	1.0	0.38		0.63	1.0	-0.08	-0.54	-0.75	-0.75	RYBMX
RYBHX	0.63	0.63	0.86	0.63		0.64	-0.24	-0.65	-0.89	-0.89	RYBHX
RYBIX	1.0	1.0	0.39	1.0	0.64		-0.09	-0.54	-0.75	-0.75	RYBIX
RYBOX	-0.07	-0.08	-0.38	-0.08	-0.24	-0.09		0.53	0.32	0.32	RYBOX
RYABX	-0.53	-0.54	-0.79	-0.54	-0.65	-0.54	0.53		0.8	0.79	RYABX
RYACX	-0.74	-0.75	-0.8	-0.75	-0.89	-0.75	0.32	0.8		1.0	RYACX
RYAIX	-0.74	-0.75	-0.8	-0.75	-0.89	-0.75	0.32	0.79	1.0		RYAIX
	RYBCX	RYBAX	RYBKX	RYBMX	RYBHX	RYBIX	RYBOX	RYABX	RYACX	RYAIX

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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

RYBAX	+ 1.0	RYBCX
RYBMX	+ 1.0	RYBCX
RYBIX	+ 1.0	RYBCX
RYBMX	+ 1.0	RYBAX
RYBIX	+ 1.0	RYBAX
RYBIX	+ 1.0	RYBMX

High negative correlations

RYAIX	- 0.89	RYBHX
RYACX	- 0.89	RYBHX
RYAIX	- 0.8	RYBKX
RYACX	- 0.8	RYBKX
RYABX	- 0.79	RYBKX
RYAIX	- 0.75	RYBIX

Risk-Adjusted Indicators

There is a big difference between Russell Mutual Fund performing well and Russell 2000 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 Russell 2000'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
RYBCX	0.77	(0.04)	(0.06)	0.08	0.90	(0.85)	1.73	(1.38)	4.27
RYBAX	0.77	(0.04)	(0.06)	0.08	0.89	(0.85)	1.71	(1.38)	4.29
RYBKX	1.09	0.02	0.12	0.14	0.81	(1.42)	2.45	(1.99)	12.77
RYBMX	0.77	(0.04)	(0.06)	0.08	0.89	(0.85)	1.71	(1.38)	4.29
RYBHX	0.80	(0.02)	0.01	0.11	0.97	(0.83)	1.76	(1.38)	5.62
RYBIX	0.77	(0.04)	(0.06)	0.08	0.89	(0.85)	1.72	(1.37)	4.29
RYBOX	0.81	(0.16)	0.00	(0.05)	0.00	0.00	1.51	(1.75)	6.21
RYABX	0.78	(0.05)	0.00	0.30	0.00	0.00	1.64	(1.83)	5.15
RYACX	0.74	0.03	0.00	0.10	0.00	0.00	2.43	(1.55)	5.90
RYAIX	0.75	0.02	0.00	0.11	0.00	0.00	2.50	(1.57)	5.84

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