Deutsche Gold Correlations

SGDIX Fund

USD 56.30 0.35 0.63%

The current 90-days correlation between Deutsche Gold Precious and Franklin Adjustable Government is -0.06 (i.e., Good diversification). The correlation of Deutsche Gold 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 Gold Correlation With Market

Average diversification

The correlation between Deutsche Gold Precious and DJI is 0.12 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Deutsche Gold Precious 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 Gold Precious. 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

0.92	SGGDX	First Eagle Gold	Pair Corr
0.92	FEGIX	First Eagle Gold	Pair Corr
0.92	FEGOX	First Eagle Gold	Pair Corr
0.91	OPGSX	Oppenheimer Gold Spec	Pair Corr
0.91	OGMCX	Oppenheimer Gold Special	Pair Corr
0.92	FSAGX	Gold Portfolio Gold	Pair Corr
0.92	FIJDX	Gold Portfolio Fidelity	Pair Corr

Related Correlations Analysis

	FISAX	UIGSX	CGTCX	ICAXX	TWACX
FISAX		0.5	0.47	0.0	0.65	FISAX
UIGSX	0.5		0.99	0.0	0.96	UIGSX
CGTCX	0.47	0.99		0.0	0.96	CGTCX
ICAXX	0.0	0.0	0.0		0.0	ICAXX
TWACX	0.65	0.96	0.96	0.0		TWACX
	FISAX	UIGSX	CGTCX	ICAXX	TWACX

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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

CGTCX	+ 0.99	UIGSX
TWACX	+ 0.96	UIGSX
TWACX	+ 0.96	CGTCX
TWACX	+ 0.65	FISAX
UIGSX	+ 0.5	FISAX
CGTCX	+ 0.47	FISAX

High negative correlations

TWACX	- 0.0	ICAXX
ICAXX	- 0.0	CGTCX
ICAXX	- 0.0	UIGSX
ICAXX	- 0.0	FISAX

Risk-Adjusted Indicators

There is a big difference between Deutsche Mutual Fund performing well and Deutsche Gold 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 Gold'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
FISAX	0.07	0.00	(0.71)	(0.01)	0.00	(0.18)	0.13	(0.13)	0.80
UIGSX	0.18	(0.01)	0.00	0.31	0.00	0.00	0.34	(0.45)	1.03
CGTCX	0.23	(0.02)	0.00	0.47	0.00	0.00	0.34	(0.51)	1.49
ICAXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
TWACX	0.08	(0.01)	(0.86)	0.43	0.10	(0.14)	0.11	(0.11)	0.78

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