Smallcap World Correlations

SMCWX Fund

USD 74.38 0.05 0.07%

The current 90-days correlation between Smallcap World and Smallcap World Fund is -0.08 (i.e., 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

Significant diversification

The correlation between Smallcap World Fund and DJI is 0.08 (i.e., Significant 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 World Market Map 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 manufacturing.

Moving together with Smallcap Mutual Fund

0.67	ANCFX	American Funds Funda	Pair Corr
0.66	ANWPX	New Perspective	Pair Corr
0.66	WSHFX	Washington Mutual	Pair Corr
0.82	WSHCX	Washington Mutual	Pair Corr

Related Correlations Analysis

	SCWFX	RLLGX	RSLAX	RMFGX	AMFFX	FNCFX	NFFFX	RNWGX	NEWFX	NWFFX
SCWFX		0.81	1.0	0.52	0.52	0.47	0.56	0.56	0.47	0.56	SCWFX
RLLGX	0.81		0.8	0.35	0.52	0.57	0.5	0.5	0.56	0.5	RLLGX
RSLAX	1.0	0.8		0.56	0.55	0.42	0.58	0.58	0.5	0.58	RSLAX
RMFGX	0.52	0.35	0.56		0.85	-0.19	0.74	0.74	0.55	0.73	RMFGX
AMFFX	0.52	0.52	0.55	0.85		-0.08	0.79	0.79	0.71	0.78	AMFFX
FNCFX	0.47	0.57	0.42	-0.19	-0.08		0.0	0.0	0.06	0.01	FNCFX
NFFFX	0.56	0.5	0.58	0.74	0.79	0.0		1.0	0.85	1.0	NFFFX
RNWGX	0.56	0.5	0.58	0.74	0.79	0.0	1.0		0.85	1.0	RNWGX
NEWFX	0.47	0.56	0.5	0.55	0.71	0.06	0.85	0.85		0.85	NEWFX
NWFFX	0.56	0.5	0.58	0.73	0.78	0.01	1.0	1.0	0.85		NWFFX
	SCWFX	RLLGX	RSLAX	RMFGX	AMFFX	FNCFX	NFFFX	RNWGX	NEWFX	NWFFX

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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

RSLAX	+ 1.0	SCWFX
RNWGX	+ 1.0	NFFFX
NWFFX	+ 1.0	NFFFX
NWFFX	+ 1.0	RNWGX
AMFFX	+ 0.85	RMFGX
NEWFX	+ 0.85	NFFFX

High negative correlations

FNCFX	- 0.19	RMFGX
FNCFX	- 0.08	AMFFX
RNWGX	- 0.0	FNCFX
NFFFX	- 0.0	FNCFX

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
SCWFX	0.75	(0.09)	0.00	(0.02)	0.00	0.00	1.32	(1.27)	5.60
RLLGX	0.77	(0.04)	0.00	(0.34)	0.00	0.00	1.32	(1.27)	5.73
RSLAX	0.76	(0.10)	0.00	(0.03)	0.00	0.00	1.32	(1.28)	5.85
RMFGX	0.61	(0.12)	0.00	(0.06)	0.00	0.00	0.83	(1.13)	7.97
AMFFX	0.61	(0.07)	0.00	(0.26)	0.00	0.00	0.82	(1.13)	7.90
FNCFX	0.32	0.04	(0.06)	0.82	0.23	(0.55)	0.83	(0.41)	2.42
NFFFX	0.64	(0.09)	0.00	(0.05)	0.00	0.00	1.24	(1.25)	6.56
RNWGX	0.64	(0.09)	0.00	(0.05)	0.00	0.00	1.24	(1.26)	6.64
NEWFX	0.64	(0.04)	0.00	(0.77)	0.00	0.00	1.22	(1.25)	6.28
NWFFX	0.63	(0.09)	0.00	(0.04)	0.00	0.00	1.23	(1.26)	6.33

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