Small Company Correlations

DTSVX Fund

USD 26.52 0.28 1.04%

The current 90-days correlation between Small Pany Value and Small Pany Value is 1.0 (i.e., No risk reduction). The correlation of Small Company 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.

Small Company Correlation With Market

Poor diversification

The correlation between Small Pany Value and DJI is 0.76 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Small Pany Value and DJI in the same portfolio, assuming nothing else is changed.

Check out Investing Opportunities to better understand how to build diversified portfolios, which includes a position in Small Pany Value. 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 unemployment.

Moving together with SMALL Mutual Fund

0.72	WSMGX	Small Pany Growth	Pair Corr
1.0	WSMVX	Small Pany Value	Pair Corr
0.62	WFIVX	Wilshire 5000 Index	Pair Corr
0.69	WIORX	Wilshire Income Opport	Pair Corr
0.68	WIOPX	Wilshire Income Opport	Pair Corr
0.62	WINDX	Wilshire 5000 Index	Pair Corr
0.91	WLCVX	Large Pany Value	Pair Corr
0.65	WLCTX	Wilshire International	Pair Corr
0.91	DTLVX	Large Pany Value	Pair Corr
0.72	DTSGX	Small Pany Growth	Pair Corr
0.98	VSIIX	Vanguard Small Cap	Pair Corr
0.98	VISVX	Vanguard Small Cap	Pair Corr
0.98	DFSVX	Us Small Cap	Pair Corr
0.98	DFFVX	Us Targeted Value	Pair Corr
0.72	UBVCX	Undiscovered Managers	Pair Corr
0.64	UBVAX	Undiscovered Managers	Pair Corr
0.73	UBVSX	Undiscovered Managers	Pair Corr
0.97	AVFIX	American Beacon Small	Pair Corr
0.75	GDL	Gdl Closed Fund	Pair Corr
0.63	VTWIX	Vanguard Total World	Pair Corr
0.64	SFNNX	Schwab Fundamental	Pair Corr
0.61	QGRCX	Oppenheimer Gbl Alloc	Pair Corr

Related Correlations Analysis

	WSMVX	WSMGX	DTSGX	CRSH	RHJSX	GABBX	ARCX	LCAOX	IMAY	HICSX
WSMVX		0.73	0.73	-0.56	0.89	0.87	-0.09	0.57	0.69	0.49	WSMVX
WSMGX	0.73		1.0	-0.87	0.92	0.92	0.38	0.94	0.9	0.94	WSMGX
DTSGX	0.73	1.0		-0.87	0.92	0.92	0.38	0.94	0.9	0.94	DTSGX
CRSH	-0.56	-0.87	-0.87		-0.81	-0.8	-0.43	-0.94	-0.84	-0.91	CRSH
RHJSX	0.89	0.92	0.92	-0.81		0.96	0.11	0.84	0.88	0.78	RHJSX
GABBX	0.87	0.92	0.92	-0.8	0.96		0.19	0.85	0.91	0.8	GABBX
ARCX	-0.09	0.38	0.38	-0.43	0.11	0.19		0.42	0.37	0.56	ARCX
LCAOX	0.57	0.94	0.94	-0.94	0.84	0.85	0.42		0.91	0.96	LCAOX
IMAY	0.69	0.9	0.9	-0.84	0.88	0.91	0.37	0.91		0.85	IMAY
HICSX	0.49	0.94	0.94	-0.91	0.78	0.8	0.56	0.96	0.85		HICSX
	WSMVX	WSMGX	DTSGX	CRSH	RHJSX	GABBX	ARCX	LCAOX	IMAY	HICSX

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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

DTSGX	+ 1.0	WSMGX
GABBX	+ 0.96	RHJSX
HICSX	+ 0.96	LCAOX
LCAOX	+ 0.94	WSMGX
HICSX	+ 0.94	WSMGX
LCAOX	+ 0.94	DTSGX

High negative correlations

LCAOX	- 0.94	CRSH
HICSX	- 0.91	CRSH
CRSH	- 0.87	DTSGX
CRSH	- 0.87	WSMGX
IMAY	- 0.84	CRSH
RHJSX	- 0.81	CRSH

Risk-Adjusted Indicators

There is a big difference between SMALL Mutual Fund performing well and Small Company 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 Small Company'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
WSMVX	0.82	(0.05)	(0.01)	0.05	0.79	(1.02)	2.17	(1.42)	7.51
WSMGX	0.90	(0.03)	0.01	0.07	0.90	(1.04)	2.57	(1.43)	6.03
DTSGX	0.91	(0.03)	0.01	0.07	0.90	(1.04)	2.58	(1.46)	5.99
CRSH	1.86	(0.30)	0.00	0.39	0.00	0.00	4.01	(4.35)	9.56
RHJSX	0.97	0.03	0.08	0.11	0.86	(1.17)	2.43	(1.36)	6.64
GABBX	0.45	(0.02)	(0.05)	0.06	0.43	(0.56)	1.38	(0.79)	4.12
ARCX	6.19	(0.69)	0.00	(0.03)	0.00	0.00	13.56	(14.29)	53.82
LCAOX	0.38	0.01	(0.03)	0.11	0.43	(0.44)	0.88	(0.65)	3.34
IMAY	0.26	0.00	(0.14)	0.08	0.25	(0.29)	0.52	(0.56)	1.87
HICSX	0.55	0.03	0.02	0.13	0.62	(0.65)	1.16	(1.18)	3.69

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