Sprott Gold Correlations

SGDLX Fund

USD 125.36 0.24 0.19%

The current 90-days correlation between Sprott Gold Equity and Franklin Gold Precious is 0.97 (i.e., Almost no diversification). The correlation of Sprott 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.

Sprott Gold Correlation With Market

Modest diversification

The correlation between Sprott Gold Equity and DJI is 0.29 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Sprott Gold Equity 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 Sprott Gold Equity. 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 industry.

Moving together with Sprott Mutual Fund

1.0	SGDIX	Deutsche Gold Precious Steady Growth	Pair Corr
0.7	SGGDX	First Eagle Gold Steady Growth	Pair Corr
0.64	FEGIX	First Eagle Gold Steady Growth	Pair Corr
0.98	FEGOX	First Eagle Gold Steady Growth	Pair Corr
0.63	OPGSX	Oppenheimer Gold Spec Steady Growth	Pair Corr
0.97	OGMCX	Oppenheimer Gold Special Steady Growth	Pair Corr
0.96	FSAGX	Gold Portfolio Gold Steady Growth	Pair Corr
0.69	FKRCX	Franklin Gold Precious Steady Growth	Pair Corr
0.93	FRGOX	Franklin Gold Precious Steady Growth	Pair Corr
0.64	FGPMX	Franklin Gold And Steady Growth	Pair Corr
0.64	MIDSX	Midas Fund Midas	Pair Corr
0.78	FIJDX	Gold Portfolio Fidelity Steady Growth	Pair Corr

Related Correlations Analysis

	FGADX	BGEIX	GCMAX	SMBYX	EKBDX	AMKIX	EKBAX	SEQFX	HFCSX	SVSPX
FGADX		0.82	0.18	-0.05	0.0	0.2	0.4	0.13	-0.33	0.34	FGADX
BGEIX	0.82		0.18	-0.05	0.0	0.04	0.42	0.19	-0.28	0.37	BGEIX
GCMAX	0.18	0.18		0.54	0.0	0.17	0.15	0.16	-0.12	0.34	GCMAX
SMBYX	-0.05	-0.05	0.54		0.0	-0.2	-0.45	-0.3	0.18	-0.11	SMBYX
EKBDX	0.0	0.0	0.0	0.0		0.0	0.0	0.0	0.0	0.0	EKBDX
AMKIX	0.2	0.04	0.17	-0.2	0.0		0.73	0.79	-0.06	0.71	AMKIX
EKBAX	0.4	0.42	0.15	-0.45	0.0	0.73		0.88	-0.28	0.91	EKBAX
SEQFX	0.13	0.19	0.16	-0.3	0.0	0.79	0.88		-0.13	0.86	SEQFX
HFCSX	-0.33	-0.28	-0.12	0.18	0.0	-0.06	-0.28	-0.13		-0.3	HFCSX
SVSPX	0.34	0.37	0.34	-0.11	0.0	0.71	0.91	0.86	-0.3		SVSPX
	FGADX	BGEIX	GCMAX	SMBYX	EKBDX	AMKIX	EKBAX	SEQFX	HFCSX	SVSPX

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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

SVSPX	+ 0.91	EKBAX
SEQFX	+ 0.88	EKBAX
SVSPX	+ 0.86	SEQFX
BGEIX	+ 0.82	FGADX
SEQFX	+ 0.79	AMKIX
EKBAX	+ 0.73	AMKIX

High negative correlations

EKBAX	- 0.45	SMBYX
HFCSX	- 0.33	FGADX
SVSPX	- 0.3	HFCSX
SEQFX	- 0.3	SMBYX
HFCSX	- 0.28	EKBAX
HFCSX	- 0.28	BGEIX

Risk-Adjusted Indicators

There is a big difference between Sprott Mutual Fund performing well and Sprott 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 Sprott 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
FGADX	1.80	0.31	0.12	0.34	2.28	(1.88)	3.85	(4.06)	11.22
BGEIX	1.92	0.32	0.09	0.83	2.58	(1.88)	4.57	(4.27)	12.86
GCMAX	0.84	(0.14)	0.00	(0.33)	0.00	0.00	1.52	(1.53)	3.88
SMBYX	0.77	(0.16)	0.00	(0.25)	0.00	0.00	1.30	(1.53)	3.38
EKBDX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
AMKIX	0.74	0.01	0.00	0.08	0.99	(0.79)	1.58	(1.16)	4.93
EKBAX	0.79	0.14	0.07	(111.02)	0.94	(0.90)	1.70	(1.99)	5.14
SEQFX	0.62	0.05	(0.01)	0.67	0.80	(0.70)	1.27	(1.11)	4.46
HFCSX	2.06	(0.25)	0.00	1.04	0.00	0.00	3.25	(3.97)	36.38
SVSPX	0.55	0.06	0.00	0.61	0.78	(0.52)	1.23	(1.18)	3.30

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