Small Cap Correlations

ANONX Fund

USD 19.83 1.71 9.44%

The current 90-days correlation between Small Cap Growth and Mid Cap Value is 0.8 (i.e., Very poor diversification). The correlation of Small Cap 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 Cap Correlation With Market

Almost no diversification

The correlation between Small Cap Growth and DJI is 0.91 (i.e., Almost no diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Small Cap Growth and DJI in the same portfolio, assuming nothing else is changed.

Check out Trending Equities to better understand how to build diversified portfolios, which includes a position in Small Cap Growth. 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 board of governors.

Moving together with Small Mutual Fund

0.66	AMDVX	Mid Cap Value	Pair Corr
0.96	AMEIX	Equity Growth	Pair Corr
0.95	AMGIX	Income Growth	Pair Corr
0.98	TWCCX	Ultra Fund C	Pair Corr
0.97	TWCAX	Select Fund A	Pair Corr
0.97	TWCIX	Select Fund Investor	Pair Corr
0.98	TWCGX	Growth Fund Investor	Pair Corr
0.66	AMVYX	Mid Cap Value	Pair Corr
0.68	AMVRX	Mid Cap Value	Pair Corr
0.97	TWBIX	Balanced Fund Investor	Pair Corr
0.66	AMVGX	Mid Cap Value	Pair Corr
0.98	TWCUX	Ultra Fund Investor	Pair Corr
0.98	TWGIX	Growth Fund I	Pair Corr
0.83	TWGGX	Global Growth	Pair Corr
0.98	TWHIX	Heritage Fund Investor	Pair Corr
0.98	TWRCX	Growth Fund C	Pair Corr
0.78	TWSCX	Strategic Allocation:	Pair Corr
0.88	TWSAX	Strategic Allocation:	Pair Corr
0.84	TWSMX	Strategic Allocation:	Pair Corr
0.97	TWSIX	Select Fund I	Pair Corr
0.98	TWUAX	Ultra Fund A	Pair Corr
0.98	TWUIX	Ultra Fund I	Pair Corr

Moving against Small Mutual Fund

0.88	TWACX	Short Term Government	Pair Corr
0.86	TWAVX	Short Term Government	Pair Corr
0.84	TWARX	Short Term Government	Pair Corr
0.62	CDBCX	Diversified Bond	Pair Corr
0.85	TWUSX	Short Term Government	Pair Corr
0.86	TWUOX	Short Term Government	Pair Corr
0.37	ANTUX	Nt Non Intrinsic	Pair Corr

Related Correlations Analysis

	AMDVX	AMEIX	AMGIX	CDBCX	AMKIX	TWACX	TWADX	TWCCX	TWCAX	TWCIX
AMDVX		0.75	0.85	0.06	0.78	-0.37	0.97	0.62	0.65	0.65	AMDVX
AMEIX	0.75		0.97	-0.5	0.5	-0.84	0.63	0.96	0.97	0.97	AMEIX
AMGIX	0.85	0.97		-0.43	0.54	-0.78	0.74	0.93	0.95	0.95	AMGIX
CDBCX	0.06	-0.5	-0.43		0.25	0.83	0.21	-0.66	-0.62	-0.62	CDBCX
AMKIX	0.78	0.5	0.54	0.25		-0.1	0.84	0.35	0.38	0.39	AMKIX
TWACX	-0.37	-0.84	-0.78	0.83	-0.1		-0.21	-0.9	-0.89	-0.88	TWACX
TWADX	0.97	0.63	0.74	0.21	0.84	-0.21		0.48	0.52	0.52	TWADX
TWCCX	0.62	0.96	0.93	-0.66	0.35	-0.9	0.48		1.0	1.0	TWCCX
TWCAX	0.65	0.97	0.95	-0.62	0.38	-0.89	0.52	1.0		1.0	TWCAX
TWCIX	0.65	0.97	0.95	-0.62	0.39	-0.88	0.52	1.0	1.0		TWCIX
	AMDVX	AMEIX	AMGIX	CDBCX	AMKIX	TWACX	TWADX	TWCCX	TWCAX	TWCIX

Click cells to compare fundamentals

Check Volatility

Backtest Portfolio

Please upgrade your account to get full access to Macroaxis premium features

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

TWCAX	+ 1.0	TWCCX
TWCIX	+ 1.0	TWCCX
TWCIX	+ 1.0	TWCAX
TWADX	+ 0.97	AMDVX
AMGIX	+ 0.97	AMEIX
TWCAX	+ 0.97	AMEIX

High negative correlations

TWCCX	- 0.9	TWACX
TWCAX	- 0.89	TWACX
TWCIX	- 0.88	TWACX
TWACX	- 0.84	AMEIX
TWACX	- 0.78	AMGIX
TWCCX	- 0.66	CDBCX

Risk-Adjusted Indicators

There is a big difference between Small Mutual Fund performing well and Small Cap 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 Cap'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
AMDVX	0.83	0.00	0.00	(0.07)	0.00	0.00	1.25	(1.60)	6.57
AMEIX	0.97	(0.25)	0.00	(0.48)	0.00	0.00	1.41	(2.04)	7.54
AMGIX	0.86	(0.04)	0.00	(0.12)	0.00	0.00	1.14	(1.53)	7.00
CDBCX	0.26	0.00	0.19	0.00	0.32	(0.31)	0.56	(0.55)	2.09
AMKIX	1.00	(0.05)	0.00	(0.15)	0.00	0.00	1.64	(2.35)	8.03
TWACX	0.10	0.01	0.64	(0.74)	0.00	(0.15)	0.22	(0.11)	0.67
TWADX	0.79	0.02	0.00	(0.05)	0.00	0.00	1.12	(1.51)	7.02
TWCCX	1.44	(0.10)	0.00	(0.15)	0.00	0.00	2.41	(2.81)	8.85
TWCAX	1.40	(0.09)	0.00	(0.14)	0.00	0.00	2.40	(2.57)	8.52
TWCIX	1.40	(0.08)	0.00	(0.14)	0.00	0.00	2.41	(2.58)	8.51

Macroaxis helps investors of all levels and skills to maximize the upside of all their holdings and minimize the risk associated with market volatility, economic swings, and company-specific events. View terms and conditions

Feedback Blog

Made with optimal in San Francisco

2024 Macroaxis LLC