Small Cap Correlations
GSCYX Fund | USD 17.86 0.20 1.13% |
The current 90-days correlation between Small Cap Equity and Multisector Bond Sma is 0.52 (i.e., Very weak 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
Very poor diversification
The correlation between Small Cap Equity and DJI is 0.83 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Small Cap Equity and DJI in the same portfolio, assuming nothing else is changed.
Small |
Moving together with Small Mutual Fund
0.85 | VSMAX | Vanguard Small Cap | PairCorr |
0.85 | VSCIX | Vanguard Small Cap | PairCorr |
0.85 | VSCPX | Vanguard Small Cap | PairCorr |
0.85 | NAESX | Vanguard Small Cap | PairCorr |
0.86 | FSSNX | Fidelity Small Cap | PairCorr |
0.84 | DFSTX | Us Small Cap | PairCorr |
0.84 | PASVX | T Rowe Price | PairCorr |
1.0 | PRVIX | T Rowe Price | PairCorr |
0.84 | TRZVX | T Rowe Price | PairCorr |
1.0 | PRSVX | T Rowe Price | PairCorr |
0.83 | PFN | Pimco Income Strategy | PairCorr |
0.79 | CIF | Mfs Intermediate High | PairCorr |
0.79 | PCF | Putnam High Income | PairCorr |
0.62 | CVX | Chevron Corp Earnings Call This Week | PairCorr |
Moving against Small Mutual Fund
0.71 | XDSMX | Dreyfus Strategic | PairCorr |
0.71 | XNBHX | Neuberger Berman Int | PairCorr |
0.53 | XNXJX | Nuveen New Jersey | PairCorr |
0.35 | WMT | Walmart | PairCorr |
0.35 | VZ | Verizon Communications Aggressive Push | PairCorr |
Related Correlations Analysis
0.98 | 0.97 | 0.84 | 0.92 | 0.69 | MBSAX | ||
0.98 | 0.95 | 0.89 | 0.91 | 0.74 | TTRBX | ||
0.97 | 0.95 | 0.82 | 0.92 | 0.64 | BXHCX | ||
0.84 | 0.89 | 0.82 | 0.75 | 0.72 | PRVBX | ||
0.92 | 0.91 | 0.92 | 0.75 | 0.57 | CFNLX | ||
0.69 | 0.74 | 0.64 | 0.72 | 0.57 | SNCAX | ||
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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 | ||
---|---|---|---|---|---|---|---|---|---|---|
MBSAX | 0.24 | 0.03 | (0.46) | 0.38 | 0.00 | 0.52 | 1.62 | |||
TTRBX | 0.15 | 0.02 | (1.03) | 0.76 | 0.00 | 0.40 | 0.82 | |||
BXHCX | 0.15 | 0.07 | (0.77) | (3.79) | 0.00 | 0.50 | 1.02 | |||
PRVBX | 0.09 | 0.02 | (1.45) | (10.83) | 0.00 | 0.20 | 0.63 | |||
CFNLX | 0.11 | 0.02 | (1.42) | 1.85 | 0.00 | 0.28 | 0.82 | |||
SNCAX | 0.07 | 0.00 | (2.04) | 0.00 | 0.00 | 0.15 | 0.44 |