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.

Check out Risk vs Return Analysis to better understand how to build diversified portfolios, which includes a position in Small Cap 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 manufacturing.

Moving together with Small Mutual Fund

0.85	VSMAX	Vanguard Small Cap	Pair Corr
0.85	VSCIX	Vanguard Small Cap	Pair Corr
0.85	VSCPX	Vanguard Small Cap	Pair Corr
0.85	NAESX	Vanguard Small Cap	Pair Corr
0.86	FSSNX	Fidelity Small Cap	Pair Corr
0.84	DFSTX	Us Small Cap	Pair Corr
0.84	PASVX	T Rowe Price	Pair Corr
1.0	PRVIX	T Rowe Price	Pair Corr
0.84	TRZVX	T Rowe Price	Pair Corr
1.0	PRSVX	T Rowe Price	Pair Corr
0.83	PFN	Pimco Income Strategy	Pair Corr
0.79	CIF	Mfs Intermediate High	Pair Corr
0.79	PCF	Putnam High Income	Pair Corr
0.62	CVX	Chevron Corp Earnings Call This Week	Pair Corr

Moving against Small Mutual Fund

0.71	XDSMX	Dreyfus Strategic	Pair Corr
0.71	XNBHX	Neuberger Berman Int	Pair Corr
0.53	XNXJX	Nuveen New Jersey	Pair Corr
0.35	WMT	Walmart	Pair Corr
0.35	VZ	Verizon Communications Aggressive Push	Pair Corr

Related Correlations Analysis

	MBSAX	TTRBX	BXHCX	PRVBX	CFNLX	SNCAX
MBSAX		0.98	0.97	0.84	0.92	0.69	MBSAX
TTRBX	0.98		0.95	0.89	0.91	0.74	TTRBX
BXHCX	0.97	0.95		0.82	0.92	0.64	BXHCX
PRVBX	0.84	0.89	0.82		0.75	0.72	PRVBX
CFNLX	0.92	0.91	0.92	0.75		0.57	CFNLX
SNCAX	0.69	0.74	0.64	0.72	0.57		SNCAX
	MBSAX	TTRBX	BXHCX	PRVBX	CFNLX	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	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
MBSAX	0.24	0.03	(0.46)	0.38	(0.30)	0.52	(0.43)	1.62
TTRBX	0.15	0.02	(1.03)	0.76	(0.21)	0.40	(0.20)	0.82
BXHCX	0.15	0.07	(0.77)	(3.79)	(0.24)	0.50	(0.13)	1.02
PRVBX	0.09	0.02	(1.45)	(10.83)	(0.10)	0.20	(0.17)	0.63
CFNLX	0.11	0.02	(1.42)	1.85	(0.15)	0.28	(0.22)	0.82
SNCAX	0.07	0.00	(2.04)	0.00	(0.11)	0.15	(0.15)	0.44

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