Large Cap Correlations
GTLIX Fund | USD 20.94 0.07 0.34% |
The current 90-days correlation between Large Cap Core and Large Cap E is 1.0 (i.e., No risk reduction). The correlation of Large 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.
Large Cap Correlation With Market
Almost no diversification
The correlation between Large Cap Core and DJI is 0.94 (i.e., Almost no diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Large Cap Core and DJI in the same portfolio, assuming nothing else is changed.
Large |
Moving together with Large Mutual Fund
0.94 | NOVIX | Glenmede International | PairCorr |
0.96 | GEQIX | Equity Income Portfolio | PairCorr |
1.0 | GWILX | Woman In Leadership | PairCorr |
0.99 | RESGX | Responsible Esg Equity | PairCorr |
0.9 | GLSOX | Secured Options Portfolio | PairCorr |
0.94 | GQLVX | Quantitative U S | PairCorr |
0.94 | GQSCX | Quantitative U S | PairCorr |
0.86 | GTAPX | Long/short Portfolio | PairCorr |
0.96 | GTCEX | Strategic Equity Por | PairCorr |
0.89 | GTCIX | International Portfolio | PairCorr |
0.97 | GTCSX | Small Cap Equity | PairCorr |
0.98 | GTILX | Large Cap Growth | PairCorr |
0.98 | GTLLX | Large Cap Growth | PairCorr |
1.0 | GTLOX | Large Cap E | PairCorr |
0.86 | GTLSX | Quantitative Longshort | PairCorr |
0.9 | GTSOX | Secured Options Portfolio | PairCorr |
0.97 | GTSCX | Small Cap Equity | PairCorr |
0.97 | GTTMX | Total Market Portfolio | PairCorr |
0.94 | VVIAX | Vanguard Value Index | PairCorr |
0.96 | DOXGX | Dodge Cox Stock | PairCorr |
0.91 | AFMFX | American Mutual | PairCorr |
0.94 | FFMMX | American Funds American | PairCorr |
0.94 | FFFMX | American Funds American | PairCorr |
0.92 | AMRMX | American Mutual | PairCorr |
0.92 | AMFFX | American Mutual | PairCorr |
0.92 | AMFCX | American Mutual | PairCorr |
0.96 | DODGX | Dodge Stock Fund | PairCorr |
0.94 | VIVAX | Vanguard Value Index | PairCorr |
0.9 | CPAYX | Columbia Pacific/asia | PairCorr |
0.9 | CASAX | Columbia Pacificasia | PairCorr |
0.7 | CCCZX | Center St Brookfield | PairCorr |
0.92 | CASCX | Columbia Pacificasia | PairCorr |
0.92 | MGHRX | Morgan Stanley Insti | PairCorr |
0.92 | MSEQX | Growth Portfolio Class | PairCorr |
0.93 | MSHLX | Growth Portfolio Class | PairCorr |
0.96 | ICSIX | Dynamic Opportunity | PairCorr |
0.95 | SPMIX | Sp Midcap Index | PairCorr |
0.96 | CAMSX | Cambiar Small Cap | PairCorr |
0.92 | VCIEX | International Equities | PairCorr |
Related Correlations Analysis
0.96 | 0.95 | 0.93 | 0.92 | GTLOX | ||
0.96 | 0.99 | 0.98 | 0.98 | PCCOX | ||
0.95 | 0.99 | 0.98 | 0.97 | PFPWX | ||
0.93 | 0.98 | 0.98 | 0.99 | SDLAX | ||
0.92 | 0.98 | 0.97 | 0.99 | FMSTX | ||
Click cells to compare fundamentals | Check Volatility | Backtest Portfolio |
Risk-Adjusted Indicators
There is a big difference between Large Mutual Fund performing well and Large 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 Large 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 | ||
---|---|---|---|---|---|---|---|---|---|---|
GTLOX | 0.65 | (0.01) | 0.00 | 0.22 | 0.43 | 1.99 | 5.16 | |||
PCCOX | 0.60 | 0.11 | 0.13 | 0.35 | 0.00 | 2.00 | 4.91 | |||
PFPWX | 0.61 | 0.09 | 0.09 | 0.32 | 0.11 | 1.74 | 4.95 | |||
SDLAX | 0.58 | 0.34 | 0.07 | (1.43) | 0.22 | 1.97 | 4.48 | |||
FMSTX | 0.60 | 0.28 | (0.01) | (1.06) | 0.48 | 1.68 | 4.39 |