Small Cap Correlations

LRSCX Fund

USD 15.50 0.02 0.13%

The current 90-days correlation between Small Cap Value and Hunter Small Cap is 0.94 (i.e., Almost no 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

Poor diversification

The correlation between Small Cap Value Series and DJI is 0.77 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Small Cap Value Series and DJI in the same portfolio, assuming nothing else is changed.

Check out Correlation Analysis to better understand how to build diversified portfolios, which includes a position in Small Cap Value Series. 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 world development indicators.

Moving together with Small Mutual Fund

0.81	LFSFX	Lord Abbett Focused	Pair Corr
0.89	LFVAX	Lord Abbett Focused	Pair Corr
0.9	LFVCX	Lord Abbett Focused	Pair Corr

Related Correlations Analysis

	HSCVX	MAVKX	ASCGX	PEVAX	SECAX	NESGX	DFUKX	HRSCX
HSCVX		0.88	0.32	0.73	0.88	0.28	0.35	0.58	HSCVX
MAVKX	0.88		0.46	0.8	0.91	0.49	0.53	0.67	MAVKX
ASCGX	0.32	0.46		0.58	0.58	0.74	0.58	0.86	ASCGX
PEVAX	0.73	0.8	0.58		0.79	0.44	0.59	0.66	PEVAX
SECAX	0.88	0.91	0.58	0.79		0.64	0.64	0.73	SECAX
NESGX	0.28	0.49	0.74	0.44	0.64		0.76	0.7	NESGX
DFUKX	0.35	0.53	0.58	0.59	0.64	0.76		0.53	DFUKX
HRSCX	0.58	0.67	0.86	0.66	0.73	0.7	0.53		HRSCX
	HSCVX	MAVKX	ASCGX	PEVAX	SECAX	NESGX	DFUKX	HRSCX

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
HSCVX	0.71	0.00	0.00	0.06	0.86	(0.78)	1.51	(1.31)	4.15
MAVKX	0.79	0.00	0.01	0.06	0.87	(0.90)	1.94	(1.48)	5.50
ASCGX	1.30	0.02	(0.01)	0.14	1.76	(1.35)	3.03	(2.67)	9.37
PEVAX	0.83	(0.05)	0.00	(0.12)	0.00	0.00	1.70	(1.40)	4.38
SECAX	0.92	(0.02)	0.00	0.05	1.14	(0.97)	2.19	(1.71)	5.26
NESGX	1.70	(0.01)	0.02	0.05	2.31	(1.73)	3.09	(4.29)	10.97
DFUKX	0.69	(0.02)	(0.06)	0.03	0.76	(0.76)	1.56	(1.07)	3.79
HRSCX	0.95	0.04	0.00	0.20	1.17	(1.02)	2.15	(1.79)	5.66

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Small Cap Correlations

Small Cap Correlation With Market

Poor diversification

Moving together with Small Mutual Fund

Related Correlations Analysis

Risk-Adjusted Indicators

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