Small-cap Value Correlations
| LRSPX Fund | USD 13.41 0.18 1.32% |
The current 90-days correlation between Small Cap Value and Dreyfus Large Cap is -0.29 (i.e., Very good diversification). The correlation of Small-cap Value 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 |
Moving together with Small-cap Mutual Fund
| 0.62 | DFSVX | Us Small Cap | PairCorr |
| 0.61 | DFFVX | Us Targeted Value | PairCorr |
| 0.62 | UBVCX | Undiscovered Managers | PairCorr |
| 0.64 | MAUKX | Pioneer Multi Asset | PairCorr |
| 0.7 | CVX | Chevron Corp Earnings Call This Week | PairCorr |
| 0.64 | JPM | JPMorgan Chase | PairCorr |
| 0.69 | INTC | Intel | PairCorr |
| 0.62 | DD | Dupont De Nemours Earnings Call This Week | PairCorr |
Moving against Small-cap Mutual Fund
| 0.59 | MCD | McDonalds | PairCorr |
| 0.54 | TRV | The Travelers Companies | PairCorr |
| 0.4 | PG | Procter Gamble Earnings Call This Week | PairCorr |
Related Correlations Analysis
| Click cells to compare fundamentals | Check Volatility | Backtest Portfolio |
Risk-Adjusted Indicators
There is a big difference between Small-cap Mutual Fund performing well and Small-cap Value 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 Value'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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| DLQIX | 0.60 | 0.15 | 0.22 | 0.41 | 0.00 | 2.12 | 4.78 | |||
| SBQAX | 0.59 | 0.29 | 0.03 | (1.46) | 0.25 | 1.36 | 4.69 | |||
| SEEGX | 0.65 | 0.14 | 0.15 | 0.40 | 0.00 | 1.98 | 4.70 | |||
| TALCX | 0.55 | 0.30 | 0.02 | (1.24) | 0.41 | 1.52 | 4.04 | |||
| NEAMX | 0.47 | 0.08 | 0.01 | 0.35 | 0.00 | 1.53 | 3.99 | |||
| AMONX | 0.71 | 0.37 | 0.09 | (1.34) | 0.35 | 2.22 | 4.88 | |||
| GMLVX | 0.50 | 0.15 | 0.05 | 0.52 | 0.00 | 1.55 | 4.06 | |||
| DLCIX | 0.60 | 0.13 | 0.16 | 0.38 | 0.00 | 2.07 | 5.02 |