Royce Micro Correlations

RMT Stock

USD 9.48 0.02 0.21%

The current 90-days correlation between Royce Micro Cap and Nuveen Municipal Credit is 0.35 (i.e., Weak diversification). The correlation of Royce Micro 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.

Royce Micro Correlation With Market

Poor diversification

The correlation between Royce Micro Cap and DJI is 0.79 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Royce Micro Cap and DJI in the same portfolio, assuming nothing else is changed.

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Check out Your Equity Center to better understand how to build diversified portfolios, which includes a position in Royce Micro Cap. Also, note that the market value of any company could be closely tied with the direction of predictive economic indicators such as signals in population.

Moving together with Royce Stock

0.69	GS	Goldman Sachs Group	Pair Corr
0.65	AXP	American Express	Pair Corr
0.69	SCM	Stellus Capital Inve	Pair Corr
0.69	GLAD	Gladstone Capital	Pair Corr
0.9	HTGC	Hercules Capital	Pair Corr
0.93	MAIN	Main Street Capital	Pair Corr
0.74	OPFI	OppFi Inc	Pair Corr
0.75	ALLY	Ally Financial	Pair Corr
0.95	ARCC	Ares Capital	Pair Corr
0.7	TPVG	Triplepoint Venture	Pair Corr
0.69	TSLX	Sixth Street Specialty	Pair Corr
0.95	CSWC	Capital Southwest	Pair Corr
0.68	C	Citigroup Aggressive Push	Pair Corr
0.91	L	Loews Corp	Pair Corr
0.75	DHIL	Diamond Hill Investment	Pair Corr
0.68	AX	Axos Financial	Pair Corr
0.7	BX	Blackstone Group Normal Trading	Pair Corr
0.72	CG	Carlyle Group Earnings Call This Week	Pair Corr
0.97	CM	Canadian Imperial Bank	Pair Corr
0.7	HG	Hamilton Insurance Group,	Pair Corr
0.65	IX	Orix Corp Ads	Pair Corr

Moving against Royce Stock

0.36	PSEC	Prospect Capital	Pair Corr
0.54	LX	Lexinfintech Holdings	Pair Corr
0.47	EG	Everest Group	Pair Corr
0.45	FG	FG Annuities Life	Pair Corr
0.31	CB	Chubb Earnings Call Tomorrow	Pair Corr

Related Correlations Analysis

	RVT	RGT	NMCO	BCAT	KTF	ASG	FUND	HQL	RFI
RVT		0.97	0.7	0.96	-0.28	0.98	0.88	0.63	0.55	RVT
RGT	0.97		0.69	0.97	-0.46	0.96	0.93	0.69	0.53	RGT
NMCO	0.7	0.69		0.72	-0.09	0.74	0.57	0.29	0.77	NMCO
BCAT	0.96	0.97	0.72		-0.32	0.97	0.88	0.64	0.6	BCAT
KTF	-0.28	-0.46	-0.09	-0.32		-0.28	-0.51	-0.51	0.13	KTF
ASG	0.98	0.96	0.74	0.97	-0.28		0.84	0.61	0.6	ASG
FUND	0.88	0.93	0.57	0.88	-0.51	0.84		0.79	0.41	FUND
HQL	0.63	0.69	0.29	0.64	-0.51	0.61	0.79		0.2	HQL
RFI	0.55	0.53	0.77	0.6	0.13	0.6	0.41	0.2		RFI
	RVT	RGT	NMCO	BCAT	KTF	ASG	FUND	HQL	RFI

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

ASG	+ 0.98	RVT
RGT	+ 0.97	RVT
BCAT	+ 0.97	RGT
ASG	+ 0.97	BCAT
BCAT	+ 0.96	RVT
ASG	+ 0.96	RGT

High negative correlations

HQL	- 0.51	KTF
FUND	- 0.51	KTF
KTF	- 0.46	RGT
KTF	- 0.32	BCAT
ASG	- 0.28	KTF
KTF	- 0.28	RVT

Risk-Adjusted Indicators

There is a big difference between Royce Stock performing well and Royce Micro Company 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 Royce Micro'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
RVT	0.79	0.15	0.13	0.29	0.72	(0.91)	1.78	(1.36)	6.33
RGT	0.56	0.30	0.31	(31.16)	0.00	(0.71)	1.43	(0.76)	3.12
NMCO	0.51	0.05	(0.05)	0.30	0.57	(0.57)	1.25	(0.75)	4.67
BCAT	0.53	0.21	0.21	0.85	0.00	(0.65)	1.48	(0.89)	3.62
KTF	0.34	(0.05)	0.00	(0.23)	0.00	0.00	0.56	(0.91)	2.56
ASG	0.89	0.20	0.17	0.35	0.72	(1.03)	2.47	(1.35)	5.16
FUND	0.59	0.22	0.10	(1.25)	0.29	(0.73)	1.42	(0.94)	3.51
HQL	1.21	0.14	0.06	0.34	1.41	(1.36)	2.46	(1.94)	7.82
RFI	0.73	0.04	(0.02)	0.22	0.69	(0.83)	1.36	(1.09)	3.90

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