Sp Smallcap Correlations

RYYCX Fund

USD 163.06 0.63 0.38%

The current 90-days correlation between Sp Smallcap 600 and Mndvux is -0.04 (i.e., Good diversification). The correlation of Sp Smallcap 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.

Sp Smallcap Correlation With Market

Good diversification

The correlation between Sp Smallcap 600 and DJI is -0.14 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Sp Smallcap 600 and DJI in the same portfolio, assuming nothing else is changed.

Check out Your Equity Center to better understand how to build diversified portfolios, which includes a position in Sp Smallcap 600. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as various price indices.

Moving together with RYYCX Mutual Fund

0.97	VSIIX	Vanguard Small Cap	Pair Corr
0.97	VISVX	Vanguard Small Cap	Pair Corr
0.98	DFSVX	Us Small Cap	Pair Corr
0.98	DFFVX	Us Targeted Value	Pair Corr
0.94	UBVCX	Undiscovered Managers	Pair Corr
0.94	UBVAX	Undiscovered Managers	Pair Corr
0.94	UBVSX	Undiscovered Managers	Pair Corr
0.98	AVFIX	American Beacon Small	Pair Corr
0.93	VSTSX	Vanguard Total Stock	Pair Corr
0.93	VSMPX	Vanguard Total Stock	Pair Corr
0.93	VITSX	Vanguard Total Stock	Pair Corr
0.92	VFFSX	Vanguard 500 Index	Pair Corr
0.92	VFIAX	Vanguard 500 Index	Pair Corr
0.89	VTISX	Vanguard Total Inter	Pair Corr
0.89	VTSNX	Vanguard Total Inter	Pair Corr
0.89	VTPSX	Vanguard Total Inter	Pair Corr
0.92	VINIX	Vanguard Institutional	Pair Corr
0.93	VTSAX	Vanguard Total Stock	Pair Corr
0.65	BAC	Bank of America	Pair Corr
0.74	JPM	JPMorgan Chase	Pair Corr
0.72	PFE	Pfizer Inc	Pair Corr
0.78	MRK	Merck Company	Pair Corr
0.74	CVX	Chevron Corp	Pair Corr
0.61	BA	Boeing	Pair Corr
0.68	CSCO	Cisco Systems Earnings Call This Week	Pair Corr

Moving against RYYCX Mutual Fund

0.68	TRV	The Travelers Companies	Pair Corr
0.55	MCD	McDonalds	Pair Corr
0.35	HPQ	HP Inc	Pair Corr
0.32	KO	Coca Cola	Pair Corr

Related Correlations Analysis

	RYYCX	MNDVUX	NWWAX	SMGASX	PWJQX	FGWMX	PNPXX	RNDIX	BZEAX
RYYCX		0.74	0.0	0.0	0.52	0.71	0.0	0.0	0.91	RYYCX
MNDVUX	0.74		0.0	0.0	0.76	0.94	0.0	0.0	0.68	MNDVUX
NWWAX	0.0	0.0		0.0	0.0	0.0	0.0	0.0	0.0	NWWAX
SMGASX	0.0	0.0	0.0		0.0	0.0	0.0	0.0	0.0	SMGASX
PWJQX	0.52	0.76	0.0	0.0		0.69	0.0	0.0	0.45	PWJQX
FGWMX	0.71	0.94	0.0	0.0	0.69		0.0	0.0	0.74	FGWMX
PNPXX	0.0	0.0	0.0	0.0	0.0	0.0		0.0	0.0	PNPXX
RNDIX	0.0	0.0	0.0	0.0	0.0	0.0	0.0		0.0	RNDIX
BZEAX	0.91	0.68	0.0	0.0	0.45	0.74	0.0	0.0		BZEAX
	RYYCX	MNDVUX	NWWAX	SMGASX	PWJQX	FGWMX	PNPXX	RNDIX	BZEAX

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

FGWMX	+ 0.94	MNDVUX
BZEAX	+ 0.91	RYYCX
PWJQX	+ 0.76	MNDVUX
MNDVUX	+ 0.74	RYYCX
BZEAX	+ 0.74	FGWMX
FGWMX	+ 0.71	RYYCX

High negative correlations

BZEAX	- 0.0	RNDIX
BZEAX	- 0.0	PNPXX
RNDIX	- 0.0	PNPXX
RNDIX	- 0.0	FGWMX
PNPXX	- 0.0	FGWMX
RNDIX	- 0.0	PWJQX

Risk-Adjusted Indicators

There is a big difference between RYYCX Mutual Fund performing well and Sp Smallcap 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 Sp Smallcap'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
RYYCX	1.06	0.14	0.00	(0.52)	1.19	(1.20)	2.08	(2.20)	5.53
MNDVUX	0.54	0.03	0.01	0.16	0.47	(0.67)	1.38	(0.87)	4.98
NWWAX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
SMGASX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
PWJQX	0.63	0.01	(0.04)	0.12	0.69	(0.65)	1.28	(1.27)	3.17
FGWMX	0.19	0.06	(0.14)	0.53	0.00	(0.25)	0.47	(0.31)	1.20
PNPXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
RNDIX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
BZEAX	0.35	0.09	(0.05)	(2.06)	0.23	(0.43)	0.94	(0.66)	2.43

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