Small Cap Correlations

SCRYX Fund

USD 12.03 0.20 1.64%

The current 90-days correlation between Small Cap Core and Tiaa Cref Inflation Link is -0.22 (i.e., Very good 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

Very poor diversification

The correlation between Small Cap Core and DJI is 0.84 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Small Cap Core and DJI in the same portfolio, assuming nothing else is changed.

Check out World Market Map to better understand how to build diversified portfolios. 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 manufacturing.

Moving together with Small Mutual Fund

0.84	GCECX	Ab Global E	Pair Corr
0.95	AMTOX	Ab All Market	Pair Corr
0.67	ANAZX	Ab Global Bond	Pair Corr
0.68	ANBIX	Ab Bond Inflation	Pair Corr
0.99	SCYVX	Ab Small Cap	Pair Corr
0.99	APWIX	Ab Servative Wealth	Pair Corr
0.97	ASCLX	Ab Select Longshort	Pair Corr

Moving against Small Mutual Fund

0.45	ANYCX	Ab New York	Pair Corr
0.48	ABIMX	Ab Impact Municipal	Pair Corr

Related Correlations Analysis

	TIIHX	ATACX	ABNYX	BPRIX	ABNZX	QCILIX	IBRIX
TIIHX		0.66	0.99	0.98	0.99	1.0	0.99	TIIHX
ATACX	0.66		0.72	0.69	0.72	0.69	0.73	ATACX
ABNYX	0.99	0.72		0.96	1.0	0.99	0.98	ABNYX
BPRIX	0.98	0.69	0.96		0.97	0.98	0.98	BPRIX
ABNZX	0.99	0.72	1.0	0.97		0.99	0.98	ABNZX
QCILIX	1.0	0.69	0.99	0.98	0.99		0.99	QCILIX
IBRIX	0.99	0.73	0.98	0.98	0.98	0.99		IBRIX
	TIIHX	ATACX	ABNYX	BPRIX	ABNZX	QCILIX	IBRIX

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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
TIIHX	0.15	0.02	(0.71)	(0.10)	0.17	(0.16)	0.28	(0.28)	0.84
ATACX	1.07	(0.02)	0.05	0.18	1.12	(1.17)	2.49	(2.09)	8.56
ABNYX	0.13	0.02	(0.72)	(0.12)	0.14	(0.15)	0.29	(0.38)	0.76
BPRIX	0.20	0.02	(0.56)	(0.43)	0.22	(0.23)	0.41	(0.51)	1.34
ABNZX	0.14	0.02	(0.76)	(0.13)	0.13	(0.16)	0.29	(0.29)	0.88
QCILIX	0.15	0.02	(0.78)	(0.16)	0.19	(0.14)	0.26	(0.32)	0.84
IBRIX	0.20	0.02	(0.62)	(0.57)	0.20	(0.23)	0.33	(0.44)	0.99

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