SP Small-Cap Correlations
| SML Index | 1,442 19.23 1.32% |
The current 90-days correlation between SP Small-Cap 600 and AG Mortgage Investment is -0.16 (i.e., Good diversification). The correlation of SP 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.
The ability to find closely correlated positions to SP Small-Cap could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace SP Small-Cap when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back SP Small-Cap - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling SP Small-Cap 600 to buy it.
Moving together with SML Index
| 0.64 | NVDA | NVIDIA Sell-off Trend | PairCorr |
| 0.9 | AAPL | Apple Inc | PairCorr |
| 0.84 | GOOG | Alphabet Class C Aggressive Push | PairCorr |
| 0.81 | AMZN | Amazon Inc | PairCorr |
| 0.78 | AVGO | Broadcom Aggressive Push | PairCorr |
| 0.82 | FTRE | Fortrea Holdings | PairCorr |
| 0.86 | AGNC | AGNC Investment Corp | PairCorr |
| 0.79 | PLD | Prologis | PairCorr |
| 0.88 | IREN | IREN Trending | PairCorr |
| 0.74 | INDI | indie Semiconductor | PairCorr |
| 0.81 | CDE | Coeur Mining Buyout Trend | PairCorr |
| 0.75 | JEPI | JPMorgan Equity Premium Sell-off Trend | PairCorr |
| 0.76 | CSB | VictoryShares Small Cap | PairCorr |
| 0.76 | VTWV | Vanguard Russell 2000 | PairCorr |
| 0.91 | DEHP | Dimensional ETF Trust | PairCorr |
| 0.65 | MINV | Matthews Asia Innovators | PairCorr |
| 0.83 | Z | Zillow Group Class | PairCorr |
| 0.65 | LBAY | Tidal ETF Trust | PairCorr |
| 0.7 | PWER | Macquarie ETF Trust | PairCorr |
| 0.62 | SPIN | SPDR SSGA Equity | PairCorr |
| 0.72 | FUSI | American Century ETF | PairCorr |
| 0.69 | UWM | ProShares Ultra Russ | PairCorr |
| 0.76 | ITYYX | Invesco Technology | PairCorr |
Moving against SML Index
Related Correlations Analysis
| 0.46 | 0.96 | 0.81 | 0.71 | 0.94 | MITN | ||
| 0.46 | 0.34 | 0.33 | 0.63 | 0.31 | BCIC | ||
| 0.96 | 0.34 | 0.84 | 0.6 | 0.93 | SBKO | ||
| 0.81 | 0.33 | 0.84 | 0.61 | 0.77 | KEY-PI | ||
| 0.71 | 0.63 | 0.6 | 0.61 | 0.58 | FDUS | ||
| 0.94 | 0.31 | 0.93 | 0.77 | 0.58 | NWE | ||
Risk-Adjusted Indicators
There is a big difference between SML Index performing well and SP Small-Cap Index 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 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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| MITN | 0.20 | 0.04 | (0.13) | 0.49 | 0.03 | 0.55 | 1.71 | |||
| BCIC | 0.83 | 0.12 | 0.03 | 12.38 | 0.71 | 2.23 | 8.75 | |||
| SBKO | 0.40 | 0.21 | 0.18 | (1.61) | 0.00 | 1.32 | 3.91 | |||
| KEY-PI | 0.31 | 0.05 | (0.11) | 0.58 | 0.05 | 0.77 | 1.67 | |||
| FDUS | 0.67 | 0.04 | (0.01) | 0.19 | 0.65 | 1.32 | 4.84 | |||
| NWE | 0.88 | 0.08 | 0.05 | 0.23 | 0.87 | 2.08 | 8.87 |
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SP Small-Cap Distribution of Returns
Predicted Return Density |
| Returns |
What Drives a SP Small-Cap Price Volatility?
Several factors can influence a index's market volatility:Industry
Specific events can influence volatility within a particular industry. For instance, a significant weather upheaval in a crucial oil-production site may cause oil prices to increase in the oil sector. The direct result will be the rise in the stock price of oil distribution companies. Similarly, any government regulation in a specific industry could negatively influence stock prices due to increased regulations on compliance that may impact the company's future earnings and growth.Political and Economic environment
When governments make significant decisions regarding trade agreements, policies, and legislation regarding specific industries, they will influence stock prices. Everything from speeches to elections may influence investors, who can directly influence the stock prices in any particular industry. The prevailing economic situation also plays a significant role in stock prices. When the economy is doing well, investors will have a positive reaction and hence, better stock prices and vice versa.The Company's Performance
Sometimes volatility will only affect an individual company. For example, a revolutionary product launch or strong earnings report may attract many investors to purchase the company. This positive attention will raise the company's stock price. In contrast, product recalls and data breaches may negatively influence a company's stock prices.SP Small-Cap Against Global Markets
| IDX 30 | 0.59 | |||||
| CROBEX | 0.45 | |||||
| PSI 20 | 0.24 | |||||
| GDAXI | 0.21 | |||||
| ISEQ 20 | 0.16 | |||||
| NYA | 0.09 | |||||
| TWII | 0.46 | |||||
| Budapest | 0.55 | |||||
| SML | 1.32 |
