Small Capitalization Correlations

Mutual Funds USA . 
Fund . Small Capitalization Portfolio
SSCPX Fund  USD 7.91  0.06  0.75%   
The current 90-days correlation between Small Capitalization and Salient Alternative Beta is 0.74 (i.e., Poor diversification). The correlation of Small Capitalization 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 Capitalization Correlation With Market

Very poor diversification

The correlation between Small Capitalization Portfolio and DJI is 0.81 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Small Capitalization Portfolio and DJI in the same portfolio, assuming nothing else is changed.
  
Check out World Market Map to better understand how to build diversified portfolios, which includes a position in Small Capitalization Portfolio. 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 american community survey.

Moving together with Small Mutual Fund

  0.84SABAX Salient Alternative BetaPairCorr
  0.83SABIX Aggressive BalancedPairCorr
  0.75SABCX Salient Alternative BetaPairCorr
  0.82SAMAX Moderately AggressivePairCorr
  0.83SAMCX Salient Mlp FundPairCorr
  0.82SAMIX Moderately AggressivePairCorr
  1.0SSCCX Small CapitalizationPairCorr
  1.0SSCYX Small CapitalizationPairCorr
  0.79SBCCX Moderately ConservativePairCorr
  0.8SBMCX Moderate BalancedPairCorr
  0.79SBMIX Moderate BalancedPairCorr
  0.68SCAAX Conservative BalancedPairCorr
  0.69SUMCX Conservative BalancedPairCorr
  0.78SFPAX Financial ServicesPairCorr
  0.78SFPIX Financial ServicesPairCorr
  0.65SIEYX International EquityPairCorr
  0.65SIEPX International EquityPairCorr
  0.89SLCVX Large Cap ValuePairCorr
  0.89SLVCX Large Cap ValuePairCorr
  0.89SLVYX Large Cap ValuePairCorr
  0.78SMACX Moderately ServativePairCorr
  0.78SMICX Moderately ServativePairCorr
  0.92SMIPX Mid CapitalizationPairCorr

Related Correlations Analysis

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Risk-Adjusted Indicators

There is a big difference between Small Mutual Fund performing well and Small Capitalization 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 Capitalization'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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
SABAX  0.57 (0.04)(0.06) 0.07  0.86 
(0.65)
 1.22 
(1.28)
 4.78 
SABIX  0.55 (0.03)(0.06) 0.07  0.85 
(0.63)
 1.22 
(1.36)
 4.74 
SABCX  0.56  0.06 (0.05)(1.56) 0.84 
(0.64)
 1.25 
(1.38)
 4.73 
SAMAX  0.52 (0.03)(0.07) 0.07  0.77 
(0.58)
 1.14 
(1.18)
 4.12 
SAMCX  0.52 (0.03)(0.08) 0.07  0.69 
(0.56)
 1.06 
(1.39)
 2.98 
SAMIX  0.52 (0.03)(0.06) 0.07  0.75 
(0.60)
 1.13 
(1.18)
 4.18 
SSCCX  1.23 (0.06) 0.00  0.07  1.35 
(1.75)
 2.86 
(2.86)
 7.27 
SSCPX  1.23 (0.06) 0.00  0.08  1.45 
(1.36)
 3.13 
(2.82)
 7.42 
SSCYX  1.24 (0.06) 0.00  0.08  1.49 
(1.33)
 3.02 
(2.85)
 7.45 
SBCCX  0.46 (0.02)(0.08) 0.08  0.66 
(0.52)
 1.04 
(1.12)
 3.60 

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