Tiaa-cref Small-cap Correlations

TRHBX Fund

USD 26.04 0.48 1.88%

The current 90-days correlation between Tiaa-cref Small-cap and Franklin Small Cap is 0.9 (i.e., Almost no diversification). The correlation of Tiaa-cref 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.

Tiaa-cref Small-cap Correlation With Market

Significant diversification

The correlation between Tiaa Cref Small Cap Blend and DJI is 0.06 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Tiaa Cref Small Cap Blend 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 Tiaa Cref Small Cap Blend. 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 bureau of labor statistics.

Moving together with Tiaa-cref Mutual Fund

0.81	TEIHX	Tiaa Cref Equity	Pair Corr
0.66	TEMLX	Tiaa Cref Emerging	Pair Corr
0.65	TEMHX	Tiaa Cref Emerging	Pair Corr
0.65	TEMVX	Tiaa Cref Emerging	Pair Corr
0.65	TEMSX	Tiaa Cref Emerging	Pair Corr
0.66	TEMPX	Tiaa Cref Emerging	Pair Corr
0.68	TENWX	Tiaa Cref Emerging	Pair Corr
0.69	TEQLX	Tiaa Cref Emerging	Pair Corr
0.69	TEQHX	Tiaa Cref Emerging	Pair Corr
0.75	TEQWX	Tiaa Cref Equity	Pair Corr
0.7	TEQSX	Tiaa Cref Emerging	Pair Corr
0.7	TEQPX	Tiaa Cref Emerging	Pair Corr
0.75	TFITX	Tiaa Cref Lifecycle	Pair Corr
0.75	TFIRX	Tiaa Cref Lifecycle	Pair Corr
0.79	TFIPX	Tiaa Cref Lifecycle	Pair Corr
0.75	TFIHX	Tiaa Cref Lifecycle	Pair Corr
0.79	TFTIX	Tiaa Cref Lifecycle	Pair Corr
0.75	TFTHX	Tiaa Cref Lifecycle	Pair Corr
0.61	TGIHX	Tiaa Cref Growth	Pair Corr
0.62	TGRKX	Tiaa Cref Green	Pair Corr
0.63	TGRNX	Tiaa Cref Green	Pair Corr
0.63	TGROX	Tiaa Cref Green	Pair Corr
0.62	TIBDX	Tiaa Cref Bond	Pair Corr

Related Correlations Analysis

	FCSGX	PHTYX	LMBMX	NESGX	ASCGX	BOSVX	QSERX	RTOUX
FCSGX		0.69	0.56	0.69	0.57	0.12	0.56	0.22	FCSGX
PHTYX	0.69		0.81	0.72	0.82	0.07	0.77	0.16	PHTYX
LMBMX	0.56	0.81		0.63	0.91	0.46	0.95	0.56	LMBMX
NESGX	0.69	0.72	0.63		0.77	-0.16	0.74	0.18	NESGX
ASCGX	0.57	0.82	0.91	0.77		0.21	0.96	0.46	ASCGX
BOSVX	0.12	0.07	0.46	-0.16	0.21		0.35	0.84	BOSVX
QSERX	0.56	0.77	0.95	0.74	0.96	0.35		0.58	QSERX
RTOUX	0.22	0.16	0.56	0.18	0.46	0.84	0.58		RTOUX
	FCSGX	PHTYX	LMBMX	NESGX	ASCGX	BOSVX	QSERX	RTOUX

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

QSERX	+ 0.96	ASCGX
QSERX	+ 0.95	LMBMX
ASCGX	+ 0.91	LMBMX
RTOUX	+ 0.84	BOSVX
ASCGX	+ 0.82	PHTYX
LMBMX	+ 0.81	PHTYX

High negative correlations

BOSVX

- 0.16

NESGX

Risk-Adjusted Indicators

There is a big difference between Tiaa-cref Mutual Fund performing well and Tiaa-cref 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 Tiaa-cref 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
FCSGX	0.86	0.05	0.00	0.45	1.21	(0.83)	1.90	(1.77)	5.67
PHTYX	0.47	0.02	0.01	0.07	0.64	(0.47)	1.02	(1.00)	3.22
LMBMX	0.93	0.02	0.03	0.06	1.07	(1.00)	2.20	(1.89)	5.49
NESGX	1.56	0.02	(0.02)	(0.14)	2.12	(1.64)	3.08	(3.84)	10.97
ASCGX	1.29	0.03	0.04	0.07	1.75	(1.32)	3.03	(2.67)	9.37
BOSVX	0.89	(0.02)	0.00	0.04	1.05	(0.95)	2.03	(1.84)	5.29
QSERX	0.96	0.00	0.02	0.05	1.23	(1.02)	2.28	(2.18)	5.80
RTOUX	0.77	(0.05)	(0.03)	0.02	1.02	(0.74)	1.79	(1.42)	4.73

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