Small Cap Correlations

USCAX Fund

USD 13.48 0.17 1.28%

The current 90-days correlation between Small Cap Stock and Lazard International Strategic is 0.6 (i.e., Poor 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

Good diversification

The correlation between Small Cap Stock and DJI is -0.17 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Small Cap Stock 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 Cap Stock. 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 nation.

Moving together with Small Mutual Fund

0.7	UINCX	Income Fund Income	Pair Corr
0.97	UINQX	Usaa Nasdaq 100	Pair Corr
0.98	SRVEX	Victory Diversified Stock	Pair Corr
0.67	UITBX	Intermediate Term Bond	Pair Corr
0.67	UITCX	Usaa Intermediate Term	Pair Corr
0.72	UITIX	Usaa Tax Exempt	Pair Corr
0.99	SSGSX	Victory Sycamore Small	Pair Corr
0.92	SBFCX	Victory Incore Investment	Pair Corr
0.9	SBFMX	Victory Portfolios	Pair Corr
0.99	MMECX	Victory Integrity	Pair Corr
0.99	MMEAX	Victory Integrity	Pair Corr
0.93	RPPRX	Victory Rs Partners	Pair Corr
1.0	MMIJX	Victory Integrity Mid	Pair Corr
0.97	MMMMX	Victory Integrity	Pair Corr
0.97	MMMSX	Victory Integrity	Pair Corr
0.98	MNNAX	Victory Munder Multi	Pair Corr
0.84	RSDYX	Victory Incore Low	Pair Corr
0.7	RSENX	Victory Sophus Emerging	Pair Corr
0.99	RSEGX	Victory Rs Small	Pair Corr
0.98	RSDGX	Victory Rs Select	Pair Corr
0.91	RSFYX	Victory Floating Rate	Pair Corr
0.96	RSGGX	Victory Rs Global	Pair Corr
0.98	RSGFX	Victory Rs Select	Pair Corr
0.98	RSGRX	Victory Rs Growth	Pair Corr
0.91	RSFCX	Victory Floating Rate	Pair Corr
0.91	RSFMX	Victory Floating Rate	Pair Corr
0.91	RSFLX	Victory Floating Rate	Pair Corr
0.97	RSIFX	Victory Rs Science	Pair Corr
0.97	RSINX	Victory Rs Investors	Pair Corr
0.89	RSIGX	Victory Rs International	Pair Corr
0.94	RSIYX	Victory Rs Investors	Pair Corr
0.97	RSMOX	Victory Rs Mid	Pair Corr
0.97	RSPFX	Victory Rs Partners	Pair Corr
0.96	RSNRX	Victory Global Natural	Pair Corr
0.95	RSNYX	Victory Global Natural	Pair Corr
0.97	RSPMX	Victory Rs Partners	Pair Corr
0.93	RSPYX	Victory Rs Partners	Pair Corr

Moving against Small Mutual Fund

0.42	IPFIX	Victory Incore	Pair Corr
0.32	GUTEX	Victory Tax Exempt	Pair Corr
0.32	RSTYX	Victory Tax Exempt	Pair Corr

Related Correlations Analysis

	LISOX	GTLOX	ABHYX	MSTSX	SCAXF	VIASP	XTWO	GBEMX	OGEAX	KNG
LISOX		0.91	0.18	0.99	0.0	0.98	0.67	0.77	0.98	0.88	LISOX
GTLOX	0.91		0.32	0.93	0.0	0.93	0.51	0.56	0.93	0.93	GTLOX
ABHYX	0.18	0.32		0.23	0.0	0.22	0.04	-0.18	0.2	0.14	ABHYX
MSTSX	0.99	0.93	0.23		0.0	0.98	0.67	0.75	0.99	0.9	MSTSX
SCAXF	0.0	0.0	0.0	0.0		0.0	0.0	0.0	0.0	0.0	SCAXF
VIASP	0.98	0.93	0.22	0.98	0.0		0.65	0.72	0.98	0.9	VIASP
XTWO	0.67	0.51	0.04	0.67	0.0	0.65		0.63	0.65	0.61	XTWO
GBEMX	0.77	0.56	-0.18	0.75	0.0	0.72	0.63		0.74	0.66	GBEMX
OGEAX	0.98	0.93	0.2	0.99	0.0	0.98	0.65	0.74		0.9	OGEAX
KNG	0.88	0.93	0.14	0.9	0.0	0.9	0.61	0.66	0.9		KNG
	LISOX	GTLOX	ABHYX	MSTSX	SCAXF	VIASP	XTWO	GBEMX	OGEAX	KNG

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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

MSTSX	+ 0.99	LISOX
OGEAX	+ 0.99	MSTSX
VIASP	+ 0.98	LISOX
OGEAX	+ 0.98	LISOX
VIASP	+ 0.98	MSTSX
OGEAX	+ 0.98	VIASP

High negative correlations

GBEMX	- 0.18	ABHYX
KNG	- 0.0	SCAXF
OGEAX	- 0.0	SCAXF
GBEMX	- 0.0	SCAXF
XTWO	- 0.0	SCAXF
VIASP	- 0.0	SCAXF

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
LISOX	0.51	0.22	0.01	(7.84)	0.23	(0.59)	1.35	(0.90)	3.28
GTLOX	0.67	0.00	0.00	0.20	0.58	(0.70)	1.99	(1.12)	5.16
ABHYX	0.18	(0.03)	0.00	(0.24)	0.00	0.00	0.36	(0.36)	1.54
MSTSX	0.48	0.24	0.01	(1.76)	0.23	(0.58)	1.45	(1.17)	3.51
SCAXF	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
VIASP	0.45	0.15	(0.07)	1.41	0.00	(0.58)	1.01	(0.76)	4.38
XTWO	0.08	0.00	(1.75)	0.21	0.00	(0.09)	0.16	(0.18)	0.43
GBEMX	0.77	0.10	(0.08)	(0.77)	1.24	(0.77)	2.07	(1.76)	5.41
OGEAX	0.62	0.31	0.08	(1.52)	0.32	(0.74)	2.04	(0.83)	4.88
KNG	0.62	(0.05)	(0.14)	0.14	0.58	(0.69)	1.53	(1.01)	3.93

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