Small Cap Correlations
VCSLX Fund | USD 15.95 0.07 0.44% |
The current 90-days correlation between Small Cap Index and Fidelity Advisor Health is 0.62 (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
Very poor diversification
The correlation between Small Cap Index and DJI is 0.86 (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 Index and DJI in the same portfolio, assuming nothing else is changed.
Small |
Moving together with Small Mutual Fund
0.84 | VMIDX | Mid Cap Index | PairCorr |
0.97 | VMSGX | Mid Cap Strategic | PairCorr |
0.98 | VSTIX | Stock Index Fund | PairCorr |
0.98 | VBCVX | Broad Cap Value | PairCorr |
0.88 | VCAAX | Asset Allocation | PairCorr |
0.86 | VCGAX | Growth Income | PairCorr |
0.96 | VCGEX | Emerging Economies | PairCorr |
0.72 | VCINX | International Growth | PairCorr |
0.97 | VCNIX | Nasdaq 100 Index | PairCorr |
0.85 | VCSTX | Science Technology | PairCorr |
0.98 | VVSGX | Valic Company I | PairCorr |
0.98 | VVSCX | Valic Company I | PairCorr |
0.75 | VGREX | Global Real Estate | PairCorr |
0.97 | VHYLX | Valic Company I | PairCorr |
0.98 | VLCGX | Large Capital Growth | PairCorr |
0.99 | VSMAX | Vanguard Small Cap | PairCorr |
0.99 | VSCIX | Vanguard Small Cap | PairCorr |
0.99 | VSCPX | Vanguard Small Cap | PairCorr |
0.99 | NAESX | Vanguard Small Cap | PairCorr |
1.0 | FSSNX | Fidelity Small Cap | PairCorr |
0.99 | DFSTX | Us Small Cap | PairCorr |
0.99 | PASVX | T Rowe Price | PairCorr |
0.99 | PRVIX | T Rowe Price | PairCorr |
0.99 | TRZVX | T Rowe Price | PairCorr |
Moving against Small Mutual Fund
0.78 | XNBHX | Neuberger Berman Int | PairCorr |
0.76 | XDSMX | Dreyfus Strategic | PairCorr |
0.59 | XNXJX | Nuveen New Jersey | PairCorr |
0.46 | XPPRX | Voya Prime Rate | PairCorr |
Related Correlations Analysis
0.71 | 0.96 | 0.91 | 0.88 | 0.91 | FHCCX | ||
0.71 | 0.73 | 0.73 | 0.75 | 0.75 | RAGHX | ||
0.96 | 0.73 | 0.91 | 0.9 | 0.92 | LYFAX | ||
0.91 | 0.73 | 0.91 | 0.87 | 0.91 | GTHCX | ||
0.88 | 0.75 | 0.9 | 0.87 | 0.98 | HCPIX | ||
0.91 | 0.75 | 0.92 | 0.91 | 0.98 | HIAHX | ||
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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 | ||
---|---|---|---|---|---|---|---|---|---|---|
FHCCX | 0.79 | (0.19) | (0.15) | 0.00 | 1.25 | 1.61 | 5.20 | |||
RAGHX | 0.84 | (0.20) | (0.17) | 0.00 | 1.14 | 1.85 | 5.85 | |||
LYFAX | 0.81 | (0.19) | (0.17) | 0.00 | 1.14 | 1.80 | 4.77 | |||
GTHCX | 0.73 | (0.18) | 0.00 | (0.02) | 0.00 | 1.54 | 3.99 | |||
HCPIX | 1.34 | (0.34) | 0.00 | (0.03) | 0.00 | 2.87 | 8.07 | |||
HIAHX | 0.90 | (0.24) | 0.00 | (0.04) | 0.00 | 1.78 | 5.31 |