Small Cap Correlations

Mutual Funds USA . 
Fund . Small Cap Index
VCSLX Fund  USD 15.73  0.07  0.44%   
The current 90-days correlation between Small Cap Index and Mid Cap Index is 0.96 (i.e., Almost no 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 0.85 (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.
  
Check out World Market Map to better understand how to build diversified portfolios, which includes a position in Small Cap Index. 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 economic analysis.

Moving together with Small Mutual Fund

  0.99VMIDX Mid Cap IndexPairCorr
  0.98VMSGX Mid Cap StrategicPairCorr
  0.96VAPPX Valic Company IPairCorr
  0.96VSRDX Valic Company IPairCorr
  0.99VSTIX Stock Index FundPairCorr
  0.94VSSVX Small Cap SpecialPairCorr
  0.98VBCVX Broad Cap ValuePairCorr
  0.99VCAAX Asset AllocationPairCorr
  0.7VCBDX Valic Company IPairCorr
  0.98VCBCX Blue Chip GrowthPairCorr
  0.99VCGAX Growth IncomePairCorr
  0.98VCGEX Emerging EconomiesPairCorr
  0.95VCFVX Foreign ValuePairCorr
  0.93VCIEX International EquitiesPairCorr
  0.66VCIFX International GovernmentPairCorr
  0.99VCIGX Valic Company IPairCorr
  0.94VCINX International GrowthPairCorr
  0.98VCNIX Nasdaq 100 IndexPairCorr
  0.98VCSTX Science TechnologyPairCorr
  0.75VCTPX Inflation ProtectedPairCorr
  0.92VCSOX Global Social AwarenessPairCorr
  0.98VCULX Growth Fund GrowthPairCorr
  0.97VDAFX Dynamic AllocationPairCorr
  0.97VVMCX Valic Company IPairCorr
  0.96VVSGX Valic Company IPairCorr
  0.96VVSCX Valic Company IPairCorr
  0.96VGCLX Valic Company IPairCorr
  0.96VGLSX Global StrategyPairCorr
  0.85VGREX Global Real EstatePairCorr
  0.98VHYLX Valic Company IPairCorr
  0.96VIOPX Valic Company IPairCorr
  0.97VLAGX Valic Company IPairCorr
  0.99VLCGX Large Capital GrowthPairCorr
  0.97VLSMX Valic Company IPairCorr
  0.99VSMAX Vanguard Small CapPairCorr
  0.99VSCIX Vanguard Small CapPairCorr
  0.99VSCPX Vanguard Small CapPairCorr
  0.99NAESX Vanguard Small CapPairCorr

Related Correlations Analysis

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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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
VMIDX  0.75  0.07  0.07  0.21  0.77 
(0.85)
 2.16 
(1.56)
 6.18 
VMSGX  0.81  0.17  0.16  0.31  0.63 
(0.94)
 2.37 
(1.36)
 5.47 
VAPPX  0.82  0.30  0.14 (1.96) 0.66 
(0.98)
 2.27 
(1.56)
 5.92 
VSRDX  0.66  0.25  0.11 (1.76) 0.49 
(0.81)
 1.92 
(1.52)
 4.31 
VSTIX  0.65  0.11  0.11  0.26  0.55 
(0.75)
 2.02 
(1.12)
 4.86 
VSSVX  0.99 (0.01) 0.00  0.13  1.00 
(1.13)
 2.38 
(1.75)
 6.32 
VBCVX  0.58  0.04  0.02  0.19  0.52 
(0.66)
 1.63 
(1.09)
 3.91 
VCAAX  0.43  0.07  0.02  0.26  0.33 
(0.51)
 1.37 
(0.85)
 3.15 
VCBDX  0.24  0.02 (0.35)(1.77) 0.19 
(0.30)
 0.42 
(0.41)
 1.35 
VCBCX  0.81  0.17  0.16  0.30  0.71 
(0.96)
 2.43 
(1.40)
 5.66 

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