Small Cap Correlations

VCSLX Fund

USD 15.88 0.22 1.37%

The current 90-days correlation between Small Cap Index and Baird E Intermediate is 0.2 (i.e., Modest 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

Poor diversification

The correlation between Small Cap Index and DJI is 0.65 (i.e., 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

0.98	VMIDX	Mid Cap Index	Pair Corr
0.97	VMSGX	Mid Cap Strategic	Pair Corr
0.97	VAPPX	Valic Company I	Pair Corr
0.86	VSTIX	Stock Index Fund	Pair Corr
0.74	VSSVX	Small Cap Special	Pair Corr
0.98	VBCVX	Broad Cap Value	Pair Corr
0.99	VCAAX	Asset Allocation	Pair Corr
0.66	VCBDX	Valic Company I	Pair Corr
0.97	VCBCX	Blue Chip Growth	Pair Corr
0.99	VCGAX	Growth Income	Pair Corr
0.83	VCGEX	Emerging Economies	Pair Corr
0.92	VCFVX	Foreign Value	Pair Corr
0.9	VCIEX	International Equities	Pair Corr
0.7	VCIFX	International Government	Pair Corr
0.99	VCIGX	Valic Company I	Pair Corr
0.88	VCINX	International Growth	Pair Corr
0.97	VCNIX	Nasdaq 100 Index	Pair Corr
0.97	VCSTX	Science Technology	Pair Corr
0.67	VCTPX	Inflation Protected	Pair Corr
0.91	VCSOX	Global Social Awareness	Pair Corr
0.86	VCULX	Growth Fund Growth	Pair Corr
0.86	VDAFX	Dynamic Allocation	Pair Corr
0.86	VVMCX	Valic Company I	Pair Corr
0.87	VVSGX	Valic Company I	Pair Corr
0.98	VVSCX	Valic Company I	Pair Corr
0.97	VGLSX	Global Strategy	Pair Corr
0.77	VGREX	Global Real Estate	Pair Corr
0.97	VHYLX	Valic Company I	Pair Corr
0.98	VLAGX	Valic Company I	Pair Corr
0.98	VLCGX	Large Capital Growth	Pair Corr
0.98	VLSMX	Valic Company I	Pair Corr
0.99	VSCIX	Vanguard Small Cap	Pair Corr
0.85	VSCPX	Vanguard Small Cap	Pair Corr
0.99	NAESX	Vanguard Small Cap	Pair Corr
1.0	FSSNX	Fidelity Small Cap	Pair Corr

Related Correlations Analysis

	BMNSX	BSHIX	CFNLX	BMBSX	MSTPX	TUGXX	TWTIX	BIDPX
BMNSX		0.97	0.96	0.51	0.7	0.67	0.93	0.85	BMNSX
BSHIX	0.97		0.94	0.41	0.73	0.7	0.95	0.94	BSHIX
CFNLX	0.96	0.94		0.46	0.66	0.68	0.99	0.83	CFNLX
BMBSX	0.51	0.41	0.46		0.81	-0.28	0.39	0.27	BMBSX
MSTPX	0.7	0.73	0.66	0.81		0.09	0.67	0.75	MSTPX
TUGXX	0.67	0.7	0.68	-0.28	0.09		0.7	0.65	TUGXX
TWTIX	0.93	0.95	0.99	0.39	0.67	0.7		0.87	TWTIX
BIDPX	0.85	0.94	0.83	0.27	0.75	0.65	0.87		BIDPX
	BMNSX	BSHIX	CFNLX	BMBSX	MSTPX	TUGXX	TWTIX	BIDPX

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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

TWTIX	+ 0.99	CFNLX
BSHIX	+ 0.97	BMNSX
CFNLX	+ 0.96	BMNSX
TWTIX	+ 0.95	BSHIX
CFNLX	+ 0.94	BSHIX
BIDPX	+ 0.94	BSHIX

High negative correlations

TUGXX

- 0.28

BMBSX

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
BMNSX	0.08	0.01	(1.53)	2.79	0.00	(0.12)	0.20	(0.10)	0.50
BSHIX	0.12	0.00	(1.16)	(1.46)	0.07	(0.17)	0.31	(0.21)	0.72
CFNLX	0.11	0.02	(1.42)	1.85	0.00	(0.15)	0.28	(0.22)	0.82
BMBSX	0.08	0.00	(1.75)	0.34	0.00	(0.12)	0.18	(0.18)	0.36
MSTPX	0.09	(0.01)	(1.51)	(0.05)	0.01	(0.15)	0.21	(0.21)	0.52
TUGXX	0.03	0.00	0.00	0.00	0.00	0.00	0.00	0.00	1.01
TWTIX	0.12	0.01	(1.35)	0.60	0.00	(0.17)	0.29	(0.19)	0.86
BIDPX	0.14	0.00	(0.99)	0.46	0.16	(0.17)	0.29	(0.28)	0.94

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