Mid Cap Correlations

AMVGX Fund

USD 16.49 0.04 0.24%

The current 90-days correlation between Mid Cap Value and Western Assets Emerging is 0.14 (i.e., Average diversification). The correlation of Mid 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.

Mid Cap Correlation With Market

Very weak diversification

The correlation between Mid Cap Value and DJI is 0.53 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Mid Cap Value and DJI in the same portfolio, assuming nothing else is changed.

Check out Trending Equities to better understand how to build diversified portfolios, which includes a position in Mid Cap Value. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as various price indices.

Moving together with Mid Mutual Fund

0.89	JVMAX	John Hancock Disciplined	Pair Corr
0.89	JVMIX	John Hancock Disciplined	Pair Corr
0.96	JMVZX	Jpmorgan Mid Cap	Pair Corr
0.95	JMVRX	Jpmorgan Mid Cap	Pair Corr
0.95	JMVQX	Jpmorgan Mid Cap	Pair Corr
0.95	JMVYX	Jpmorgan Mid Cap	Pair Corr
0.96	JMVPX	Jpmorgan Mid Cap	Pair Corr
0.93	VETAX	Victory Sycamore Est	Pair Corr
0.65	HD	Home Depot	Pair Corr

Moving against Mid Mutual Fund

0.83	UIPIX	Ultrashort Mid Cap	Pair Corr
0.66	FTCAX	Templeton Strained Bond	Pair Corr
0.37	FPXIX	Fidelity Advisor 529	Pair Corr
0.59	CSCO	Cisco Systems	Pair Corr
0.53	GPICX	Guidepath Conservative	Pair Corr
0.47	DD	Dupont De Nemours	Pair Corr
0.41	IBM	International Business	Pair Corr
0.4	XOM	Exxon Mobil Corp	Pair Corr
0.4	KO	Coca Cola Aggressive Push	Pair Corr
0.35	AA	Alcoa Corp	Pair Corr
0.34	INTC	Intel Aggressive Push	Pair Corr
0.33	MRK	Merck Company Aggressive Push	Pair Corr
0.32	AXP	American Express	Pair Corr

Related Correlations Analysis

	XEMDX	IGIEX	IEMSX	PCEMX	SEDAX	DODEX	ANGCX
XEMDX		0.93	0.85	0.86	0.95	0.88	0.9	XEMDX
IGIEX	0.93		0.89	0.9	0.97	0.9	0.92	IGIEX
IEMSX	0.85	0.89		0.97	0.88	0.96	0.84	IEMSX
PCEMX	0.86	0.9	0.97		0.89	0.99	0.81	PCEMX
SEDAX	0.95	0.97	0.88	0.89		0.9	0.92	SEDAX
DODEX	0.88	0.9	0.96	0.99	0.9		0.82	DODEX
ANGCX	0.9	0.92	0.84	0.81	0.92	0.82		ANGCX
	XEMDX	IGIEX	IEMSX	PCEMX	SEDAX	DODEX	ANGCX

Risk-Adjusted Indicators

There is a big difference between Mid Mutual Fund performing well and Mid 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 Mid 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
XEMDX	0.22	0.03	0.04	0.23	0.12	(0.27)	0.45	(0.37)	1.80
IGIEX	0.22	0.07	0.19	0.84	0.00	(0.29)	0.57	(0.34)	1.16
IEMSX	0.61	0.07	0.06	0.69	0.79	(0.66)	1.23	(1.16)	5.00
PCEMX	0.67	0.09	0.08	0.17	0.95	(0.74)	1.61	(1.36)	5.34
SEDAX	0.19	0.06	0.18	0.90	0.00	(0.26)	0.45	(0.33)	1.09
DODEX	0.58	0.09	0.10	0.18	0.62	(0.67)	1.23	(0.87)	3.83
ANGCX	0.09	0.02	(0.01)	(1.15)	0.00	(0.18)	0.23	(0.12)	0.59

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