Ultra-small Company Correlations
BRUSX Fund | USD 32.27 0.31 0.95% |
The current 90-days correlation between Ultra-small Company and Lord Abbett Convertible is -0.17 (i.e., Good diversification). The correlation of Ultra-small Company 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.
Ultra-small Company Correlation With Market
Good diversification
The correlation between Ultra Small Pany Fund and DJI is -0.13 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Ultra Small Pany Fund and DJI in the same portfolio, assuming nothing else is changed.
Ultra-small |
Moving together with Ultra-small Mutual Fund
0.85 | BRAGX | Aggressive Investors | PairCorr |
0.99 | BRSIX | Ultra-small Company | PairCorr |
0.71 | BRSVX | Small Cap Value | PairCorr |
0.73 | BOSVX | Omni Small Cap | PairCorr |
0.83 | VSIIX | Vanguard Small Cap | PairCorr |
0.72 | VISVX | Vanguard Small Cap | PairCorr |
0.74 | DFSVX | Us Small Cap | PairCorr |
0.97 | DFFVX | Us Targeted Value | PairCorr |
0.81 | UBVCX | Undiscovered Managers | PairCorr |
0.81 | UBVAX | Undiscovered Managers | PairCorr |
0.73 | UBVSX | Undiscovered Managers | PairCorr |
0.74 | AVFIX | American Beacon Small | PairCorr |
0.73 | PFN | Pimco Income Strategy | PairCorr |
0.67 | CIF | Mfs Intermediate High | PairCorr |
0.65 | NXJ | Nuveen New Jersey | PairCorr |
0.65 | PCF | Putnam High Income | PairCorr |
0.77 | VFIAX | Vanguard 500 Index | PairCorr |
0.85 | KGIRX | Kopernik International | PairCorr |
0.89 | FMFIX | Free Market Fixed | PairCorr |
0.86 | LINKX | Blackrock Lifepath Idx | PairCorr |
0.84 | ACARX | Alger Capital Apprec | PairCorr |
0.77 | VFINX | Vanguard 500 Index | PairCorr |
0.85 | FRCYX | Fidelity Sustainable | PairCorr |
0.91 | RGAVX | Rare Global Infrastr | PairCorr |
0.8 | AQRNX | Aqr Risk Parity | PairCorr |
0.81 | AMVYX | Mid Cap Value | PairCorr |
0.79 | UPDDX | Upright Growth Income | PairCorr |
0.67 | LRAGX | Lord Abbett International | PairCorr |
0.76 | TRIEX | Tiaa Cref International | PairCorr |
0.85 | CLSPX | Columbia Mid Cap | PairCorr |
0.64 | DVRJX | Mfs Global Alternative | PairCorr |
0.67 | CCYIX | Columbia Acorn Inter | PairCorr |
Moving against Ultra-small Mutual Fund
Related Correlations Analysis
0.98 | 0.99 | 0.96 | 0.99 | 0.98 | LCFYX | ||
0.98 | 0.99 | 0.99 | 0.99 | 0.95 | ARBOX | ||
0.99 | 0.99 | 0.98 | 0.99 | 0.97 | NCIDX | ||
0.96 | 0.99 | 0.98 | 0.98 | 0.94 | XAVKX | ||
0.99 | 0.99 | 0.99 | 0.98 | 0.97 | XNCVX | ||
0.98 | 0.95 | 0.97 | 0.94 | 0.97 | GCV | ||
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Risk-Adjusted Indicators
There is a big difference between Ultra-small Mutual Fund performing well and Ultra-small Company 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 Ultra-small Company'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 | ||
---|---|---|---|---|---|---|---|---|---|---|
LCFYX | 0.40 | 0.18 | 0.19 | 0.57 | 0.00 | 1.19 | 2.40 | |||
ARBOX | 0.06 | 0.03 | (1.09) | 6.93 | 0.00 | 0.18 | 0.35 | |||
NCIDX | 0.46 | 0.24 | 0.22 | (4.20) | 0.00 | 1.24 | 2.74 | |||
XAVKX | 0.57 | 0.22 | 0.10 | (2.27) | 0.41 | 1.65 | 4.13 | |||
XNCVX | 0.47 | 0.25 | 0.20 | (16.50) | 0.00 | 1.33 | 3.12 | |||
GCV | 0.62 | 0.17 | 0.10 | 0.76 | 0.48 | 1.70 | 3.77 |