Small-cap Value Correlations

LRSCX Fund

USD 14.71 0.05 0.34%

The current 90-days correlation between Small Cap Value and Lord Abbett Trust is 0.5 (i.e., Very weak diversification). The correlation of Small-cap Value 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 Value Correlation With Market

Good diversification

The correlation between Small Cap Value Series and DJI is -0.1 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Small Cap Value Series and DJI in the same portfolio, assuming nothing else is changed.

Check out Correlation Analysis to better understand how to build diversified portfolios, which includes a position in Small Cap Value Series. 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 private.

Moving together with SMALL-CAP Mutual Fund

0.99	LFSFX	Lord Abbett Focused	Pair Corr
0.61	LMVYX	Lord Abbett Micro	Pair Corr
1.0	LRSOX	Lord Abbett Small	Pair Corr

Moving against SMALL-CAP Mutual Fund

0.53	LHCCX	Lord Abbett Health Steady Growth	Pair Corr
0.51	LICSX	Lord Abbett Intl	Pair Corr
0.5	LOCFX	Lord Abbett Convertible	Pair Corr
0.49	LRRKX	Floating Rate	Pair Corr
0.49	LAIIX	Lord Abbett Intermediate	Pair Corr
0.46	LALDX	Lord Abbett Short	Pair Corr
0.45	LFRRX	Lord Abbett Inv	Pair Corr
0.44	LRAGX	Lord Abbett International	Pair Corr
0.41	LFROX	Lord Abbett Floating	Pair Corr
0.41	LACFX	Lord Abbett Vertible	Pair Corr
0.4	LLDYX	Lord Abbett Short	Pair Corr
0.38	ELMFX	Lord Abbett Trust	Pair Corr
0.38	ELMCX	Lord Abbett Trust Potential Growth	Pair Corr
0.38	LOISX	Lord Abbett Intermediate	Pair Corr
0.38	LAMPX	Lord Abbett Calibrated	Pair Corr
0.32	LMIYX	Lord Abbett Micro	Pair Corr
0.61	LUSNX	Lord Abbett Ultra	Pair Corr
0.5	LBCQX	Lord Abbett Vertible	Pair Corr
0.5	LCFTX	Lord Abbett Vertible	Pair Corr
0.5	LDLAX	Lord Abbett Short	Pair Corr
0.45	LDLRX	Lord Abbett Short	Pair Corr
0.41	LCFYX	Lord Abbett Convertible	Pair Corr
0.36	CALAX	Lord Abbett California	Pair Corr
0.33	LCDIX	Lord Abbett Emerging	Pair Corr
0.31	LDLVX	Lord Abbett Short	Pair Corr

Related Correlations Analysis

	ELMFX	ELMCX	LFSFX	LFRAX	LFRFX	LFRIX	LFRRX	LFROX	LFVAX	LFVCX
ELMFX		1.0	-0.42	0.6	0.82	0.61	0.84	0.83	-0.43	-0.45	ELMFX
ELMCX	1.0		-0.41	0.6	0.81	0.61	0.84	0.82	-0.42	-0.45	ELMCX
LFSFX	-0.42	-0.41		-0.53	-0.49	-0.6	-0.47	-0.45	1.0	0.78	LFSFX
LFRAX	0.6	0.6	-0.53		0.75	0.99	0.73	0.72	-0.54	-0.6	LFRAX
LFRFX	0.82	0.81	-0.49	0.75		0.75	0.99	0.99	-0.5	-0.48	LFRFX
LFRIX	0.61	0.61	-0.6	0.99	0.75		0.72	0.71	-0.6	-0.66	LFRIX
LFRRX	0.84	0.84	-0.47	0.73	0.99	0.72		0.99	-0.48	-0.45	LFRRX
LFROX	0.83	0.82	-0.45	0.72	0.99	0.71	0.99		-0.45	-0.43	LFROX
LFVAX	-0.43	-0.42	1.0	-0.54	-0.5	-0.6	-0.48	-0.45		0.78	LFVAX
LFVCX	-0.45	-0.45	0.78	-0.6	-0.48	-0.66	-0.45	-0.43	0.78		LFVCX
	ELMFX	ELMCX	LFSFX	LFRAX	LFRFX	LFRIX	LFRRX	LFROX	LFVAX	LFVCX

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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

ELMCX	+ 1.0	ELMFX
LFVAX	+ 1.0	LFSFX
LFRIX	+ 0.99	LFRAX
LFRRX	+ 0.99	LFRFX
LFROX	+ 0.99	LFRFX
LFROX	+ 0.99	LFRRX

High negative correlations

LFVCX	- 0.66	LFRIX
LFVAX	- 0.6	LFRIX
LFVCX	- 0.6	LFRAX
LFRIX	- 0.6	LFSFX
LFVAX	- 0.54	LFRAX
LFRAX	- 0.53	LFSFX

Risk-Adjusted Indicators

There is a big difference between SMALL-CAP Mutual Fund performing well and Small-cap Value 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 Value'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
ELMFX	0.73	0.12	0.07	4.64	0.88	(0.80)	1.60	(1.06)	5.64
ELMCX	0.73	0.11	0.06	5.69	0.87	(0.78)	1.58	(1.02)	5.72
LFSFX	0.79	(0.04)	0.00	0.24	0.00	0.00	1.92	(1.55)	7.39
LFRAX	0.08	0.01	(0.21)	0.37	0.00	(0.29)	0.13	(0.12)	0.88
LFRFX	0.07	0.01	(0.20)	(0.50)	0.00	(0.30)	0.13	(0.12)	0.88
LFRIX	0.07	0.01	0.00	0.58	0.00	0.00	0.13	(0.12)	0.88
LFRRX	0.06	0.01	0.00	(0.61)	0.00	0.00	0.13	(0.12)	0.88
LFROX	0.08	0.02	(0.21)	(0.70)	0.00	(0.27)	0.13	(0.13)	1.00
LFVAX	0.80	(0.04)	0.00	0.24	0.00	0.00	1.93	(1.54)	7.44
LFVCX	0.79	(0.09)	0.00	(0.03)	0.00	0.00	1.92	(1.55)	7.44

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