Small Midcap Correlations

PMDHX Fund

USD 18.96 0.11 0.58%

The current 90-days correlation between Small Midcap Dividend and Strategic Asset Management is -0.15 (i.e., Good diversification). The correlation of Small Midcap 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 Midcap Correlation With Market

Very poor diversification

The correlation between Small Midcap Dividend Income and DJI is 0.86 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Small Midcap Dividend Income and DJI in the same portfolio, assuming nothing else is changed.

Check out Your Equity Center to better understand how to build diversified portfolios, which includes a position in Small Midcap Dividend Income. 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 rate.

Moving together with Small Mutual Fund

0.96	SACAX	Strategic Asset Mana	Pair Corr
0.93	PGBAX	Global Diversified Income	Pair Corr
0.95	PIIDX	International Fund	Pair Corr
0.98	PLRTX	Principal Lifetime Hybrid	Pair Corr
0.97	PLZTX	Principal Lifetime Hybrid	Pair Corr
0.98	PMBCX	Midcap Fund Class	Pair Corr
0.97	PMDAX	Small Midcap Dividend	Pair Corr
0.95	PPSAX	Preferred Securities	Pair Corr
0.95	PPSIX	Preferred Securities	Pair Corr
0.95	PRFCX	Preferred Securities	Pair Corr
0.99	PSBMX	Smallcap Fund Fka	Pair Corr
0.98	PSBIX	Strategic Asset Mana	Pair Corr
0.98	PSIJX	Smallcap Growth	Pair Corr
0.98	PSMVX	Smallcap Value Potential Growth	Pair Corr
0.96	LTINX	Principal Lifetime 2015	Pair Corr
0.95	PCBFX	Strategic Asset Mana	Pair Corr
0.95	PCBIX	Midcap Fund Institutional	Pair Corr
0.95	PEMGX	Midcap Fund Class	Pair Corr
0.99	VMVAX	Vanguard Mid Cap	Pair Corr
0.97	JVMAX	John Hancock Disciplined	Pair Corr
0.99	JVMIX	John Hancock Disciplined	Pair Corr
0.99	VMVIX	Vanguard Mid Cap	Pair Corr
0.99	JMVZX	Jpmorgan Mid Cap	Pair Corr
0.99	JMVRX	Jpmorgan Mid Cap	Pair Corr
0.99	JMVQX	Jpmorgan Mid Cap	Pair Corr
0.99	JMVYX	Jpmorgan Mid Cap	Pair Corr
0.99	JMVPX	Jpmorgan Mid Cap	Pair Corr
0.95	VETAX	Victory Sycamore Est	Pair Corr
0.96	PDI	Pimco Dynamic Income	Pair Corr
0.89	FTCAX	Templeton Strained Bond	Pair Corr
0.97	FLCNX	Fidelity Contrafund	Pair Corr
0.93	NPSFX	Nuveen Preferred Sec	Pair Corr
0.97	CBLAX	Columbia Balanced	Pair Corr

Moving against Small Mutual Fund

0.99	UIPIX	Ultrashort Mid Cap	Pair Corr
0.97	USPSX	Profunds Ultrashort	Pair Corr
0.95	USPIX	Profunds Ultrashort	Pair Corr
0.7	TCTGX	Transamerica Cleartrack	Pair Corr
0.7	TDKTX	Cleartrack 2015 Class	Pair Corr
0.7	TCTJX	Transamerica Cleartrack	Pair Corr
0.68	TCSUX	Cleartrack 2020 Class	Pair Corr

Related Correlations Analysis

	SABPX	SACAX	SAGPX	PFIJX	PFIEX	PFIFX	PFISX	PFIPX	SAIPX	PFLJX
SABPX		1.0	1.0	0.98	0.95	0.96	0.96	0.96	1.0	0.98	SABPX
SACAX	1.0		1.0	0.97	0.95	0.95	0.96	0.96	0.99	0.98	SACAX
SAGPX	1.0	1.0		0.98	0.95	0.96	0.96	0.96	0.99	0.98	SAGPX
PFIJX	0.98	0.97	0.98		0.92	0.98	0.95	0.98	0.99	0.96	PFIJX
PFIEX	0.95	0.95	0.95	0.92		0.93	0.98	0.93	0.94	0.97	PFIEX
PFIFX	0.96	0.95	0.96	0.98	0.93		0.96	1.0	0.97	0.97	PFIFX
PFISX	0.96	0.96	0.96	0.95	0.98	0.96		0.96	0.96	0.97	PFISX
PFIPX	0.96	0.96	0.96	0.98	0.93	1.0	0.96		0.98	0.97	PFIPX
SAIPX	1.0	0.99	0.99	0.99	0.94	0.97	0.96	0.98		0.98	SAIPX
PFLJX	0.98	0.98	0.98	0.96	0.97	0.97	0.97	0.97	0.98		PFLJX
	SABPX	SACAX	SAGPX	PFIJX	PFIEX	PFIFX	PFISX	PFIPX	SAIPX	PFLJX

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Risk-Adjusted Indicators

There is a big difference between Small Mutual Fund performing well and Small Midcap 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 Midcap'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
SABPX	0.38	0.14	(0.01)	(2.75)	0.25	(0.43)	1.21	(0.83)	2.84
SACAX	0.54	0.20	0.06	(2.39)	0.44	(0.60)	1.64	(1.27)	3.89
SAGPX	0.47	0.17	0.04	(2.25)	0.37	(0.52)	1.49	(1.10)	3.45
PFIJX	0.21	0.07	(0.19)	(4.69)	0.00	(0.27)	0.51	(0.40)	1.60
PFIEX	0.56	0.11	0.04	0.39	0.47	(0.61)	1.33	(1.13)	3.32
PFIFX	0.23	0.03	(0.19)	0.26	0.00	(0.29)	0.60	(0.40)	1.51
PFISX	0.49	0.17	0.09	0.86	0.23	(0.58)	1.29	(0.85)	2.75
PFIPX	0.22	0.03	(0.18)	0.27	0.04	(0.28)	0.57	(0.40)	1.59
SAIPX	0.27	0.10	(0.09)	(3.58)	0.00	(0.32)	0.89	(0.46)	1.97
PFLJX	0.54	0.09	0.07	0.25	0.43	(0.59)	1.62	(1.27)	3.85

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