Smallcap Fund Correlations

Mutual Funds . USA . 
Fund . Smallcap Fund Fka
PSBJX Fund  USD 24.73  0.10  0.40%   
The current 90-days correlation between Smallcap Fund Fka and Strategic Asset Management is 0.81 (i.e., Very poor diversification). The correlation of Smallcap Fund 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.

Smallcap Fund Correlation With Market

Very poor diversification

The correlation between Smallcap Fund Fka 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 Smallcap Fund Fka 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 Smallcap Fund Fka. 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 inflation.

Moving together with Smallcap Mutual Fund

  0.65SABPX Strategic Asset ManaPairCorr
  0.72SACAX Strategic Asset ManaPairCorr
  0.97SAGPX Strategic Asset ManaPairCorr
  0.62PFIJX Strategic Asset ManaPairCorr
  0.73PFIEX International EquityPairCorr
  0.7PFIFX Strategic Asset ManaPairCorr
  0.64PFISX International Small PanyPairCorr
  0.63PFIPX Strategic Asset ManaPairCorr
  0.97SAIPX Strategic Asset ManaPairCorr
  0.73PFLJX Principal Lifetime 2050PairCorr
  0.99PFPPX Midcap GrowthPairCorr
  0.95SAUPX Strategic Asset ManaPairCorr
  0.66PFUMX Finisterre UnconstrainedPairCorr
  0.96PGBAX Global Diversified IncomePairCorr
  0.62PGBLX Global Diversified IncomePairCorr
  0.72PGBEX Blue Chip FundPairCorr
  0.98PGBGX Blue Chip FundPairCorr
  0.72PGBHX Blue Chip FundPairCorr
  0.64PGDCX Global Diversified IncomePairCorr
  0.69PGDIX Global Diversified IncomePairCorr
  0.67PGDRX Diversified Real AssetPairCorr
  0.67PGLSX Global Multi StrategyPairCorr
  0.72PGRTX Smallcap GrowthPairCorr
  0.99PGWIX Midcap GrowthPairCorr
  0.99SCBPX Strategic Asset ManaPairCorr
  0.97SCIPX Strategic Asset ManaPairCorr
  0.72SCGPX Strategic Asset ManaPairCorr
  0.72PHJEX Principal Lifetime HybridPairCorr
  0.7PHJFX Principal Lifetime HybridPairCorr
  0.72PHJGX Principal Lifetime HybridPairCorr
  0.72PHJBX Principal Lifetime HybridPairCorr
  0.98PHJDX Principal Lifetime HybridPairCorr
  0.72PHJNX Principal Lifetime HybridPairCorr
  0.71PHJQX Principal Lifetime HybridPairCorr
  0.97PHJJX Principal Lifetime HybridPairCorr

Related Correlations Analysis

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Risk-Adjusted Indicators

There is a big difference between Smallcap Mutual Fund performing well and Smallcap Fund 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 Smallcap Fund'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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
SABPX  0.36  0.12  0.08  0.43  0.00 
(0.44)
 1.21 
(0.48)
 2.84 
SACAX  0.50  0.25  0.18 (2.86) 0.00 
(0.61)
 1.64 
(0.81)
 3.89 
SAGPX  0.47  0.19  0.06 (2.23) 0.36 
(0.53)
 1.49 
(1.10)
 3.45 
PFIJX  0.21  0.06 (0.13) 0.45  0.00 
(0.28)
 0.51 
(0.33)
 1.60 
PFIEX  0.56  0.17  0.04 (1.86) 0.50 
(0.61)
 1.33 
(1.13)
 3.32 
PFIFX  0.22  0.09 (0.16)(3.16) 0.00 
(0.29)
 0.60 
(0.32)
 1.51 
PFISX  0.48  0.14  0.06  0.58  0.30 
(0.56)
 1.29 
(0.85)
 2.75 
PFIPX  0.22  0.06 (0.14) 0.41  0.00 
(0.28)
 0.57 
(0.40)
 1.59 
SAIPX  0.28  0.11 (0.06)(3.24) 0.00 
(0.33)
 0.89 
(0.46)
 1.97 
PFLJX  0.51  0.25  0.16 (3.00) 0.00 
(0.61)
 1.62 
(0.87)
 3.85 

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