Smallcap Value Correlations

Mutual Funds . USA . 
Fund . Smallcap Value Fund
PSMVX Fund  USD 11.49  0.07  0.61%   
The current 90-days correlation between Smallcap Value and Strategic Asset Management is 0.82 (i.e., Very poor diversification). The correlation of Smallcap 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.

Smallcap Value Correlation With Market

Good diversification

The correlation between Smallcap Value Fund and DJI is -0.15 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Smallcap Value Fund 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 Value Fund. 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 real.

Moving together with Smallcap Mutual Fund

  0.97SABPX Strategic Asset ManaPairCorr
  0.97SACAX Strategic Asset ManaPairCorr
  0.95PFIJX Strategic Asset ManaPairCorr
  0.93PFIFX Strategic Asset ManaPairCorr
  0.9PFISX International Small PanyPairCorr
  0.94PFIPX Strategic Asset ManaPairCorr
  0.95PFLJX Principal Lifetime 2050PairCorr
  0.68PFRSX Real Estate SecuritiesPairCorr
  0.63PGBAX Global Diversified IncomePairCorr
  0.93PGBLX Global Diversified IncomePairCorr
  0.95PGBHX Blue Chip FundPairCorr
  0.94PGDCX Global Diversified IncomePairCorr
  0.94PGDIX Global Diversified IncomePairCorr
  0.89PGDRX Diversified Real AssetPairCorr
  0.95PGRTX Smallcap GrowthPairCorr
  0.76PGRUX Global Real EstatePairCorr
  0.69PGSLX Principal Global SusPairCorr
  0.8PGRKX Global Real EstatePairCorr
  0.95SCGPX Strategic Asset ManaPairCorr
  0.95PHJEX Principal Lifetime HybridPairCorr
  0.95PHJNX Principal Lifetime HybridPairCorr
  0.96PHJQX Principal Lifetime HybridPairCorr
  0.95PHJUX Principal Lifetime HybridPairCorr
  0.95PHSPX Pimco High YieldPairCorr
  0.95PHTJX Principal Lifetime HybridPairCorr
  0.94PHTFX Principal Lifetime HybridPairCorr
  0.95PHTQX Principal Lifetime HybridPairCorr
  0.95PHTTX Principal Lifetime HybridPairCorr
  0.94PHTMX Principal Lifetime HybridPairCorr
  0.94PHYTX High Yield FundPairCorr
  0.9PIIIX Diversified InternationalPairCorr
  0.91PIIDX International FundPairCorr
  0.92PINPX Diversified InternationalPairCorr
  0.93PINZX Overseas Fund InstitPairCorr
  0.67PIPJX Inflation ProtectionPairCorr
  0.63PIREX Real Estate SecuritiesPairCorr
  0.95SWHCX Strategic Asset ManaPairCorr
  0.97PLFIX Largecap Sp 500PairCorr
  0.95PLGAX Largecap GrowthPairCorr
  0.95PLHHX 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 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 Smallcap 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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
SABPX  0.39  0.15  0.02 (2.65) 0.24 
(0.44)
 1.21 
(0.83)
 2.84 
SACAX  0.54  0.21  0.09 (2.36) 0.43 
(0.61)
 1.64 
(1.27)
 3.89 
SAGPX  0.47  0.19  0.06 (2.23) 0.36 
(0.53)
 1.49 
(1.10)
 3.45 
PFIJX  0.22  0.08 (0.14)(3.74) 0.00 
(0.29)
 0.69 
(0.40)
 1.61 
PFIEX  0.56  0.12  0.05  0.41  0.47 
(0.62)
 1.33 
(1.13)
 3.32 
PFIFX  0.23  0.03 (0.19) 0.25  0.04 
(0.28)
 0.60 
(0.40)
 1.51 
PFISX  0.48  0.17  0.09  0.85  0.24 
(0.57)
 1.29 
(0.85)
 2.75 
PFIPX  0.22  0.03 (0.17) 0.26  0.06 
(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  0.53  0.09  0.07  0.25  0.43 
(0.59)
 1.62 
(1.27)
 3.85 

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