Small Cap Correlations

SCRYX Fund

USD 12.59 0.18 1.45%

The current 90-days correlation between Small Cap Core and Thrivent Natural Resources is -0.07 (i.e., Good diversification). The correlation of Small Cap 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 Correlation With Market

Poor diversification

The correlation between Small Cap Core and DJI is 0.65 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Small Cap Core and DJI in the same portfolio, assuming nothing else is changed.

Check out World Market Map to better understand how to build diversified portfolios, which includes a position in Small Cap Core. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as various price indices.

Moving together with Small Mutual Fund

0.96	VSMAX	Vanguard Small Cap	Pair Corr
0.96	VSCIX	Vanguard Small Cap	Pair Corr
0.97	VSCPX	Vanguard Small Cap	Pair Corr
0.97	NAESX	Vanguard Small Cap	Pair Corr
0.79	FSSNX	Fidelity Small Cap	Pair Corr
0.93	DFSTX	Us Small Cap	Pair Corr
0.91	PASVX	T Rowe Price	Pair Corr
0.91	PRVIX	T Rowe Price	Pair Corr
0.9	TRZVX	T Rowe Price	Pair Corr
0.9	PRSVX	T Rowe Price	Pair Corr
0.66	MSFT	Microsoft	Pair Corr

Moving against Small Mutual Fund

0.47	KO	Coca Cola Aggressive Push	Pair Corr
0.46	CSCO	Cisco Systems	Pair Corr
0.37	JNJ	Johnson Johnson	Pair Corr
0.34	DD	Dupont De Nemours	Pair Corr
0.33	TRV	The Travelers Companies	Pair Corr

Related Correlations Analysis

	TREIX	FRNRX	GMOWX	GRHAX	IGNAX	XGNTX	HNRGX	IEFCX
TREIX		0.72	0.66	0.86	0.83	0.56	0.37	0.02	TREIX
FRNRX	0.72		0.8	0.9	0.95	0.89	0.65	0.39	FRNRX
GMOWX	0.66	0.8		0.68	0.78	0.5	0.84	0.6	GMOWX
GRHAX	0.86	0.9	0.68		0.96	0.83	0.38	0.03	GRHAX
IGNAX	0.83	0.95	0.78	0.96		0.85	0.53	0.19	IGNAX
XGNTX	0.56	0.89	0.5	0.83	0.85		0.36	0.12	XGNTX
HNRGX	0.37	0.65	0.84	0.38	0.53	0.36		0.9	HNRGX
IEFCX	0.02	0.39	0.6	0.03	0.19	0.12	0.9		IEFCX
	TREIX	FRNRX	GMOWX	GRHAX	IGNAX	XGNTX	HNRGX	IEFCX

Risk-Adjusted Indicators

There is a big difference between Small Mutual Fund performing well and Small Cap 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'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
TREIX	0.05	0.00	(0.10)	0.12	0.00	(0.11)	0.10	(0.20)	0.41
FRNRX	0.70	0.06	0.04	0.10	1.03	(0.68)	1.49	(1.93)	4.74
GMOWX	0.93	0.04	0.03	0.06	1.10	(1.06)	2.02	(1.83)	5.52
GRHAX	1.25	0.20	0.10	0.29	1.74	(1.28)	2.51	(3.38)	7.72
IGNAX	0.75	0.10	0.07	0.15	1.16	(0.74)	1.56	(2.10)	5.41
XGNTX	0.58	0.04	0.04	0.11	0.77	(0.59)	1.03	(1.41)	3.24
HNRGX	0.89	0.07	0.05	0.14	1.20	(0.84)	1.72	(1.58)	5.60
IEFCX	0.81	0.03	0.02	0.10	1.07	(0.79)	1.52	(1.61)	4.52

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