Small Cap Correlations

Mutual Funds . USA . 
Fund . Small Cap Core
SCRZX Fund  USD 13.07  0.04  0.31%   
The current 90-days correlation between Small Cap Core and Ab Global E is -0.01 (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 0.79 (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 signals in nation.

Moving together with Small Mutual Fund

  0.64GCEAX Ab Global EPairCorr
  0.64GCECX Ab Global EPairCorr
  0.64GCEYX Ab Global EPairCorr
  0.74SCAVX Ab Small CapPairCorr
  0.74SCCVX Ab Small CapPairCorr
  1.0SCRSX Small Cap CorePairCorr
  0.74SCRYX Small Cap CorePairCorr
  0.75SCYVX Ab Small CapPairCorr
  0.68APGZX Ab Large CapPairCorr
  0.68APGYX Ab Large CapPairCorr
  0.68APGAX Ab Large CapPairCorr
  0.69APGCX Ab Large CapPairCorr
  0.84CHCLX Ab Discovery GrowthPairCorr
  0.84CHCIX Ab Discovery GrowthPairCorr
  0.84CHCYX Ab Discovery GrowthPairCorr
  0.84CHCZX Ab Discovery GrowthPairCorr

Related Correlations Analysis


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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
GCEAX  0.55  0.00 (0.07) 0.16  0.82 
(0.51)
 1.25 
(1.28)
 3.48 
GCECX  0.55  0.00 (0.07) 0.09  0.81 
(0.52)
 1.24 
(1.27)
 3.49 
GCEYX  0.55  0.00 (0.07) 0.22  0.82 
(0.52)
 1.20 
(1.28)
 3.48 
AMTAX  0.46  0.08  0.02 (2.61) 0.55 
(0.53)
 1.03 
(1.02)
 3.14 
AMTZX  0.48  0.08  0.02 (2.29) 0.53 
(0.57)
 1.06 
(1.05)
 3.20 
AMTYX  0.46  0.08  0.02 (2.55) 0.56 
(0.52)
 0.95 
(1.03)
 3.25 
AMTOX  0.47  0.05  0.03  0.15  0.51 
(0.54)
 1.06 
(1.04)
 3.23 
ANAZX  0.10 (0.01)(0.46)(0.18) 0.10 
(0.18)
 0.29 
(0.14)
 0.72 
ANAYX  0.10 (0.01) 0.00 (0.50) 0.00 
 0.00 
 0.14 
(0.14)
 0.72 
ANAGX  0.10 (0.01)(0.38)(0.17) 0.11 
(0.17)
 0.29 
(0.29)
 0.57 

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