SP Small-Cap Correlations
| SML Index | 1,365 10.86 0.79% |
The current 90-days correlation between SP Small-Cap 600 and Weibo Corp is 0.05 (i.e., Significant diversification). The correlation of SP 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.
The ability to find closely correlated positions to SP Small-Cap could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace SP Small-Cap when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back SP Small-Cap - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling SP Small-Cap 600 to buy it.
Moving together with SML Index
| 0.94 | NVDA | NVIDIA Aggressive Push | PairCorr |
| 0.95 | MSFT | Microsoft | PairCorr |
| 0.97 | AMZN | Amazon Inc | PairCorr |
| 0.84 | GOOG | Alphabet Class C Earnings Call Tomorrow | PairCorr |
| 0.94 | META | Meta Platforms | PairCorr |
| 0.94 | AVGO | Broadcom Aggressive Push | PairCorr |
| 0.98 | MS | Morgan Stanley Sell-off Trend | PairCorr |
| 0.75 | RSVR | Reservoir Media | PairCorr |
| 0.69 | IMAB | I Mab | PairCorr |
| 0.88 | BMBL | Bumble Inc | PairCorr |
| 0.73 | SIBN | Si Bone | PairCorr |
| 0.78 | CRON | Cronos Group | PairCorr |
| 0.95 | ROK | Rockwell Automation Earnings Call This Week | PairCorr |
| 0.75 | VTKLY | VTech Holdings | PairCorr |
| 0.87 | ORCL | Oracle Aggressive Push | PairCorr |
| 0.9 | AMSC | American Superconductor | PairCorr |
| 0.91 | PLTR | Palantir Technologies Aggressive Push | PairCorr |
| 0.99 | LGCF | Themes Cash Flow Symbol Change | PairCorr |
| 0.92 | HEFA | iShares Currency Hedged | PairCorr |
| 0.98 | VYM | Vanguard High Dividend | PairCorr |
| 0.98 | FTEC | Fidelity MSCI Information | PairCorr |
| 0.92 | EIS | iShares MSCI Israel | PairCorr |
| 0.85 | ZTRE | Fm 3 Year | PairCorr |
| 0.96 | SMH | VanEck Semiconductor ETF | PairCorr |
| 0.99 | BAMV | Brookstone Value Stock | PairCorr |
| 0.84 | MDST | Ultimus Managers Trust | PairCorr |
| 0.94 | SCHD | Schwab Dividend Equity | PairCorr |
| 0.88 | MYCG | SPDR SSGA My2027 | PairCorr |
| 0.89 | NFLX | Netflix Downward Rally | PairCorr |
| 0.82 | EMCG | Embrace Change Acqui | PairCorr |
| 0.96 | GEM | Goldman Sachs ActiveBeta | PairCorr |
| 1.0 | WPGTX | Wpg Partners Smallmicro | PairCorr |
| 0.97 | FSTBX | Federated Global All | PairCorr |
Moving against SML Index
Related Correlations Analysis
| 0.82 | 0.89 | 0.68 | 0.93 | -0.01 | WB | ||
| 0.82 | 0.85 | 0.4 | 0.9 | 0.1 | PLAY | ||
| 0.89 | 0.85 | 0.76 | 0.95 | 0.07 | ADI | ||
| 0.68 | 0.4 | 0.76 | 0.65 | -0.19 | NTGR | ||
| 0.93 | 0.9 | 0.95 | 0.65 | 0.13 | WDC | ||
| -0.01 | 0.1 | 0.07 | -0.19 | 0.13 | USIO | ||
| Click cells to compare fundamentals | Check Volatility | Backtest Portfolio |
Correlation Matchups
Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.High positive correlations
| High negative correlations
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Risk-Adjusted Indicators
There is a big difference between SML Index performing well and SP Small-Cap Index 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 SP 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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| WB | 1.45 | 0.43 | 0.25 | 2.72 | 0.93 | 4.28 | 9.01 | |||
| PLAY | 3.13 | 0.69 | 0.26 | 0.61 | 2.34 | 9.24 | 22.98 | |||
| ADI | 1.31 | 0.31 | 0.25 | 0.38 | 0.92 | 3.01 | 12.17 | |||
| NTGR | 2.02 | 0.21 | 0.11 | 0.32 | 1.74 | 5.16 | 22.43 | |||
| WDC | 1.34 | 0.88 | 0.64 | 1.18 | 0.00 | 5.25 | 10.25 | |||
| USIO | 2.13 | 0.32 | 0.07 | 3.26 | 2.63 | 5.19 | 17.49 |
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SP Small-Cap Distribution of Returns
Predicted Return Density |
| Returns |
What Drives a SP Small-Cap Price Volatility?
Several factors can influence a index's market volatility:Industry
Specific events can influence volatility within a particular industry. For instance, a significant weather upheaval in a crucial oil-production site may cause oil prices to increase in the oil sector. The direct result will be the rise in the stock price of oil distribution companies. Similarly, any government regulation in a specific industry could negatively influence stock prices due to increased regulations on compliance that may impact the company's future earnings and growth.Political and Economic environment
When governments make significant decisions regarding trade agreements, policies, and legislation regarding specific industries, they will influence stock prices. Everything from speeches to elections may influence investors, who can directly influence the stock prices in any particular industry. The prevailing economic situation also plays a significant role in stock prices. When the economy is doing well, investors will have a positive reaction and hence, better stock prices and vice versa.The Company's Performance
Sometimes volatility will only affect an individual company. For example, a revolutionary product launch or strong earnings report may attract many investors to purchase the company. This positive attention will raise the company's stock price. In contrast, product recalls and data breaches may negatively influence a company's stock prices.SP Small-Cap Against Global Markets
| TWII | 1.17 | |||||
| Budapest | 0.60 | |||||
| CROBEX | 0.15 | |||||
| IDX 30 | 0.19 | |||||
| NYA | 0.23 | |||||
| PSI 20 | 0.28 | |||||
| GDAXI | 0.33 | |||||
| SML | 0.79 | |||||
| ISEQ 20 | 0.94 |
