Small Capitalization Correlations

SSCPX Fund

USD 7.14 0.04 0.56%

The current 90-days correlation between Small Capitalization and Siit Large Cap is -0.24 (i.e., Very good diversification). The correlation of Small Capitalization 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 Capitalization Correlation With Market

Poor diversification

The correlation between Small Capitalization Portfolio and DJI is 0.74 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Small Capitalization Portfolio 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 Capitalization Portfolio. 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 metropolitan statistical area.

Moving together with Small Mutual Fund

0.63	SABIX	Aggressive Balanced	Pair Corr
0.67	SABCX	Salient Alternative Beta	Pair Corr
0.67	SAMCX	Salient Mlp Fund	Pair Corr
0.62	SAMIX	Moderately Aggressive	Pair Corr
0.75	SSCCX	Saratoga Small Capit	Pair Corr
0.77	SSCYX	Small Capitalization	Pair Corr
0.68	SBMCX	Moderate Balanced	Pair Corr
0.63	SBMIX	Moderate Balanced	Pair Corr

Moving against Small Mutual Fund

0.35	SHPAX	Health Biotchnology	Pair Corr
0.34	SBHIX	Health Biotchnology	Pair Corr
0.34	SHPCX	Health Biotchnology	Pair Corr

Related Correlations Analysis

	LCIAX	DBIWX	SGICX	CABIX	GMLVX	ANAGX
LCIAX		0.9	0.75	0.91	0.92	0.8	LCIAX
DBIWX	0.9		0.76	0.96	0.94	0.89	DBIWX
SGICX	0.75	0.76		0.71	0.74	0.61	SGICX
CABIX	0.91	0.96	0.71		0.97	0.9	CABIX
GMLVX	0.92	0.94	0.74	0.97		0.84	GMLVX
ANAGX	0.8	0.89	0.61	0.9	0.84		ANAGX
	LCIAX	DBIWX	SGICX	CABIX	GMLVX	ANAGX

Risk-Adjusted Indicators

There is a big difference between Small Mutual Fund performing well and Small Capitalization 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 Capitalization'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
LCIAX	0.54	0.03	0.00	3.86	0.78	(0.51)	1.19	(1.12)	4.31
DBIWX	0.29	0.04	0.03	0.51	0.24	(0.32)	0.55	(0.55)	1.61
SGICX	0.36	0.03	(0.01)	(1.05)	0.46	(0.38)	0.86	(0.92)	2.54
CABIX	0.34	0.03	0.02	0.09	0.39	(0.35)	0.88	(0.55)	2.28
GMLVX	0.63	0.07	0.07	0.14	0.74	(0.70)	1.35	(0.91)	4.57
ANAGX	0.11	0.01	(0.12)	(0.46)	0.02	(0.17)	0.29	(0.29)	0.58

Macroaxis helps investors of all levels and skills to maximize the upside of all their holdings and minimize the risk associated with market volatility, economic swings, and company-specific events. View terms and conditions

Feedback Blog

Made with optimal in San Francisco

2025 Macroaxis LLC