Mid Cap Correlations

Mutual Funds . USA . 
Fund . Mid Cap Growth
TEGIX Fund  USD 46.11  0.45  0.99%   
The current 90-days correlation between Mid Cap Growth and Goldman Sachs Smallmid is 0.81 (i.e., Very poor diversification). The correlation of Mid 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.

Mid Cap Correlation With Market

Poor diversification

The correlation between Mid Cap Growth and DJI is 0.68 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Mid Cap Growth 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 Mid Cap Growth. 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 gross domestic product.

Moving together with Mid Mutual Fund

  1.0TEGAX Mid Cap GrowthPairCorr
  1.0TEGYX Mid Cap GrowthPairCorr
  0.65SAGWX Sentinel Small PanyPairCorr
  0.78TEQAX Touchstone SustainabilityPairCorr
  0.64SSCOX Sentinel Small PanyPairCorr
  0.66SSRRX Sentinel SmallPairCorr
  0.9TFFCX Touchstone FocusedPairCorr
  1.0TFGRX Touchstone Mid CapPairCorr
  0.9TFFIX Touchstone FocusedPairCorr
  0.75SSSGX Sentinel Low DurationPairCorr
  0.9SBACX Sentinel BalancedPairCorr
  0.83TFSLX Touchstone FlexiblePairCorr
  0.88CFSIX Touchstone Sands CapitalPairCorr
  0.84TGVCX Growth OpportunitiesPairCorr
  0.84TGVVX Growth OpportunitiesPairCorr
  0.88SCRLX Sentinel Mon StockPairCorr
  0.88SCSCX Sentinel Mon StockPairCorr
  0.83THYAX High Yield FundPairCorr
  0.9SEBLX Sentinel BalancedPairCorr
  0.81TIMPX Touchstone FundsPairCorr
  0.78TIQIX Touchstone SustainabilityPairCorr
  0.88SENCX Sentinel Mon StockPairCorr
  0.78SWFCX Sentinel InternationalPairCorr
  0.78SWRLX Sentinel InternationalPairCorr
  0.88CISGX Touchstone Sands CapitalPairCorr
  0.82TMARX Touchstone ArbitragePairCorr
  0.84TMAYX Touchstone ArbitragePairCorr
  0.84TMACX Touchstone ArbitragePairCorr
  0.9SIBLX Sentinel BalancedPairCorr
  0.88SICWX Sentinel Mon StockPairCorr
  0.78SIIEX Sentinel InternationalPairCorr
  1.0TOECX Mid Cap GrowthPairCorr
  0.78TOIIX Touchstone InternationalPairCorr
  0.81DSMLX Touchstone Large PanyPairCorr

Related Correlations Analysis


Risk-Adjusted Indicators

There is a big difference between Mid Mutual Fund performing well and Mid 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 Mid 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
GTMUX  0.83 (0.08)(0.05) 0.03  0.96 
(0.93)
 1.79 
(1.66)
 5.45 
PESPX  0.72 (0.06)(0.04) 0.04  0.79 
(0.83)
 1.61 
(1.17)
 5.60 
PREFX  0.65 (0.02)(0.02) 0.07  0.93 
(0.67)
 1.12 
(1.61)
 4.57 
USSCX  0.81  0.01  0.03  0.10  1.10 
(0.80)
 2.01 
(1.53)
 5.90 
FSLVX  0.44  0.00 (0.02) 0.09  0.42 
(0.50)
 1.10 
(0.74)
 3.72 
HCKAX  0.33  0.01 (0.06) 0.10  0.26 
(0.41)
 0.85 
(0.47)
 2.73 
IBALX  0.30  0.00 (0.08) 0.10  0.29 
(0.32)
 0.75 
(0.53)
 2.57 
ILLLX  1.21 (0.10)(0.03) 0.03  1.73 
(1.16)
 2.54 
(3.08)
 7.79 
TCMSX  0.97  0.05  0.09  0.13  1.03 
(1.04)
 2.60 
(1.88)
 6.25 
JHYFX  0.14  0.00 (0.31) 0.07  0.00 
(0.22)
 0.40 
(0.27)
 0.95 

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