Small Cap Correlations

UISCX Fund

USD 13.60 0.10 0.74%

The current 90-days correlation between Small Cap Stock and Calvert Moderate Allocation is -0.15 (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

Almost no diversification

The correlation between Small Cap Stock and DJI is 0.92 (i.e., Almost no diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Small Cap Stock 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 Stock. 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 main economic indicators.

Moving together with Small Mutual Fund

0.93	UICGX	Capital Growth	Pair Corr
0.97	UIEMX	Emerging Markets	Pair Corr
0.94	UIHIX	High Income Fund	Pair Corr
0.93	UIIFX	International Fund	Pair Corr
0.93	UIGIX	Growth Income	Pair Corr
0.97	UIGRX	Growth Fund Growth	Pair Corr
0.97	UIISX	Income Stock	Pair Corr
0.8	UISBX	Short Term Bond	Pair Corr
0.99	UIVAX	Value Fund Value	Pair Corr
0.94	UIWGX	World Growth	Pair Corr
0.94	URHIX	High Income Fund	Pair Corr
0.97	URNQX	Nasdaq 100 Index	Pair Corr
0.81	URSBX	Short Term Bond	Pair Corr
0.85	URUSX	Ultra Short Term	Pair Corr
0.98	USPRX	Sp 500 Index	Pair Corr
0.95	UTMAX	Target Managed Allocation	Pair Corr
0.88	UUSIX	Ultra Short Term	Pair Corr
0.93	UGOFX	Global Managed Volatility	Pair Corr
0.96	UIAGX	Aggressive Growth	Pair Corr
1.0	VSMAX	Vanguard Small Cap	Pair Corr
1.0	VSCIX	Vanguard Small Cap	Pair Corr
1.0	VSCPX	Vanguard Small Cap	Pair Corr
1.0	NAESX	Vanguard Small Cap	Pair Corr
1.0	FSSNX	Fidelity Small Cap	Pair Corr
1.0	DFSTX	Us Small Cap	Pair Corr
0.99	PASVX	T Rowe Price	Pair Corr
0.92	PRVIX	T Rowe Price	Pair Corr
0.99	TRZVX	T Rowe Price	Pair Corr
0.92	PRSVX	T Rowe Price	Pair Corr
0.93	SMPIX	Semiconductor Ultrasector	Pair Corr
0.93	SMPSX	Semiconductor Ultrasector	Pair Corr
0.94	TTEEX	T Rowe Price	Pair Corr

Related Correlations Analysis

	CMACX	PBLIX	MSTSX	JDVNX	PLTHX	JAAIX	LSAAX	GBAYX
CMACX		1.0	1.0	0.94	1.0	0.98	-0.1	1.0	CMACX
PBLIX	1.0		1.0	0.95	1.0	0.97	-0.1	1.0	PBLIX
MSTSX	1.0	1.0		0.94	1.0	0.97	-0.09	1.0	MSTSX
JDVNX	0.94	0.95	0.94		0.94	0.92	-0.09	0.94	JDVNX
PLTHX	1.0	1.0	1.0	0.94		0.97	-0.07	1.0	PLTHX
JAAIX	0.98	0.97	0.97	0.92	0.97		-0.02	0.98	JAAIX
LSAAX	-0.1	-0.1	-0.09	-0.09	-0.07	-0.02		-0.08	LSAAX
GBAYX	1.0	1.0	1.0	0.94	1.0	0.98	-0.08		GBAYX
	CMACX	PBLIX	MSTSX	JDVNX	PLTHX	JAAIX	LSAAX	GBAYX

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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

PBLIX	+ 1.0	CMACX
MSTSX	+ 1.0	CMACX
PLTHX	+ 1.0	CMACX
GBAYX	+ 1.0	CMACX
MSTSX	+ 1.0	PBLIX
PLTHX	+ 1.0	PBLIX

High negative correlations

LSAAX	- 0.1	PBLIX
LSAAX	- 0.1	CMACX
LSAAX	- 0.09	JDVNX
LSAAX	- 0.09	MSTSX
GBAYX	- 0.08	LSAAX
LSAAX	- 0.07	PLTHX

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
CMACX	0.61	0.10	(0.01)	(2.16)	1.02	(0.59)	1.27	(1.21)	6.85
PBLIX	0.83	0.16	0.03	(2.46)	1.39	(0.81)	1.90	(1.39)	10.31
MSTSX	0.81	0.16	0.03	(1.54)	1.32	(0.82)	1.87	(1.54)	10.06
JDVNX	0.89	0.03	0.01	0.13	1.62	(0.85)	1.76	(1.88)	10.24
PLTHX	0.91	0.16	0.03	(2.41)	1.52	(0.88)	1.79	(1.70)	10.86
JAAIX	0.23	0.02	(0.11)	1.51	0.51	(0.23)	0.38	(0.64)	2.40
LSAAX	0.32	0.13	0.07	(5.89)	0.00	(0.43)	1.01	(0.63)	2.49
GBAYX	0.46	0.08	(0.02)	(1.80)	0.70	(0.46)	1.02	(0.99)	4.88

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