Broad Cap Correlations

Mutual Funds . USA . 
Fund . Broad Cap Value
VBCVX Fund  USD 15.33  0.03  0.20%   
The current 90-days correlation between Broad Cap Value and Mid Cap Index is -0.12 (i.e., Good diversification). The correlation of Broad 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.

Broad Cap Correlation With Market

Almost no diversification

The correlation between Broad Cap Value and DJI is 0.97 (i.e., Almost no diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Broad Cap Value 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 Broad Cap Value. 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 real.

Moving together with Broad Mutual Fund

  0.98VMSGX Mid Cap StrategicPairCorr
  0.98VAPPX Valic Company IPairCorr
  0.62VSRDX Valic Company IPairCorr
  0.99VSTIX Stock Index FundPairCorr
  0.92VSSVX Small Cap SpecialPairCorr
  0.99VCAAX Asset AllocationPairCorr
  0.98VCBCX Blue Chip GrowthPairCorr
  0.99VCGAX Growth IncomePairCorr
  0.97VCGEX Emerging EconomiesPairCorr
  0.94VCFVX Foreign ValuePairCorr
  0.94VCIEX International EquitiesPairCorr
  0.7VCIFX International GovernmentPairCorr
  1.0VCIGX Valic Company IPairCorr
  0.96VCINX International GrowthPairCorr
  0.98VCNIX Nasdaq 100 IndexPairCorr
  0.97VCSTX Science TechnologyPairCorr
  0.63VCSOX Global Social AwarenessPairCorr
  0.99VCSLX Small Cap IndexPairCorr
  0.62VCULX Growth Fund GrowthPairCorr
  0.95VDAFX Dynamic AllocationPairCorr
  0.93VVMCX Valic Company IPairCorr
  0.94VVSGX Valic Company IPairCorr
  0.91VVSCX Valic Company IPairCorr
  0.98VGCLX Valic Company IPairCorr
  0.87VGREX Global Real EstatePairCorr
  0.94VHYLX Valic Company IPairCorr
  0.62VIOPX Valic Company IPairCorr
  0.99VLAGX Valic Company IPairCorr
  0.99VLCGX Large Capital GrowthPairCorr
  0.95VLSMX Valic Company IPairCorr
  0.99VVIAX Vanguard Value IndexPairCorr
  0.99DOXGX Dodge Cox StockPairCorr
  0.99AFMFX American MutualPairCorr
  0.99FFMMX American Funds AmericanPairCorr

Related Correlations Analysis

Click cells to compare fundamentals   Check Volatility   Backtest Portfolio

Risk-Adjusted Indicators

There is a big difference between Broad Mutual Fund performing well and Broad 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 Broad 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
VMIDX  0.76  0.28  0.20 (4.81) 0.59 
(0.92)
 2.16 
(1.23)
 6.18 
VMSGX  1.19  0.13  0.07  0.19  1.91 
(1.20)
 2.42 
(2.74)
 14.06 
VAPPX  1.23  0.13  0.07  0.18  1.69 
(1.31)
 2.50 
(2.88)
 15.23 
VSRDX  0.72  0.29  0.23  40.93  0.44 
(0.88)
 1.92 
(1.52)
 4.31 
VSTIX  1.05  0.07  0.04  0.14  1.61 
(1.09)
 2.04 
(2.36)
 12.96 
VSSVX  1.30 (0.05)(0.02) 0.03  1.82 
(1.38)
 2.55 
(2.74)
 12.18 
VBCVX  0.89  0.01  0.00  0.09  1.48 
(0.93)
 1.64 
(1.90)
 9.50 
VCAAX  0.66  0.04  0.01  0.14  0.97 
(0.70)
 1.41 
(1.66)
 7.50 
VCBDX  0.27  0.00 (0.19) 0.08  0.33 
(0.33)
 0.52 
(0.52)
 1.74 
VCBCX  1.26  0.13  0.07  0.18  1.78 
(1.34)
 2.64 
(2.99)
 15.34 

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