Small Cap Correlations

VSSVX Fund

USD 10.83 0.27 2.56%

The current 90-days correlation between Small Cap Special and Mid Cap Index is -0.08 (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

Poor diversification

The correlation between Small Cap Special and DJI is 0.71 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Small Cap Special 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 Special. 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 unemployment.

Moving together with Small Mutual Fund

0.76	VVMCX	Valic Company I	Pair Corr
0.7	VSIIX	Vanguard Small Cap	Pair Corr
0.7	VISVX	Vanguard Small Cap	Pair Corr
0.89	DFSVX	Us Small Cap	Pair Corr
0.88	DFFVX	Us Targeted Value	Pair Corr
0.95	UBVCX	Undiscovered Managers	Pair Corr
0.88	UBVAX	Undiscovered Managers	Pair Corr
0.88	UBVSX	Undiscovered Managers	Pair Corr
0.89	AVFIX	American Beacon Small	Pair Corr

Moving against Small Mutual Fund

0.62	VAPPX	Valic Company I	Pair Corr
0.62	VCBDX	Valic Company I	Pair Corr
0.59	VGCLX	Valic Company I	Pair Corr
0.56	VLSMX	Valic Company I	Pair Corr
0.54	VLAGX	Valic Company I	Pair Corr
0.51	VCSTX	Science Technology	Pair Corr
0.41	VLCGX	Large Capital Growth	Pair Corr
0.86	ASDIX	Aamhimco Short Duration	Pair Corr
0.81	BBN	Blackrock Taxable	Pair Corr
0.75	MHD	Blackrock Muniholdings	Pair Corr
0.7	PIFCX	Prudential Short Term	Pair Corr
0.68	NFFFX	New World Fund	Pair Corr
0.66	GSFSX	Goldman Sachs Short	Pair Corr
0.65	UITCX	Usaa Intermediate Term	Pair Corr
0.63	FTMRX	Franklin Moderate	Pair Corr
0.6	VWEAX	Vanguard High Yield	Pair Corr
0.56	VFIDX	Vanguard Intermediate	Pair Corr
0.55	FAOTX	American Funds 2020	Pair Corr
0.52	TRSGX	T Rowe Price	Pair Corr
0.5	JLGSX	Lifestyle Ii Growth	Pair Corr
0.42	FLDBX	Franklin Long Duration	Pair Corr
0.36	NEHCX	Loomis Sayles High	Pair Corr
0.83	PRINX	T Rowe Price	Pair Corr
0.81	STYIX	Wells Fargo Short	Pair Corr

Related Correlations Analysis

	VMIDX	VVMCX	VMSGX	VVSGX	VVSCX	VGCLX	VGLSX	VGREX	VHYLX
VMIDX		0.92	0.75	0.84	0.25	0.09	-0.05	0.53	0.29	VMIDX
VVMCX	0.92		0.68	0.69	0.04	-0.23	-0.37	0.5	0.01	VVMCX
VMSGX	0.75	0.68		0.62	0.52	0.27	0.06	0.66	0.24	VMSGX
VVSGX	0.84	0.69	0.62		0.24	0.16	0.09	0.34	0.33	VVSGX
VVSCX	0.25	0.04	0.52	0.24		0.81	0.7	0.62	0.59	VVSCX
VGCLX	0.09	-0.23	0.27	0.16	0.81		0.95	0.45	0.8	VGCLX
VGLSX	-0.05	-0.37	0.06	0.09	0.7	0.95		0.23	0.81	VGLSX
VGREX	0.53	0.5	0.66	0.34	0.62	0.45	0.23		0.33	VGREX
VHYLX	0.29	0.01	0.24	0.33	0.59	0.8	0.81	0.33		VHYLX
	VMIDX	VVMCX	VMSGX	VVSGX	VVSCX	VGCLX	VGLSX	VGREX	VHYLX

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

VGLSX	+ 0.95	VGCLX
VVMCX	+ 0.92	VMIDX
VVSGX	+ 0.84	VMIDX
VGCLX	+ 0.81	VVSCX
VHYLX	+ 0.81	VGLSX
VHYLX	+ 0.8	VGCLX

High negative correlations

VGLSX	- 0.37	VVMCX
VGCLX	- 0.23	VVMCX
VGLSX	- 0.05	VMIDX

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
VMIDX	0.72	(0.03)	0.00	(0.18)	0.00	0.00	1.43	(1.58)	4.48
VVMCX	0.65	(0.05)	0.00	(0.38)	0.00	0.00	1.55	(1.32)	4.46
VMSGX	0.79	(0.07)	(0.05)	(0.01)	1.12	(0.80)	1.54	(1.94)	4.48
VVSGX	0.95	(0.03)	0.00	(0.15)	0.00	0.00	2.07	(1.64)	5.31
VVSCX	0.84	0.02	0.03	0.07	0.97	(0.94)	2.14	(1.93)	5.04
VGCLX	0.24	0.02	(0.04)	0.11	0.21	(0.27)	0.57	(0.48)	1.38
VGLSX	0.35	0.04	0.02	0.12	0.43	(0.38)	0.72	(0.79)	2.39
VGREX	0.50	(0.02)	(0.06)	0.00	0.68	(0.54)	1.01	(1.28)	3.22
VHYLX	0.13	0.01	(0.17)	0.37	0.06	(0.18)	0.28	(0.27)	0.83

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