Small Cap Correlations
VSSVX Fund | USD 10.91 0.12 1.11% |
The current 90-days correlation between Small Cap Special and Channing Intrinsic Value is -0.38 (i.e., Very 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
Very weak diversification
The correlation between Small Cap Special and DJI is 0.4 (i.e., Very weak 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.
Small |
Moving together with Small Mutual Fund
0.64 | VVSCX | Valic Company I | PairCorr |
0.61 | UBVCX | Undiscovered Managers | PairCorr |
0.66 | UBVAX | Undiscovered Managers | PairCorr |
0.66 | UBVSX | Undiscovered Managers | PairCorr |
0.83 | GCSUX | Goldman Sachs Small | PairCorr |
0.91 | GCTIX | Goldman Sachs Tax | PairCorr |
0.9 | HCKIX | Hartford Checks | PairCorr |
0.75 | MLPTX | Oppenheimer Steelpath Mlp | PairCorr |
0.82 | MHCAX | Mainstay High Yield | PairCorr |
0.67 | GLDZX | Low Duration Bond | PairCorr |
0.85 | CMVYX | Columbia Mid Cap | PairCorr |
0.66 | MSUMX | Managed Account Series | PairCorr |
0.8 | COSSX | Columbia Overseas Value | PairCorr |
0.86 | SCFFX | Shenkman Short Duration | PairCorr |
0.84 | RMBTX | Rmb International | PairCorr |
0.87 | FSAMX | Strategic Advisers | PairCorr |
0.86 | GNXCX | Alphacentric Global | PairCorr |
0.82 | SSFOX | State Street Target | PairCorr |
Related Correlations Analysis
0.98 | 0.91 | 0.99 | 0.97 | OWLLX | ||
0.98 | 0.95 | 0.98 | 0.99 | HRSCX | ||
0.91 | 0.95 | 0.92 | 0.96 | TISVX | ||
0.99 | 0.98 | 0.92 | 0.97 | GQSCX | ||
0.97 | 0.99 | 0.96 | 0.97 | ASCGX | ||
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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 | ||
---|---|---|---|---|---|---|---|---|---|---|
OWLLX | 1.48 | 0.21 | 0.05 | (2.42) | 2.19 | 2.76 | 16.62 | |||
HRSCX | 1.33 | 0.18 | 0.04 | (1.18) | 2.06 | 2.67 | 14.80 | |||
TISVX | 0.72 | 0.22 | 0.09 | 1.61 | 1.21 | 1.62 | 6.44 | |||
GQSCX | 1.28 | 0.13 | 0.03 | (1.63) | 1.88 | 2.60 | 12.11 | |||
ASCGX | 1.34 | 0.25 | 0.07 | (1.66) | 1.95 | 2.77 | 12.67 |