Mid Cap Correlations

AMVRX Fund

USD 15.83 0.01 0.06%

The current 90-days correlation between Mid Cap Value and Value Fund R is 0.98 (i.e., Almost no 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 Value and DJI is 0.65 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Mid Cap Value and DJI in the same portfolio, assuming nothing else is changed.

Check out Trending Equities to better understand how to build diversified portfolios, which includes a position in Mid 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 metropolitan statistical area.

Moving together with MID Mutual Fund

0.87	AMDVX	Mid Cap Value	Pair Corr
0.9	AMGIX	Income Growth	Pair Corr
0.78	CDBCX	Diversified Bond	Pair Corr
0.88	TWADX	Value Fund A	Pair Corr
0.77	TWCCX	Ultra Fund C	Pair Corr
0.66	TWCAX	Select Fund A	Pair Corr
0.68	TWCIX	Select Fund Investor	Pair Corr
0.74	TWCGX	Growth Fund Investor	Pair Corr
0.87	AMVYX	Mid Cap Value	Pair Corr
0.65	TWBIX	Balanced Fund Investor	Pair Corr
1.0	AMVGX	Mid Cap Value	Pair Corr
1.0	TWEAX	Equity Income	Pair Corr
1.0	TWEIX	Equity Income	Pair Corr
0.61	TWCUX	Ultra Fund Investor	Pair Corr
0.72	TWGIX	Growth Fund I	Pair Corr
0.97	TWGGX	Global Growth	Pair Corr
0.88	TWHIX	Heritage Fund Investor	Pair Corr
0.82	TWRCX	Growth Fund C	Pair Corr
0.67	TWTCX	Intermediate Term Tax	Pair Corr
0.7	TWTIX	Intermediate Term Tax	Pair Corr
0.88	TWSCX	Strategic Allocation:	Pair Corr
0.89	TWSAX	Strategic Allocation:	Pair Corr
0.89	TWSMX	Strategic Allocation:	Pair Corr
0.61	TWSIX	Select Fund I	Pair Corr
0.88	TWVLX	Value Fund Investor	Pair Corr
0.65	TWUAX	Ultra Fund A	Pair Corr

Moving against MID Mutual Fund

0.49

TWUOX

Short Term Government

Pair Corr

Related Correlations Analysis

	AVURX	JDERX	ERSMX	FGBRX	PSIAX
AVURX		0.93	0.94	0.87	0.19	AVURX
JDERX	0.93		0.94	0.84	0.27	JDERX
ERSMX	0.94	0.94		0.77	0.13	ERSMX
FGBRX	0.87	0.84	0.77		0.47	FGBRX
PSIAX	0.19	0.27	0.13	0.47		PSIAX
	AVURX	JDERX	ERSMX	FGBRX	PSIAX

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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 Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
AVURX	0.64	(0.12)	0.00	(0.11)	0.00	0.00	1.01	(1.00)	9.27
JDERX	0.93	(0.12)	0.00	(0.20)	0.00	0.00	1.44	(1.78)	10.39
ERSMX	0.70	(0.18)	0.00	(0.26)	0.00	0.00	1.19	(1.33)	5.90
FGBRX	0.38	(0.03)	0.00	(0.15)	0.00	0.00	0.77	(0.76)	2.25
PSIAX	0.57	0.03	0.03	0.07	0.82	(0.55)	1.08	(1.32)	3.77

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