Small Cap Correlations

ANODX Fund

USD 22.88 0.24 1.06%

The current 90-days correlation between Small Cap Growth and Franklin Moderate Allocation is 0.23 (i.e., Modest 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

Good diversification

The correlation between Small Cap Growth and DJI is -0.02 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Small Cap Growth 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 Small Cap Growth. 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

0.77	AMEIX	Equity Growth	Pair Corr
0.79	AMGIX	Income Growth	Pair Corr
0.78	TWBIX	Balanced Fund Investor	Pair Corr
0.61	TWGIX	Growth Fund I	Pair Corr
0.7	TWHIX	Heritage Fund Investor	Pair Corr
0.66	TWSAX	Strategic Allocation	Pair Corr
0.68	TWSMX	Strategic Allocation	Pair Corr

Related Correlations Analysis

	FMTIX	HCVAX	RETSX	PLKTX	PBLIX	KCGSX	GABFX
FMTIX		0.97	0.8	0.96	0.89	0.63	0.61	FMTIX
HCVAX	0.97		0.72	0.92	0.89	0.49	0.71	HCVAX
RETSX	0.8	0.72		0.85	0.88	0.71	0.45	RETSX
PLKTX	0.96	0.92	0.85		0.89	0.7	0.66	PLKTX
PBLIX	0.89	0.89	0.88	0.89		0.46	0.64	PBLIX
KCGSX	0.63	0.49	0.71	0.7	0.46		0.11	KCGSX
GABFX	0.61	0.71	0.45	0.66	0.64	0.11		GABFX
	FMTIX	HCVAX	RETSX	PLKTX	PBLIX	KCGSX	GABFX

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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
FMTIX	0.38	0.01	0.03	(0.01)	0.58	(0.37)	0.70	(0.86)	2.55
HCVAX	0.27	0.02	0.09	0.06	0.33	(0.28)	0.62	(0.44)	1.69
RETSX	0.58	(0.04)	0.00	0.26	0.00	0.00	0.99	(1.48)	3.57
PLKTX	0.56	0.00	0.02	(0.02)	0.89	(0.50)	1.06	(1.34)	3.50
PBLIX	0.51	(0.01)	0.02	0.09	0.78	(0.50)	0.92	(1.24)	3.22
KCGSX	0.80	(0.02)	0.00	(0.05)	0.00	0.00	1.50	(2.28)	5.19
GABFX	0.81	0.06	0.09	0.22	0.84	(0.96)	1.89	(1.36)	4.85

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Small Cap Correlations

Small Cap Correlation With Market

Good diversification

Moving together with Small Mutual Fund

Related Correlations Analysis

Risk-Adjusted Indicators

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