Small Cap Correlations
| ANODX Fund | USD 21.74 0.06 0.28% |
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 Growth and DJI is 0.74 (i.e., Poor 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.
Small |
Moving together with Small Mutual Fund
| 0.94 | AMEIX | Equity Growth | PairCorr |
| 0.92 | AMGIX | Income Growth | PairCorr |
| 0.92 | TWCCX | Ultra Fund C | PairCorr |
| 0.87 | TWCAX | Select Fund A | PairCorr |
| 0.91 | TWCIX | Select Fund Investor | PairCorr |
| 0.92 | TWCGX | Growth Fund Investor | PairCorr |
| 0.93 | TWBIX | Balanced Fund Investor | PairCorr |
| 0.92 | TWCUX | Ultra Fund Investor | PairCorr |
| 0.92 | TWGIX | Growth Fund I | PairCorr |
| 0.63 | TWGGX | Global Growth | PairCorr |
| 0.97 | TWHIX | Heritage Fund Investor | PairCorr |
| 0.92 | TWRCX | Growth Fund C | PairCorr |
| 0.76 | TWSAX | Strategic Allocation | PairCorr |
| 0.68 | TWSMX | Strategic Allocation | PairCorr |
| 0.91 | TWSIX | Select Fund I | PairCorr |
| 0.92 | TWUAX | Ultra Fund A | PairCorr |
| 0.92 | TWUIX | Ultra Fund I | PairCorr |
Moving against Small Mutual Fund
| 0.7 | TWACX | Short Term Government | PairCorr |
| 0.7 | TWAVX | Short Term Government | PairCorr |
| 0.62 | CDBCX | Diversified Bond | PairCorr |
| 0.4 | TWARX | Short Term Government | PairCorr |
| 0.69 | TWUSX | Short Term Government | PairCorr |
| 0.68 | TWUOX | Short Term Government | PairCorr |
| 0.54 | ANTUX | Nt Non Intrinsic | PairCorr |
Related Correlations Analysis
| 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | HUCXX | ||
| 0.0 | 0.0 | 0.0 | 0.31 | 0.0 | SWGXX | ||
| 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | JRSXX | ||
| 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | PBMXX | ||
| 0.0 | 0.31 | 0.0 | 0.0 | 0.0 | QCMMIX | ||
| 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0P000070L2 | ||
| Click cells to compare fundamentals | Check Volatility | Backtest Portfolio |
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
| High negative correlations
|
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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| HUCXX | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||
| SWGXX | 0.03 | 0.00 | 0.00 | (0.13) | 0.00 | 0.00 | 1.01 | |||
| JRSXX | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||
| PBMXX | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||
| QCMMIX | 0.02 | 0.01 | 0.00 | (2.34) | 0.00 | 0.03 | 0.03 | |||
| 0P000070L2 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |