Small Cap Correlations

ANORX Fund

USD 17.69 0.05 0.28%

The current 90-days correlation between Small Cap Growth and Oakmark Select Fund is -0.07 (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

Good diversification

The correlation between Small Cap Growth and DJI is -0.08 (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 metropolitan statistical area.

Moving together with Small Mutual Fund

0.79	VSGAX	Vanguard Small Cap	Pair Corr
0.99	VSGIX	Vanguard Small Cap	Pair Corr
0.99	VISGX	Vanguard Small Cap	Pair Corr
0.92	VEXPX	Vanguard Explorer	Pair Corr
0.92	VEXRX	Vanguard Explorer	Pair Corr
0.98	JGMIX	Janus Triton	Pair Corr
0.98	JGMRX	Janus Triton	Pair Corr
0.98	JGMAX	Janus Triton	Pair Corr
0.98	JGMCX	Janus Triton	Pair Corr
0.98	JGMNX	Janus Triton	Pair Corr
0.64	CAT	Caterpillar	Pair Corr
0.64	BA	Boeing	Pair Corr
0.85	BAC	Bank of America	Pair Corr
0.74	JPM	JPMorgan Chase	Pair Corr

Moving against Small Mutual Fund

0.66	VZ	Verizon Communications	Pair Corr
0.59	TRV	The Travelers Companies	Pair Corr
0.53	KO	Coca Cola	Pair Corr
0.51	PG	Procter Gamble	Pair Corr
0.42	T	ATT Inc Earnings Call Tomorrow	Pair Corr
0.33	NHS	Neuberger Berman High	Pair Corr

Related Correlations Analysis

	OAKLX	TRCPX	ANVIX	GMLVX	FCLKX
OAKLX		0.85	0.96	0.2	0.94	OAKLX
TRCPX	0.85		0.81	0.5	0.73	TRCPX
ANVIX	0.96	0.81		0.14	0.89	ANVIX
GMLVX	0.2	0.5	0.14		0.07	GMLVX
FCLKX	0.94	0.73	0.89	0.07		FCLKX
	OAKLX	TRCPX	ANVIX	GMLVX	FCLKX

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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
OAKLX	0.76	(0.01)	0.00	(0.08)	0.00	0.00	1.40	(1.88)	3.58
TRCPX	0.66	0.03	0.00	(0.02)	0.00	0.00	1.21	(1.53)	3.55
ANVIX	0.71	(0.05)	0.00	(0.13)	0.00	0.00	1.22	(1.63)	3.29
GMLVX	0.71	0.04	0.08	0.03	0.91	(0.77)	1.57	(1.62)	5.51
FCLKX	0.81	0.00	0.00	(0.07)	0.00	0.00	1.58	(2.15)	5.00

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