Large Cap Correlations

FMIHX Fund

USD 14.57 0.04 0.27%

The current 90-days correlation between Large Cap Fund and Wasatch Large Cap is 0.38 (i.e., Weak diversification). The correlation of Large 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.

Large Cap Correlation With Market

Very weak diversification

The correlation between Large Cap Fund and DJI is 0.41 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Large Cap Fund and DJI in the same portfolio, assuming nothing else is changed.

Check out Investing Opportunities to better understand how to build diversified portfolios, which includes a position in Large Cap Fund. 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 rate.

Moving together with Large Mutual Fund

0.64

FMIUX

Common Stock

Pair Corr

Moving against Large Mutual Fund

0.36	GAAKX	Gmo Alternative Allo	Pair Corr
0.36	GAAGX	Gmo Alternative Allo	Pair Corr
0.52	FXIDX	Fixed Income Shares	Pair Corr
0.32	ASBFX	Short Term Bond	Pair Corr
0.4	HIO	Western Asset High	Pair Corr

Related Correlations Analysis

	FMIEX	LSBRX	HIINX	EXEYX	WTIBX
FMIEX		0.9	0.96	-0.41	0.66	FMIEX
LSBRX	0.9		0.93	-0.46	0.8	LSBRX
HIINX	0.96	0.93		-0.45	0.75	HIINX
EXEYX	-0.41	-0.46	-0.45		-0.36	EXEYX
WTIBX	0.66	0.8	0.75	-0.36		WTIBX
	FMIEX	LSBRX	HIINX	EXEYX	WTIBX

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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

HIINX	+ 0.96	FMIEX
HIINX	+ 0.93	LSBRX
LSBRX	+ 0.9	FMIEX
WTIBX	+ 0.8	LSBRX
WTIBX	+ 0.75	HIINX
WTIBX	+ 0.66	FMIEX

High negative correlations

EXEYX	- 0.46	LSBRX
EXEYX	- 0.45	HIINX
EXEYX	- 0.41	FMIEX
WTIBX	- 0.36	EXEYX

Risk-Adjusted Indicators

There is a big difference between Large Mutual Fund performing well and Large 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 Large 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
FMIEX	0.51	0.14	0.24	0.26	0.51	(0.60)	1.13	(1.08)	2.92
LSBRX	0.17	0.01	0.37	(0.29)	0.13	(0.22)	0.34	(0.34)	1.12
HIINX	0.66	0.13	0.18	0.14	0.78	(0.72)	1.36	(1.01)	5.39
EXEYX	0.76	(0.09)	0.00	(0.18)	0.00	0.00	1.19	(1.67)	4.39
WTIBX	0.24	0.04	0.41	0.51	0.08	(0.30)	0.54	(0.42)	1.42

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