Large Cap Correlations

FMIQX Fund

USD 14.52 0.03 0.21%

The current 90-days correlation between Large Cap Fund and Wesmark Government Bond is 0.18 (i.e., Average 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

Poor diversification

The correlation between Large Cap Fund and DJI is 0.79 (i.e., Poor 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 producer price index.

Moving together with Large Mutual Fund

0.76	FMIYX	International Fund	Pair Corr
0.63	FMIMX	Common Stock	Pair Corr
0.61	VTSAX	Vanguard Total Stock	Pair Corr
0.63	VFIAX	Vanguard 500 Index	Pair Corr
0.61	VTSMX	Vanguard Total Stock	Pair Corr
0.67	VITSX	Vanguard Total Stock	Pair Corr
0.67	VSMPX	Vanguard Total Stock	Pair Corr
0.62	VSTSX	Vanguard Total Stock	Pair Corr
0.69	VFINX	Vanguard 500 Index	Pair Corr
0.69	VFFSX	Vanguard 500 Index	Pair Corr
0.63	VINIX	Vanguard Institutional	Pair Corr
0.63	VIIIX	Vanguard Institutional	Pair Corr
0.63	IFACX	Income Fund	Pair Corr
0.66	BACPX	Blackrock Conservative	Pair Corr

Moving against Large Mutual Fund

0.37	PQTAX	Pimco Trends Managed	Pair Corr
0.37	PQTNX	Pimco Trends Managed	Pair Corr
0.37	PQTIX	Aa Pimco Tr	Pair Corr
0.66	ABQYX	Ab Intermediate Bond	Pair Corr

Related Correlations Analysis

	WMBDX	ATOAX	AMHIX	GCMVX	PBCAX
WMBDX		0.77	0.89	0.91	0.85	WMBDX
ATOAX	0.77		0.66	0.72	0.67	ATOAX
AMHIX	0.89	0.66		0.99	0.99	AMHIX
GCMVX	0.91	0.72	0.99		0.98	GCMVX
PBCAX	0.85	0.67	0.99	0.98		PBCAX
	WMBDX	ATOAX	AMHIX	GCMVX	PBCAX

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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
WMBDX	0.25	0.02	0.25	0.50	0.23	(0.31)	0.63	(0.51)	1.43
ATOAX	0.02	0.00	0.00	(0.07)	0.00	0.00	0.00	0.00	0.30
AMHIX	0.19	(0.01)	0.00	(0.29)	0.00	0.00	0.40	(0.46)	1.12
GCMVX	0.10	(0.01)	0.00	(0.45)	0.00	0.00	0.20	(0.30)	0.60
PBCAX	0.11	(0.01)	0.00	(0.33)	0.00	0.00	0.30	(0.31)	0.82

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