Small Cap Correlations

GSCYX Fund

USD 16.68 0.09 0.54%

The current 90-days correlation between Small Cap Equity and Ivy Natural Resources is 0.78 (i.e., Poor 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

Poor diversification

The correlation between Small Cap Equity 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 Equity and DJI in the same portfolio, assuming nothing else is changed.

Check out Risk vs Return Analysis to better understand how to build diversified portfolios, which includes a position in Small Cap Equity. 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 manufacturing.

Moving together with Small Mutual Fund

0.94	GEIYX	Guidestone Growth Equity	Pair Corr
0.94	GEIZX	Guidestone Growth Equity	Pair Corr
1.0	VSMAX	Vanguard Small Cap	Pair Corr
1.0	VSCIX	Vanguard Small Cap	Pair Corr
0.8	VSCPX	Vanguard Small Cap	Pair Corr
0.8	NAESX	Vanguard Small Cap	Pair Corr
0.8	FSSNX	Fidelity Small Cap	Pair Corr
0.8	DFSTX	Us Small Cap	Pair Corr
0.98	PASVX	T Rowe Price	Pair Corr
0.8	PRVIX	T Rowe Price	Pair Corr
0.8	TRZVX	T Rowe Price	Pair Corr
0.98	PRSVX	T Rowe Price	Pair Corr
0.94	VTSAX	Vanguard Total Stock	Pair Corr
0.92	VFIAX	Vanguard 500 Index	Pair Corr
0.94	VTSMX	Vanguard Total Stock	Pair Corr
0.94	VSMPX	Vanguard Total Stock	Pair Corr
0.94	VSTSX	Vanguard Total Stock	Pair Corr
0.94	VITSX	Vanguard Total Stock	Pair Corr
0.92	VFINX	Vanguard 500 Index	Pair Corr
0.92	VFFSX	Vanguard 500 Index	Pair Corr

Moving against Small Mutual Fund

0.67	GMBZX	Guidestone Funds	Pair Corr
0.66	GMBYX	Guidestone Funds	Pair Corr
0.64	GMDYX	Medium Duration Bond	Pair Corr
0.52	GIEYX	International Equity	Pair Corr
0.7	USGDX	Morgan Stanley Government	Pair Corr
0.65	ABNOX	Ab Bond Inflation	Pair Corr
0.53	HRBDX	Harbor Bond Fund	Pair Corr
0.51	VGTSX	Vanguard Total Inter	Pair Corr
0.51	VTIAX	Vanguard Total Inter	Pair Corr
0.49	VICSX	Vanguard Intermediate-ter	Pair Corr
0.44	GIOIX	Guggenheim Macro Opp	Pair Corr
0.43	UTF	Cohen And Steers	Pair Corr
0.41	DLDFX	Destinations Low Duration	Pair Corr
0.41	SGDLX	Sprott Gold Equity	Pair Corr
0.39	HTD	John Hancock Tax	Pair Corr

Related Correlations Analysis

	INRSX	VENAX	PEO	HNRGX	IEFCX	GLEAX	TREIX
INRSX		0.85	0.76	0.86	0.82	0.84	-0.01	INRSX
VENAX	0.85		0.96	0.99	0.98	0.93	0.31	VENAX
PEO	0.76	0.96		0.96	0.97	0.89	0.48	PEO
HNRGX	0.86	0.99	0.96		0.99	0.94	0.37	HNRGX
IEFCX	0.82	0.98	0.97	0.99		0.92	0.46	IEFCX
GLEAX	0.84	0.93	0.89	0.94	0.92		0.35	GLEAX
TREIX	-0.01	0.31	0.48	0.37	0.46	0.35		TREIX
	INRSX	VENAX	PEO	HNRGX	IEFCX	GLEAX	TREIX

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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

HNRGX	+ 0.99	VENAX
IEFCX	+ 0.99	HNRGX
IEFCX	+ 0.98	VENAX
IEFCX	+ 0.97	PEO
PEO	+ 0.96	VENAX
HNRGX	+ 0.96	PEO

High negative correlations

TREIX

- 0.01

INRSX

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
INRSX	0.94	0.03	0.00	(0.03)	0.00	0.00	1.70	(2.07)	5.43
VENAX	1.01	0.08	0.07	0.07	1.51	(0.91)	2.08	(2.51)	6.05
PEO	0.87	0.09	0.10	0.14	1.20	(0.77)	1.79	(1.87)	5.71
HNRGX	0.91	0.09	0.08	0.09	1.40	(0.83)	1.80	(2.30)	5.81
IEFCX	0.88	0.09	0.09	0.10	1.26	(0.80)	1.54	(2.20)	5.65
GLEAX	1.05	0.11	0.09	0.11	1.39	(1.07)	1.92	(2.42)	6.59
TREIX	0.07	0.02	0.53	2.63	0.00	(0.13)	0.20	(0.10)	0.60

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