Small Cap Correlations

GSCZX Fund

USD 16.48 0.08 0.48%

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 0.73 (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 nation.

Moving together with Small Mutual Fund

0.84	GDMYX	Defensive Market Str	Pair Corr
0.84	GDMZX	Defensive Market Str	Pair Corr
0.93	GEIYX	Guidestone Growth Equity	Pair Corr
0.93	GEIZX	Guidestone Growth Equity	Pair Corr
0.91	GEQYX	Equity Index Institu	Pair Corr
0.92	GEQZX	Equity Index Investor	Pair Corr
0.95	GGEYX	Guidestone Fds Growth	Pair Corr
0.95	GGEZX	Growth Equity Investor	Pair Corr

Moving against Small Mutual Fund

0.72	GLDZX	Low Duration Bond	Pair Corr
0.68	GLDYX	Low Duration Bond	Pair Corr
0.59	GMDZX	Medium Duration Bond	Pair Corr
0.58	GMDYX	Medium Duration Bond	Pair Corr
0.55	GIIZX	Guidestone Funds Int	Pair Corr
0.53	GIEYX	International Equity	Pair Corr
0.53	GIIYX	International Equity	Pair Corr
0.52	GGBFX	Global Bond Fund	Pair Corr
0.51	GGBEX	Global Bond Fund	Pair Corr
0.49	GIEZX	International Equity	Pair Corr
0.38	GFSYX	Strategic Alternatives	Pair Corr
0.37	GFSZX	Strategic Alternatives	Pair Corr
0.61	GMBYX	Guidestone Funds	Pair Corr
0.61	GMBZX	Guidestone Funds	Pair Corr

Related Correlations Analysis

	LOGSX	BHSRX	PJHRX	PHSTX	GTHCX	GTHIX	XXGRX	PGHAX
LOGSX		0.64	0.28	0.73	0.63	0.64	0.91	0.73	LOGSX
BHSRX	0.64		-0.19	0.73	0.7	0.88	0.7	0.77	BHSRX
PJHRX	0.28	-0.19		0.33	0.33	0.14	0.2	0.26	PJHRX
PHSTX	0.73	0.73	0.33		0.71	0.74	0.71	1.0	PHSTX
GTHCX	0.63	0.7	0.33	0.71		0.94	0.71	0.71	GTHCX
GTHIX	0.64	0.88	0.14	0.74	0.94		0.73	0.76	GTHIX
XXGRX	0.91	0.7	0.2	0.71	0.71	0.73		0.71	XXGRX
PGHAX	0.73	0.77	0.26	1.0	0.71	0.76	0.71		PGHAX
	LOGSX	BHSRX	PJHRX	PHSTX	GTHCX	GTHIX	XXGRX	PGHAX

Click cells to compare fundamentals

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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

PGHAX	+ 1.0	PHSTX
GTHIX	+ 0.94	GTHCX
XXGRX	+ 0.91	LOGSX
GTHIX	+ 0.88	BHSRX
PGHAX	+ 0.77	BHSRX
PGHAX	+ 0.76	GTHIX

High negative correlations

PJHRX

- 0.19

BHSRX

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
LOGSX	0.69	(0.04)	0.00	0.43	0.00	0.00	1.18	(1.52)	3.69
BHSRX	0.64	0.05	0.10	0.01	0.75	(0.70)	1.32	(0.99)	3.74
PJHRX	1.08	(0.32)	0.00	0.62	0.00	0.00	1.79	(2.06)	14.08
PHSTX	0.68	(0.01)	0.00	(0.09)	0.00	0.00	1.34	(1.34)	4.12
GTHCX	0.84	(0.09)	0.00	(0.20)	0.00	0.00	1.26	(1.69)	9.65
GTHIX	0.76	(0.02)	0.00	(0.11)	0.00	0.00	1.25	(1.65)	4.99
XXGRX	0.79	(0.06)	0.00	0.53	0.00	0.00	1.51	(1.72)	4.62
PGHAX	0.67	0.00	0.00	(0.07)	0.00	0.00	1.33	(1.36)	4.12

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