Small Cap Correlations
| GSCZX Fund | USD 16.58 0.24 1.43% |
The current 90-days correlation between Small Cap Equity and Alpine Ultra Short is 0.12 (i.e., Average 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
Modest diversification
The correlation between Small Cap Equity and DJI is 0.24 (i.e., Modest 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.
Small |
Moving together with Small Mutual Fund
Moving against Small Mutual Fund
Related Correlations Analysis
| 0.91 | 0.8 | 0.94 | 0.98 | 0.59 | ATOAX | ||
| 0.91 | 0.84 | 0.92 | 0.92 | 0.67 | ESFCX | ||
| 0.8 | 0.84 | 0.9 | 0.88 | 0.92 | OWSBX | ||
| 0.94 | 0.92 | 0.9 | 0.97 | 0.76 | FUEMX | ||
| 0.98 | 0.92 | 0.88 | 0.97 | 0.7 | SUSAX | ||
| 0.59 | 0.67 | 0.92 | 0.76 | 0.7 | JAFWX | ||
| Click cells to compare fundamentals | Check Volatility | Backtest Portfolio |
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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| ATOAX | 0.02 | 0.00 | 0.00 | (0.53) | 0.00 | 0.00 | 0.30 | |||
| ESFCX | 0.16 | 0.05 | 0.30 | 0.32 | 0.00 | 0.43 | 1.09 | |||
| OWSBX | 0.08 | 0.02 | 0.83 | (0.52) | 0.00 | 0.20 | 0.50 | |||
| FUEMX | 0.05 | 0.00 | 0.00 | 0.00 | 0.00 | 0.20 | 0.50 | |||
| SUSAX | 0.06 | 0.01 | 0.93 | (0.66) | 0.00 | 0.10 | 0.51 | |||
| JAFWX | 0.09 | 0.02 | 0.63 | 0.32 | 0.00 | 0.18 | 0.61 |