Small Cap Correlations

Mutual Funds USA . 
Fund . Small Cap Equity
GTCSX Fund  USD 29.73  0.13  0.44%   
The current 90-days correlation between Small Cap Equity and Large Cap Growth is 0.76 (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

Very poor diversification

The correlation between Small Cap Equity and DJI is 0.81 (i.e., Very 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 state.

Moving together with Small Mutual Fund

  0.81GWILX Woman In LeadershipPairCorr
  0.95RESGX Responsible Esg EquityPairCorr
  0.84GLSOX Secured Options PortfolioPairCorr
  0.73GQLVX Quantitative U SPairCorr
  0.99GQSCX Quantitative U SPairCorr
  0.79GTAPX Long/short PortfolioPairCorr
  0.86GTCEX Strategic Equity PorPairCorr
  0.9GTILX Large Cap GrowthPairCorr
  0.9GTLIX Large Cap CorePairCorr
  0.92GTLLX Large Cap GrowthPairCorr
  0.91GTLOX Large Cap EPairCorr
  0.85GTSOX Secured Options PortfolioPairCorr
  1.0GTSCX Small Cap EquityPairCorr
  0.79GTTMX Total Market PortfolioPairCorr
  0.77VSMAX Vanguard Small CapPairCorr
  0.77VSCIX Vanguard Small CapPairCorr
  0.99VSCPX Vanguard Small CapPairCorr
  0.99NAESX Vanguard Small CapPairCorr
  0.99FSSNX Fidelity Small CapPairCorr
  0.99DFSTX Us Small CapPairCorr
  0.71PASVX T Rowe PricePairCorr
  0.97PRVIX T Rowe PricePairCorr
  0.92TRZVX T Rowe PricePairCorr
  0.62PRSVX T Rowe PricePairCorr
  0.63SPGSX State Street PremierPairCorr

Moving against Small Mutual Fund

  0.71GTCIX International PortfolioPairCorr
  0.95RYARX Inverse Sp 500PairCorr
  0.76VIITX Vanguard InstitutionalPairCorr
  0.72TGROX Tiaa Cref GreenPairCorr
  0.57FITFX Fidelity Flex InternPairCorr
  0.54PEBIX Emerging Markets BondPairCorr
  0.52JMKIX Emerging Markets DebtPairCorr
  0.51BRUFX Bruce Fund BrucePairCorr
  0.45KF Korea ClosedPairCorr

Related Correlations Analysis

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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   
GTLOX
+ 0.98
GTLLX
LGILX
+ 0.94
GTLLX
LGILX
+ 0.9
GTLOX
GTLOX
+ 0.88
PQIAX
PQIAX
+ 0.83
GTLLX
LGILX
+ 0.62
PQIAX
  
High negative correlations   
LGILX
- 0.51
LISOX
LISOX
- 0.3
GTLLX
GTLOX
- 0.26
LISOX

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.

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