Large Cap Correlations

GTILX Fund

USD 25.89 0.06 0.23%

The current 90-days correlation between Large Cap Growth and Doubleline Global Bond is -0.05 (i.e., Good 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

Good diversification

The correlation between Large Cap Growth and DJI is -0.07 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Large Cap Growth 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 Large Cap Growth. 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 bureau of economic analysis.

Moving together with Large Mutual Fund

0.96	GWILX	Woman In Leadership	Pair Corr
0.93	RESGX	Responsible Esg Equity	Pair Corr
0.84	GLSOX	Secured Options Portfolio	Pair Corr
0.82	GQLVX	Quantitative U S	Pair Corr
0.86	GQSCX	Quantitative U S	Pair Corr
0.88	GTAPX	Long/short Portfolio	Pair Corr
0.96	GTCEX	Strategic Equity Por	Pair Corr
0.9	GTCSX	Small Cap Equity	Pair Corr
0.93	GTLIX	Large Cap Core	Pair Corr
0.94	GTLLX	Large Cap Growth	Pair Corr
0.93	GTLOX	Large Cap E	Pair Corr
0.84	GTSOX	Secured Options Portfolio	Pair Corr
0.9	GTSCX	Small Cap Equity	Pair Corr
0.88	GTTMX	Total Market Portfolio	Pair Corr
0.84	AGTHX	Growth Fund	Pair Corr
0.76	VTSAX	Vanguard Total Stock	Pair Corr
0.81	VFIAX	Vanguard 500 Index	Pair Corr
0.76	VTSMX	Vanguard Total Stock	Pair Corr
0.81	VSMPX	Vanguard Total Stock	Pair Corr
0.81	VSTSX	Vanguard Total Stock	Pair Corr
0.81	VITSX	Vanguard Total Stock	Pair Corr
0.81	VFINX	Vanguard 500 Index	Pair Corr
0.81	VFFSX	Vanguard 500 Index	Pair Corr

Moving against Large Mutual Fund

0.49	GTCIX	International Portfolio	Pair Corr
0.55	VIITX	Vanguard Institutional	Pair Corr
0.41	CPRSX	Clarion Partners Real	Pair Corr
0.36	VGPMX	Vanguard Global Capital	Pair Corr
0.35	REEAX	Rbc Emerging Markets	Pair Corr

Related Correlations Analysis

	DLGBX	OWLSX	PHJDX	FGFAX	PAGLX	DBIWX	PBLIX	PRSAX
DLGBX		-0.22	-0.04	0.93	-0.36	0.79	0.16	0.95	DLGBX
OWLSX	-0.22		0.74	-0.22	0.72	0.12	0.73	-0.21	OWLSX
PHJDX	-0.04	0.74		0.0	0.93	0.38	0.85	0.02	PHJDX
FGFAX	0.93	-0.22	0.0		-0.29	0.88	0.27	0.93	FGFAX
PAGLX	-0.36	0.72	0.93	-0.29		0.11	0.72	-0.28	PAGLX
DBIWX	0.79	0.12	0.38	0.88	0.11		0.63	0.86	DBIWX
PBLIX	0.16	0.73	0.85	0.27	0.72	0.63		0.25	PBLIX
PRSAX	0.95	-0.21	0.02	0.93	-0.28	0.86	0.25		PRSAX
	DLGBX	OWLSX	PHJDX	FGFAX	PAGLX	DBIWX	PBLIX	PRSAX

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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

PRSAX	+ 0.95	DLGBX
FGFAX	+ 0.93	DLGBX
PAGLX	+ 0.93	PHJDX
PRSAX	+ 0.93	FGFAX
DBIWX	+ 0.88	FGFAX
PRSAX	+ 0.86	DBIWX

High negative correlations

PAGLX	- 0.36	DLGBX
PAGLX	- 0.29	FGFAX
PRSAX	- 0.28	PAGLX
FGFAX	- 0.22	OWLSX
OWLSX	- 0.22	DLGBX
PRSAX	- 0.21	OWLSX

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
DLGBX	0.23	0.01	0.25	0.21	0.22	(0.29)	0.49	(0.49)	1.23
OWLSX	0.81	(0.16)	0.00	0.67	0.00	0.00	1.20	(1.79)	5.42
PHJDX	0.72	(0.02)	0.00	(0.10)	0.00	0.00	1.23	(1.42)	4.17
FGFAX	0.80	0.11	0.17	(0.97)	0.97	(0.86)	1.79	(1.64)	5.93
PAGLX	0.75	(0.03)	0.00	(0.10)	0.00	0.00	1.11	(1.62)	4.65
DBIWX	0.26	0.01	0.18	(0.13)	0.34	(0.28)	0.48	(0.58)	1.77
PBLIX	0.65	(0.05)	0.00	0.22	0.00	0.00	1.13	(1.35)	3.78
PRSAX	0.15	0.01	0.39	0.18	0.07	(0.23)	0.40	(0.30)	0.81

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