Large Cap Correlations

GTLIX Fund

USD 19.82 0.04 0.20%

The current 90-days correlation between Large Cap Core and Large Cap E is 1.0 (i.e., No risk reduction). 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

Very poor diversification

The correlation between Large Cap Core and DJI is 0.83 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Large Cap Core 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 Core. 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 gross domestic product.

Moving together with Large Mutual Fund

0.94	RESGX	Responsible Esg Equity	Pair Corr
0.87	GQLVX	Quantitative U S	Pair Corr
0.84	GQSCX	Quantitative U S	Pair Corr
0.93	GTAPX	Long/short Portfolio	Pair Corr
0.97	GTCEX	Strategic Equity Por	Pair Corr
0.89	GTCSX	Small Cap Equity	Pair Corr
0.98	GTLLX	Large Cap Growth	Pair Corr
0.95	GTLOX	Large Cap E	Pair Corr
0.64	VVIAX	Vanguard Value Index	Pair Corr
0.64	VIVAX	Vanguard Value Index	Pair Corr

Moving against Large Mutual Fund

0.42	GTCIX	International Portfolio	Pair Corr
0.72	RYUHX	Inverse Sp 500	Pair Corr
0.49	NWJJX	Nationwide Highmark Bond	Pair Corr
0.58	ABQYX	Ab Intermediate Bond	Pair Corr
0.48	GIGGX	Deutsche Gnma	Pair Corr
0.44	SNGYX	Sit Government Securities	Pair Corr

Related Correlations Analysis

	GTLOX	PCCOX	PFPWX	SDLAX	FMSTX
GTLOX		0.89	0.96	0.97	0.75	GTLOX
PCCOX	0.89		0.82	0.9	0.56	PCCOX
PFPWX	0.96	0.82		0.94	0.86	PFPWX
SDLAX	0.97	0.9	0.94		0.72	SDLAX
FMSTX	0.75	0.56	0.86	0.72		FMSTX
	GTLOX	PCCOX	PFPWX	SDLAX	FMSTX

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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	Treynor Ratio	Potential Upside	Value @Risk	Maximum Drawdown
GTLOX	0.71	(0.01)	(0.08)	1.24	(1.74)	3.39
PCCOX	0.81	(0.10)	2.29	1.28	(1.81)	4.71
PFPWX	0.69	0.03	(0.04)	1.44	(1.59)	3.64
SDLAX	0.80	(0.01)	(0.09)	1.43	(1.89)	4.55
FMSTX	0.64	0.03	(0.03)	1.22	(1.58)	3.21

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