Large Cap Correlations

GTLOX Fund

USD 26.39 0.05 0.19%

The current 90-days correlation between Large Cap E and Commonwealth Global Fund is 0.08 (i.e., Significant 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

Average diversification

The correlation between Large Cap E and DJI is 0.1 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Large Cap E 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 E. 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 persons.

Moving together with Large Mutual Fund

0.81	VTSAX	Vanguard Total Stock	Pair Corr
0.79	VFIAX	Vanguard 500 Index	Pair Corr
0.81	VTSMX	Vanguard Total Stock	Pair Corr
0.81	VITSX	Vanguard Total Stock	Pair Corr
0.81	VSMPX	Vanguard Total Stock	Pair Corr
0.81	VSTSX	Vanguard Total Stock	Pair Corr
0.79	VFINX	Vanguard 500 Index	Pair Corr
0.79	VFFSX	Vanguard 500 Index	Pair Corr
0.79	VINIX	Vanguard Institutional	Pair Corr
0.96	VIIIX	Vanguard Institutional	Pair Corr
0.8	KSOCX	Kinetics Small Cap	Pair Corr
0.77	KINAX	Kinetics Internet	Pair Corr
0.79	KNPCX	Kinetics Paradigm Steady Growth	Pair Corr
0.79	WWNPX	Kinetics Paradigm Steady Growth	Pair Corr
0.8	KSCYX	Kinetics Small Cap	Pair Corr
0.79	KNPAX	Kinetics Paradigm Steady Growth	Pair Corr
0.8	KSCOX	Kinetics Small Cap	Pair Corr
0.8	LSHUX	Horizon Spin Off Steady Growth	Pair Corr
0.77	KINCX	Kinetics Internet	Pair Corr
0.7	DIS	Walt Disney Sell-off Trend	Pair Corr
0.71	WMT	Walmart Aggressive Push	Pair Corr
0.8	CVX	Chevron Corp Sell-off Trend	Pair Corr
0.73	JPM	JPMorgan Chase Sell-off Trend	Pair Corr
0.65	HPQ	HP Inc	Pair Corr
0.7	INTC	Intel Fiscal Year End 23rd of January 2025	Pair Corr
0.83	AXP	American Express Fiscal Year End 24th of January 2025	Pair Corr
0.76	AA	Alcoa Corp Fiscal Year End 15th of January 2025	Pair Corr

Moving against Large Mutual Fund

0.62	MRK	Merck Company Fiscal Year End 6th of February 2025	Pair Corr
0.62	KO	Coca Cola Aggressive Push	Pair Corr
0.61	PFE	Pfizer Inc Aggressive Push	Pair Corr
0.39	BA	Boeing Fiscal Year End 29th of January 2025	Pair Corr

Related Correlations Analysis

	CNGLX	APDTX	EICVX	RYATX	PRNHX	SCYVX	AUERX
CNGLX		0.47	0.58	0.48	0.49	0.61	0.78	CNGLX
APDTX	0.47		0.88	0.95	0.85	0.8	0.83	APDTX
EICVX	0.58	0.88		0.84	0.88	0.89	0.8	EICVX
RYATX	0.48	0.95	0.84		0.89	0.82	0.78	RYATX
PRNHX	0.49	0.85	0.88	0.89		0.95	0.68	PRNHX
SCYVX	0.61	0.8	0.89	0.82	0.95		0.74	SCYVX
AUERX	0.78	0.83	0.8	0.78	0.68	0.74		AUERX
	CNGLX	APDTX	EICVX	RYATX	PRNHX	SCYVX	AUERX

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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	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
CNGLX	0.54	(0.10)	(0.15)	0.00	0.78	(0.52)	1.04	(1.18)	3.68
APDTX	0.78	0.05	0.02	0.18	1.01	(0.78)	1.73	(1.27)	5.07
EICVX	0.47	(0.01)	(0.13)	0.11	0.38	(0.56)	1.06	(0.71)	2.04
RYATX	0.74	(0.02)	(0.02)	0.11	1.06	(0.73)	1.55	(2.40)	5.13
PRNHX	0.76	0.04	0.05	0.16	0.96	(0.80)	1.80	(1.29)	6.84
SCYVX	0.91	(0.07)	(0.01)	0.08	0.93	(1.04)	1.95	(1.46)	7.36
AUERX	0.72	(0.08)	(0.08)	0.05	0.97	(0.76)	1.62	(1.45)	4.29

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