Small Cap Correlations

Mutual Funds . USA . 
Fund . Small Cap Value
JSCAX Fund  USD 17.99  0.07  0.39%   
The current 90-days correlation between Small Cap Value and Regional Bank Fund is 0.04 (i.e., Significant 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 Value and DJI is 0.87 (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 Value 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 Value. 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 nation.

Moving together with Small Mutual Fund

  0.85FRBAX Regional BankPairCorr
  0.85FRBCX Regional BankPairCorr
  0.77JQLBX Multimanager LifestylePairCorr
  0.76JQLAX Multimanager LifestylePairCorr
  0.84JQLGX Multimanager LifestylePairCorr
  0.85JRBFX Regional BankPairCorr
  0.74JRETX J Hancock IiPairCorr
  0.85JRGRX Regional BankPairCorr
  0.82JRLQX Retirement Living ThroughPairCorr
  0.82JRLUX Multi Index 2045PairCorr
  0.83JRLWX Retirement Living ThroughPairCorr
  0.82JRLVX Retirement Living ThroughPairCorr
  0.83JRLZX Retirement Living ThroughPairCorr
  0.86JROUX J Hancock IiPairCorr
  0.83JRODX J Hancock IiPairCorr
  0.71JAAFX Jhancock Multi IndexPairCorr
  0.7JAAKX Jhancock Multi IndexPairCorr
  0.7JAAPX Alternative AssetPairCorr
  0.68JRTGX Retirement Living ThroughPairCorr
  0.71JAASX Alternative AssetPairCorr
  0.68JRTIX Multi Index 2030PairCorr
  0.74JAAVX Jhancock MultimanagerPairCorr
  0.63JRTKX Retirement Living ThroughPairCorr

Related Correlations Analysis

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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
FRBAX  1.25  0.12  0.06  0.85  1.39 
(1.54)
 2.76 
(2.89)
 15.75 
FRBCX  1.24  0.11  0.06  0.86  1.37 
(1.54)
 2.74 
(2.93)
 15.70 
JQLMX  0.26 (0.04) 0.00 (0.10) 0.00 
 0.00 
 0.56 
(0.56)
 2.15 
JQLBX  0.34 (0.03) 0.00 (0.04) 0.00 
 0.00 
 0.66 
(0.65)
 3.06 
JQLAX  0.51 (0.01)(0.04)(0.04) 0.71 
(0.53)
 1.07 
(0.92)
 3.11 
JQLCX  0.17 (0.03) 0.00 (0.17) 0.00 
 0.00 
 0.34 
(0.34)
 1.42 
JQLGX  0.43 (0.02)(0.05)(0.02) 0.61 
(0.46)
 0.90 
(0.76)
 3.86 
JRBFX  1.24  0.12  0.06  0.88  1.37 
(1.54)
 2.73 
(2.93)
 15.74 
JRETX  0.50  0.01 (0.01) 0.17  0.67 
(0.56)
 1.07 
(0.91)
 3.08 
JRGRX  1.24  0.12  0.06  0.84  1.36 
(1.54)
 2.76 
(2.89)
 15.70 

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