Small Cap Correlations

Mutual Funds . USA . 
Fund . Small Cap Growth
JSJFX Fund  USD 17.44  0.07  0.40%   
The current 90-days correlation between Small Cap Growth and Regional Bank Fund is 0.72 (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 weak diversification

The correlation between Small Cap Growth and DJI is 0.4 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Small 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 Small 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 census.

Moving together with SMALL Mutual Fund

  0.92FRBAX Regional BankPairCorr
  0.92FRBCX Regional BankPairCorr
  0.86JQLMX Multimanager LifestylePairCorr
  0.89JQLBX Multimanager LifestylePairCorr
  0.91JQLAX Multimanager LifestylePairCorr
  0.82JQLCX Multimanager LifestylePairCorr
  0.91JQLGX Multimanager LifestylePairCorr
  0.92JRBFX Regional BankPairCorr
  0.87JRETX J Hancock IiPairCorr
  0.92JRGRX Regional BankPairCorr
  0.84JRLDX Retirement Living ThroughPairCorr
  0.84JRLFX Multi Index 2010PairCorr
  0.86JRLIX Retirement Living ThroughPairCorr
  0.84JRLHX Retirement Living ThroughPairCorr
  0.85JRLKX Multi Index 2015PairCorr
  0.85JRLLX Retirement Living ThroughPairCorr
  0.87JRLOX Retirement Living ThroughPairCorr
  0.85JRLQX Retirement Living ThroughPairCorr
  0.86JRLPX Multi Index 2020PairCorr
  0.85JRLUX Multi Index 2045PairCorr
  0.84JRLWX Retirement Living ThroughPairCorr
  0.85JRLVX Retirement Living ThroughPairCorr
  0.84JRLZX Retirement Living ThroughPairCorr
  0.87JROUX J Hancock IiPairCorr
  0.84JRODX J Hancock IiPairCorr
  0.85JAAFX Jhancock Multi IndexPairCorr
  0.85JAAJX Jhancock Multi IndexPairCorr
  0.85JAAKX Jhancock Multi IndexPairCorr
  0.87JRTBX Retirement Living ThroughPairCorr
  0.86JRTAX Retirement Living ThroughPairCorr
  0.88JRTDX Multi Index 2025PairCorr
  0.88JRTGX Retirement Living ThroughPairCorr
  0.88JRTFX Retirement Living ThroughPairCorr
  0.88JRTIX Multi Index 2030PairCorr
  0.87JAAVX Jhancock MultimanagerPairCorr
  0.88JRTKX 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  1.28  0.00  0.00  0.03  1.72 
(1.53)
 2.74 
(2.91)
 18.11 
FRBCX  1.28 (0.01)(0.01) 0.01  1.77 
(1.53)
 2.75 
(2.94)
 18.58 
JQLMX  0.27 (0.02) 0.00 (0.13) 0.00 
 0.00 
 0.57 
(0.57)
 2.02 
JQLBX  0.35 (0.02) 0.00 (0.08) 0.00 
 0.00 
 0.66 
(0.73)
 2.73 
JQLAX  0.53 (0.04) 0.00 (0.09) 0.00 
 0.00 
 0.90 
(1.29)
 4.36 
JQLCX  0.18 (0.02) 0.00 (0.16) 0.00 
 0.00 
 0.34 
(0.51)
 1.44 
JQLGX  0.46 (0.03) 0.00 (0.09) 0.00 
 0.00 
 0.79 
(1.20)
 3.71 
JRBFX  1.27  0.01  0.00  0.03  1.72 
(1.53)
 2.72 
(2.91)
 18.14 
JRETX  0.54 (0.03) 0.00 (0.08) 0.00 
 0.00 
 1.03 
(1.37)
 4.32 
JRGRX  1.27  0.01  0.00  0.03  1.72 
(1.53)
 2.75 
(2.88)
 18.14 

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