Royce Small-cap Correlations

RYVFX Fund

USD 11.41 0.07 0.61%

The current 90-days correlation between Royce Small Cap and Royce Micro Cap Fund is 0.93 (i.e., Almost no diversification). The correlation of Royce 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.

Royce Small-cap Correlation With Market

Very poor diversification

The correlation between Royce Small Cap Value 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 Royce Small Cap Value and DJI in the same portfolio, assuming nothing else is changed.

Check out Your Equity Center to better understand how to build diversified portfolios, which includes a position in Royce 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 census.

Moving together with Royce Mutual Fund

0.97	RPFFX	Royce Premier	Pair Corr
0.96	RSEFX	Royce Special Equity	Pair Corr
1.0	RVVHX	Royce Small Cap	Pair Corr
0.93	RYDVX	Royce Dividend Value	Pair Corr
0.9	RYOFX	Royce Opportunity	Pair Corr
0.97	RYOTX	Royce Micro Cap	Pair Corr
0.99	RYPFX	Royce Pennsylvania Mutual	Pair Corr
0.97	RYPRX	Royce Premier	Pair Corr
0.9	RYPNX	Royce Opportunity	Pair Corr
0.96	RYSEX	Royce Special Equity	Pair Corr
0.96	RYTFX	Royce Total Return	Pair Corr
0.96	RYTRX	Royce Total Return	Pair Corr
0.9	RYVPX	Royce Smaller Companies	Pair Corr
0.97	RMCFX	Royce Micro Cap	Pair Corr
0.99	PENNX	Royce Pennsylvania Mutual	Pair Corr
0.9	VSIIX	Vanguard Small Cap	Pair Corr
0.96	VISVX	Vanguard Small Cap	Pair Corr
0.97	DFSVX	Us Small Cap	Pair Corr
0.9	DFFVX	Us Targeted Value	Pair Corr
0.87	UBVCX	Undiscovered Managers	Pair Corr
0.87	UBVAX	Undiscovered Managers	Pair Corr
0.96	UBVSX	Undiscovered Managers	Pair Corr
0.97	AVFIX	American Beacon Small	Pair Corr
0.82	LSHUX	Horizon Spin Off	Pair Corr
0.83	LSHCX	Horizon Spin Off Potential Growth	Pair Corr
0.83	OSPPX	Oppenheimer Steelpath Mlp	Pair Corr
0.83	SPMPX	Invesco Steelpath Mlp	Pair Corr
0.83	LSHEX	Kinetics Spin Off Potential Growth	Pair Corr
0.83	SPMJX	Invesco Steelpath Mlp	Pair Corr
0.82	KNPCX	Kinetics Paradigm	Pair Corr
0.82	LSHAX	Horizon Spin Off	Pair Corr
0.82	WWNPX	Kinetics Paradigm	Pair Corr
0.82	KNPYX	Kinetics Paradigm	Pair Corr
0.82	VFIAX	Vanguard 500 Index	Pair Corr
0.82	VFINX	Vanguard 500 Index	Pair Corr
0.76	BDJ	Blackrock Enhanced Equity	Pair Corr

Moving against Royce Mutual Fund

0.64	PFE	Pfizer Inc Fiscal Year End 4th of February 2025	Pair Corr
0.62	KO	Coca Cola Fiscal Year End 11th of February 2025	Pair Corr
0.59	MRK	Merck Company Fiscal Year End 6th of February 2025	Pair Corr
0.47	BA	Boeing Fiscal Year End 29th of January 2025	Pair Corr

Related Correlations Analysis

	RYOTX	RYTRX	RYSEX	LLPFX	MVALX
RYOTX		0.98	0.95	0.77	0.96	RYOTX
RYTRX	0.98		0.98	0.81	0.97	RYTRX
RYSEX	0.95	0.98		0.81	0.93	RYSEX
LLPFX	0.77	0.81	0.81		0.83	LLPFX
MVALX	0.96	0.97	0.93	0.83		MVALX
	RYOTX	RYTRX	RYSEX	LLPFX	MVALX

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Risk-Adjusted Indicators

There is a big difference between Royce Mutual Fund performing well and Royce 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 Royce 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 Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
RYOTX	1.08	(0.04)	0.02	0.09	1.16	(1.23)	2.41	(1.87)	7.13
RYTRX	0.91	0.00	0.05	0.11	0.80	(1.17)	2.20	(1.64)	7.14
RYSEX	0.75	(0.03)	0.00	0.09	0.77	(0.87)	1.73	(1.31)	7.47
LLPFX	0.55	0.00	(0.05)	0.11	0.57	(0.62)	1.05	(1.20)	3.15
MVALX	0.73	0.03	0.05	0.14	0.72	(0.78)	1.47	(1.32)	4.48

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