Small Cap Correlations

SCRSX Fund

USD 11.02 0.07 0.63%

The current 90-days correlation between Small Cap Core and Ashmore Emerging Markets is -0.09 (i.e., Good 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

Poor diversification

The correlation between Small Cap Core and DJI is 0.72 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Small Cap Core and DJI in the same portfolio, assuming nothing else is changed.

Check out World Market Map to better understand how to build diversified portfolios, which includes a position in Small 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 state.

Moving together with Small Mutual Fund

0.98	SCAVX	Ab Small Cap	Pair Corr
0.98	SCCVX	Ab Small Cap	Pair Corr
1.0	SCRYX	Small Cap Core	Pair Corr
1.0	SCRZX	Small Cap Core	Pair Corr
0.98	SCYVX	Ab Small Cap	Pair Corr
0.95	APGZX	Ab Large Cap	Pair Corr
0.95	APGYX	Ab Large Cap	Pair Corr
0.95	APGAX	Ab Large Cap	Pair Corr
0.96	APGCX	Ab Large Cap	Pair Corr

Moving against Small Mutual Fund

0.65	ANBIX	Ab Bond Inflation	Pair Corr
0.41	ANAZX	Ab Global Bond	Pair Corr
0.41	ANAGX	Ab Global Bond	Pair Corr
0.38	ANAYX	Ab Global Bond	Pair Corr
0.37	ANAIX	Ab Global Bond	Pair Corr
0.33	AMNAX	Ab Minnesota Portfolio	Pair Corr
0.32	ANIAX	New York Municipal	Pair Corr
0.31	ANACX	Ab Global Bond	Pair Corr
0.54	STHAX	Ab Sustainable Thematic	Pair Corr
0.54	STHYX	Ab Sustainable Thematic	Pair Corr
0.48	STEYX	International Strategic	Pair Corr
0.48	STEZX	International Strategic	Pair Corr
0.48	STESX	International Strategic	Pair Corr
0.48	APAAX	Ab Pennsylvania Portfolio	Pair Corr
0.43	APACX	Ab Pennsylvania Portfolio	Pair Corr
0.31	ANIYX	New York Municipal	Pair Corr

Related Correlations Analysis

	ESFAX	JAFWX	NWJVX	VSBIX	SIGZX	FOSIX
ESFAX		0.76	0.87	0.82	0.88	0.8	ESFAX
JAFWX	0.76		0.94	0.96	0.91	0.98	JAFWX
NWJVX	0.87	0.94		0.97	0.97	0.96	NWJVX
VSBIX	0.82	0.96	0.97		0.95	0.96	VSBIX
SIGZX	0.88	0.91	0.97	0.95		0.96	SIGZX
FOSIX	0.8	0.98	0.96	0.96	0.96		FOSIX
	ESFAX	JAFWX	NWJVX	VSBIX	SIGZX	FOSIX

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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 Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
ESFAX	0.16	0.04	0.34	1.51	(0.25)	0.41	(0.21)	1.04
JAFWX	0.10	0.01	0.49	(0.36)	(0.15)	0.26	(0.26)	0.61
NWJVX	0.08	0.01	0.68	0.92	(0.14)	0.20	(0.10)	0.61
VSBIX	0.06	0.01	0.94	6.53	(0.08)	0.16	(0.12)	0.33
SIGZX	0.06	0.01	0.79	(1.80)	(0.17)	0.10	(0.10)	0.61
FOSIX	0.10	0.00	0.46	(0.14)	(0.17)	0.22	(0.11)	0.66

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