Large Cap Correlations

SLCVX Fund

USD 31.34 0.07 0.22%

The current 90-days correlation between Large Cap Value and Ab Small Cap is 0.77 (i.e., Poor 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

Poor diversification

The correlation between Large Cap Value and DJI is 0.76 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Large Cap Value 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 Large 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 real.

Moving together with Large Mutual Fund

0.93	SABAX	Salient Alternative Beta	Pair Corr
0.93	SABIX	Aggressive Balanced	Pair Corr
0.93	SABCX	Salient Alternative Beta	Pair Corr
0.93	SAMAX	Moderately Aggressive	Pair Corr
0.93	SAMCX	Salient Mlp Fund	Pair Corr
0.93	SAMIX	Moderately Aggressive	Pair Corr
0.85	SSCCX	Small Capitalization	Pair Corr
0.86	SSCPX	Small Capitalization	Pair Corr
0.86	SSCYX	Small Capitalization	Pair Corr
0.92	SBCCX	Moderately Servative	Pair Corr
0.93	SBMCX	Moderate Balanced	Pair Corr
0.93	SBMIX	Moderate Balanced	Pair Corr
0.93	STPAX	Technology Communications	Pair Corr
0.93	STPCX	Technology Communications	Pair Corr
0.93	STPIX	Technology Communications	Pair Corr
0.89	SCAAX	Conservative Balanced	Pair Corr
0.89	SUMCX	Conservative Balanced	Pair Corr
0.8	SFPCX	Financial Services	Pair Corr
0.8	SFPAX	Financial Services	Pair Corr
0.8	SFPIX	Financial Services	Pair Corr
0.88	SLCGX	Large Capitalization	Pair Corr
0.88	SLGCX	Large Capitalization	Pair Corr
0.88	SLGYX	Large Capitalization	Pair Corr
1.0	SLVCX	Large Cap Value	Pair Corr
1.0	SLVYX	Large Cap Value	Pair Corr
0.93	SMACX	Moderately Conservative	Pair Corr

Moving against Large Mutual Fund

0.7	SIBPX	Investment Quality Bond	Pair Corr
0.41	SHPCX	Health Biotchnology	Pair Corr
0.4	SHPAX	Health Biotchnology	Pair Corr
0.39	SBHIX	Health Biotchnology	Pair Corr
0.72	SQBAX	Investment Quality Bond	Pair Corr
0.72	SQBCX	Investment Quality Bond	Pair Corr
0.63	SMBCX	Municipal Bond Portfolio	Pair Corr
0.58	SMBAX	Municipal Bond Portfolio	Pair Corr
0.55	SMBPX	Municipal Bond Portfolio	Pair Corr

Related Correlations Analysis

	SCYVX	QUAIX	GPSCX	RTOUX	CCMSX	FEODX	BOSVX
SCYVX		0.91	0.97	0.98	-0.06	0.92	0.99	SCYVX
QUAIX	0.91		0.9	0.97	-0.36	0.95	0.9	QUAIX
GPSCX	0.97	0.9		0.95	-0.11	0.86	0.95	GPSCX
RTOUX	0.98	0.97	0.95		-0.2	0.97	0.98	RTOUX
CCMSX	-0.06	-0.36	-0.11	-0.2		-0.2	-0.09	CCMSX
FEODX	0.92	0.95	0.86	0.97	-0.2		0.93	FEODX
BOSVX	0.99	0.9	0.95	0.98	-0.09	0.93		BOSVX
	SCYVX	QUAIX	GPSCX	RTOUX	CCMSX	FEODX	BOSVX

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

BOSVX	+ 0.99	SCYVX
RTOUX	+ 0.98	SCYVX
BOSVX	+ 0.98	RTOUX
GPSCX	+ 0.97	SCYVX
RTOUX	+ 0.97	QUAIX
FEODX	+ 0.97	RTOUX

High negative correlations

CCMSX	- 0.36	QUAIX
FEODX	- 0.2	CCMSX
CCMSX	- 0.2	RTOUX
CCMSX	- 0.11	GPSCX
BOSVX	- 0.09	CCMSX
CCMSX	- 0.06	SCYVX

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
SCYVX	0.92	(0.05)	0.00	0.08	0.93	(1.04)	1.95	(1.46)	7.36
QUAIX	0.94	0.02	0.05	0.13	1.03	(1.00)	1.92	(2.14)	6.76
GPSCX	1.08	0.06	0.07	0.16	1.10	(1.21)	2.33	(1.84)	5.55
RTOUX	0.80	(0.03)	0.01	0.09	0.84	(0.88)	1.78	(1.45)	6.26
CCMSX	0.15	(0.08)	0.00	(0.36)	0.00	0.00	0.07	(0.47)	3.44
FEODX	0.87	(0.07)	(0.02)	0.07	1.01	(0.95)	1.76	(1.41)	6.51
BOSVX	0.97	(0.07)	(0.01)	0.07	0.89	(1.15)	2.11	(1.62)	8.98

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