Small Capitalization Correlations

SSCCX Fund

USD 0.34 0.01 3.03%

The correlation of Small Capitalization 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 Capitalization Correlation With Market

Poor diversification

The correlation between Small Capitalization Portfolio and DJI is 0.64 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Small Capitalization Portfolio 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 Capitalization Portfolio. 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 main economic indicators.

Moving together with Small Mutual Fund

0.86	SABIX	Aggressive Balanced	Pair Corr
0.87	SABCX	Salient Alternative Beta	Pair Corr
0.85	SAMAX	Moderately Aggressive	Pair Corr
0.87	SAMCX	Salient Mlp Fund	Pair Corr
0.85	SAMIX	Moderately Aggressive	Pair Corr
0.99	SSCPX	Small Capitalization	Pair Corr
0.99	SSCYX	Small Capitalization	Pair Corr
0.87	SBCCX	Moderately Conservative	Pair Corr
0.87	SBMCX	Moderate Balanced	Pair Corr
0.85	SBMIX	Moderate Balanced	Pair Corr
0.92	STPAX	Technology Communications	Pair Corr
0.92	STPCX	Technology Communications	Pair Corr
0.85	STPIX	Technology Communications	Pair Corr
0.78	SUMCX	Conservative Balanced	Pair Corr
0.62	SFPIX	Financial Services	Pair Corr
0.91	SLCGX	Large Capitalization	Pair Corr
0.74	SLCVX	Large Cap Value	Pair Corr
0.91	SLGCX	Large Capitalization	Pair Corr
0.91	SLGYX	Large Capitalization	Pair Corr
0.76	SLVCX	Large Cap Value	Pair Corr
0.75	SLVYX	Large Cap Value	Pair Corr
0.85	SMICX	Moderately Servative	Pair Corr
0.93	SMIPX	Mid Capitalization	Pair Corr
0.85	SMPAX	Moderate Balanced	Pair Corr
0.74	LUNAX	Conservative Balanced	Pair Corr
0.93	SPMAX	Mid Capitalization	Pair Corr
0.93	SPMCX	Mid Capitalization	Pair Corr

Moving against Small Mutual Fund

0.82	SIBPX	Investment Quality Bond	Pair Corr
0.81	SQBAX	Investment Quality Bond	Pair Corr
0.8	SQBCX	Investment Quality Bond	Pair Corr
0.78	SIEYX	International Equity	Pair Corr
0.78	SIEPX	International Equity	Pair Corr

Related Correlations Analysis

	JRSXX	FAFSX	GCFSX	IAAEX	QCMMIX	HEWXX	SPAXX
JRSXX		0.0	0.0	0.0	0.0	0.0	0.0	JRSXX
FAFSX	0.0		0.37	0.38	-0.18	0.0	0.01	FAFSX
GCFSX	0.0	0.37		0.31	0.79	0.0	0.8	GCFSX
IAAEX	0.0	0.38	0.31		0.02	0.0	0.1	IAAEX
QCMMIX	0.0	-0.18	0.79	0.02		0.0	0.85	QCMMIX
HEWXX	0.0	0.0	0.0	0.0	0.0		0.0	HEWXX
SPAXX	0.0	0.01	0.8	0.1	0.85	0.0		SPAXX
	JRSXX	FAFSX	GCFSX	IAAEX	QCMMIX	HEWXX	SPAXX

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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

SPAXX	+ 0.85	QCMMIX
SPAXX	+ 0.8	GCFSX
QCMMIX	+ 0.79	GCFSX
IAAEX	+ 0.38	FAFSX
GCFSX	+ 0.37	FAFSX
IAAEX	+ 0.31	GCFSX

High negative correlations

QCMMIX	- 0.18	FAFSX
SPAXX	- 0.0	HEWXX
HEWXX	- 0.0	QCMMIX
HEWXX	- 0.0	IAAEX
HEWXX	- 0.0	GCFSX
HEWXX	- 0.0	FAFSX

Risk-Adjusted Indicators

There is a big difference between Small Mutual Fund performing well and Small Capitalization 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 Capitalization'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
JRSXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
FAFSX	0.85	0.01	0.00	(0.02)	0.00	0.00	1.71	(2.10)	6.26
GCFSX	0.71	0.12	0.14	(2.14)	0.85	(0.78)	1.80	(1.39)	4.68
IAAEX	0.78	(0.07)	0.00	1.11	0.00	0.00	1.41	(1.19)	9.17
QCMMIX	0.02	0.01	0.00	(4.00)	0.00	0.00	0.03	0.00	0.03
HEWXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
SPAXX	0.03	0.00	0.00	(0.32)	0.00	0.00	0.00	0.00	1.01

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