Small Cap Correlations

VCSLX Fund

USD 14.48 0.08 0.55%

The current 90-days correlation between Small Cap Index and Morningstar Servative Etf is -0.08 (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 Index and DJI is 0.68 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Small Cap Index 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 Index. 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 bureau of economic analysis.

Moving together with Small Mutual Fund

0.66	VMIDX	Mid Cap Index	Pair Corr
0.7	VMSGX	Mid Cap Strategic	Pair Corr
0.68	VAPPX	Valic Company I	Pair Corr
0.65	VSTIX	Stock Index Fund	Pair Corr
0.98	VSSVX	Small Cap Special	Pair Corr
0.79	VBCVX	Broad Cap Value	Pair Corr
0.88	VCAAX	Asset Allocation	Pair Corr
0.97	VCBCX	Blue Chip Growth	Pair Corr
0.96	VCGAX	Growth Income	Pair Corr
0.93	VCNIX	Nasdaq 100 Index	Pair Corr
0.67	VCSTX	Science Technology	Pair Corr
0.66	VCULX	Growth Fund Growth	Pair Corr
0.85	VDAFX	Dynamic Allocation	Pair Corr
0.67	VVMCX	Valic Company I	Pair Corr
0.95	VVSGX	Valic Company I	Pair Corr
0.99	VVSCX	Valic Company I	Pair Corr
0.72	VLAGX	Valic Company I	Pair Corr
0.91	VLCGX	Large Capital Growth	Pair Corr
0.95	VSMAX	Vanguard Small Cap	Pair Corr
0.98	VSCIX	Vanguard Small Cap	Pair Corr
0.98	VSCPX	Vanguard Small Cap	Pair Corr
0.98	NAESX	Vanguard Small Cap	Pair Corr

Moving against Small Mutual Fund

0.66	VCBDX	Valic Company I	Pair Corr
0.53	VCIEX	International Equities	Pair Corr
0.49	VCGSX	Government Securities	Pair Corr
0.46	VCIFX	International Government	Pair Corr
0.43	VCTPX	Inflation Protected	Pair Corr
0.34	VCSOX	Global Social Awareness	Pair Corr
0.98	UIPIX	Ultrashort Mid Cap	Pair Corr
0.95	USPSX	Profunds Ultrashort	Pair Corr
0.95	USPIX	Profunds Ultrashort	Pair Corr
0.6	PDI	Pimco Dynamic Income	Pair Corr

Related Correlations Analysis

	CETFX	SMGAX	MCTAX	JLCGX	DLTZX	MDBLX	TFCYX	PDSYX
CETFX		0.85	0.97	0.99	0.67	0.76	0.57	0.83	CETFX
SMGAX	0.85		0.82	0.83	0.44	0.57	0.29	0.8	SMGAX
MCTAX	0.97	0.82		0.99	0.8	0.88	0.66	0.77	MCTAX
JLCGX	0.99	0.83	0.99		0.74	0.82	0.64	0.82	JLCGX
DLTZX	0.67	0.44	0.8	0.74		0.93	0.92	0.46	DLTZX
MDBLX	0.76	0.57	0.88	0.82	0.93		0.79	0.52	MDBLX
TFCYX	0.57	0.29	0.66	0.64	0.92	0.79		0.4	TFCYX
PDSYX	0.83	0.8	0.77	0.82	0.46	0.52	0.4		PDSYX
	CETFX	SMGAX	MCTAX	JLCGX	DLTZX	MDBLX	TFCYX	PDSYX

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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	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
CETFX	0.22	(0.02)	0.00	0.17	0.00	0.00	0.39	(0.39)	1.18
SMGAX	0.36	(0.06)	0.00	0.33	0.00	0.00	0.58	(0.73)	3.95
MCTAX	0.23	(0.01)	0.16	0.08	0.32	(0.27)	0.45	(0.44)	1.46
JLCGX	0.22	(0.01)	0.20	0.12	0.27	(0.27)	0.49	(0.39)	1.19
DLTZX	0.08	0.01	0.49	(0.30)	0.00	(0.18)	0.26	(0.13)	0.64
MDBLX	0.23	0.02	0.30	0.25	0.18	(0.30)	0.50	(0.38)	1.38
TFCYX	0.03	0.00	0.00	0.09	0.00	0.00	0.10	0.00	0.40
PDSYX	0.17	(0.01)	0.00	0.63	0.00	0.00	0.31	(0.30)	0.80

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