Small Cap Correlations

VSSVX Fund

USD 13.56 0.05 0.37%

The current 90-days correlation between Small Cap Special and Moderately Aggressive Balanced is 0.79 (i.e., Poor 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

Very poor diversification

The correlation between Small Cap Special and DJI is 0.86 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Small Cap Special 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 Special. 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 Small Mutual Fund

0.96	VMIDX	Mid Cap Index	Pair Corr
0.93	VMSGX	Mid Cap Strategic	Pair Corr
0.87	VAPPX	Valic Company I	Pair Corr
0.85	VSRDX	Valic Company I	Pair Corr
0.88	VSTIX	Stock Index Fund	Pair Corr
0.93	VBCVX	Broad Cap Value	Pair Corr
0.86	VCAAX	Asset Allocation	Pair Corr
0.86	VCBCX	Blue Chip Growth	Pair Corr
0.91	VCGAX	Growth Income	Pair Corr
0.91	VCIGX	Valic Company I	Pair Corr
0.84	VCNIX	Nasdaq 100 Index	Pair Corr
0.82	VCSTX	Science Technology	Pair Corr
0.99	VCSLX	Small Cap Index	Pair Corr
0.84	VCULX	Growth Fund Growth	Pair Corr
0.82	VDAFX	Dynamic Allocation	Pair Corr
0.96	VVMCX	Valic Company I	Pair Corr
0.97	VVSGX	Valic Company I	Pair Corr
1.0	VVSCX	Valic Company I	Pair Corr
0.61	VGLSX	Global Strategy	Pair Corr
0.64	VHYLX	Valic Company I	Pair Corr
0.84	VLAGX	Valic Company I	Pair Corr
0.74	VLCGX	Large Capital Growth	Pair Corr
0.75	VLSMX	Valic Company I	Pair Corr
0.97	VSIIX	Vanguard Small Cap	Pair Corr
0.97	VISVX	Vanguard Small Cap	Pair Corr
1.0	DFSVX	Us Small Cap	Pair Corr

Moving against Small Mutual Fund

0.64	VCIFX	International Government	Pair Corr
0.61	VCGSX	Government Securities	Pair Corr
0.61	VCSOX	Global Social Awareness	Pair Corr
0.6	VCIEX	International Equities	Pair Corr
0.58	VCBDX	Valic Company I	Pair Corr
0.58	VCTPX	Inflation Protected	Pair Corr
0.5	VCFVX	Foreign Value	Pair Corr
0.59	GAAGX	Gmo Alternative Allo	Pair Corr
0.58	VIOPX	Valic Company I	Pair Corr
0.58	GAAKX	Gmo Alternative Allo	Pair Corr
0.58	GPBFX	Gmo E Plus	Pair Corr
0.45	VGREX	Global Real Estate	Pair Corr
0.31	GPMFX	Guidepath Managed Futures	Pair Corr

Related Correlations Analysis

	SAMAX	URFRX	TSMLX	CMACX	TCTZX	MODRX
SAMAX		0.89	0.76	0.79	0.66	-0.35	SAMAX
URFRX	0.89		0.96	0.95	0.86	-0.05	URFRX
TSMLX	0.76	0.96		0.97	0.95	0.17	TSMLX
CMACX	0.79	0.95	0.97		0.96	0.18	CMACX
TCTZX	0.66	0.86	0.95	0.96		0.33	TCTZX
MODRX	-0.35	-0.05	0.17	0.18	0.33		MODRX
	SAMAX	URFRX	TSMLX	CMACX	TCTZX	MODRX

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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

CMACX	+ 0.97	TSMLX
TSMLX	+ 0.96	URFRX
TCTZX	+ 0.96	CMACX
CMACX	+ 0.95	URFRX
TCTZX	+ 0.95	TSMLX
URFRX	+ 0.89	SAMAX

High negative correlations

MODRX	- 0.35	SAMAX
MODRX	- 0.05	URFRX

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
SAMAX	0.41	0.00	(0.09)	0.12	0.39	(0.47)	0.85	(0.83)	2.62
URFRX	0.43	(0.03)	(0.15)	0.07	0.49	(0.50)	0.95	(0.80)	2.44
TSMLX	0.33	(0.03)	(0.21)	0.06	0.39	(0.37)	0.74	(0.66)	2.00
CMACX	0.35	(0.03)	(0.19)	0.07	0.41	(0.37)	0.72	(0.71)	2.02
TCTZX	0.26	(0.01)	(0.28)	0.08	0.27	(0.27)	0.60	(0.60)	1.33
MODRX	0.30	0.01	(0.24)	0.18	0.24	(0.43)	0.72	(0.63)	1.52

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