Mid Cap Correlations

XMDYX Fund

USD 539.31 6.58 1.21%

The current 90-days correlation between Mid Cap Spdr and Blackrock Equity Dividend is 0.81 (i.e., Very poor diversification). The correlation of Mid 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.

Mid Cap Correlation With Market

Poor diversification

The correlation between Mid Cap Spdr and DJI is 0.79 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Mid Cap Spdr and DJI in the same portfolio, assuming nothing else is changed.

Check out Your Current Watchlist to better understand how to build diversified portfolios, which includes a position in Mid Cap Spdr. 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 manufacturing.

Moving together with Mid Mutual Fund

0.94	VTSAX	Vanguard Total Stock	Pair Corr
0.92	VFIAX	Vanguard 500 Index	Pair Corr
0.94	VTSMX	Vanguard Total Stock	Pair Corr
0.91	VITSX	Vanguard Total Stock	Pair Corr
0.91	VSTSX	Vanguard Total Stock	Pair Corr
0.91	VSMPX	Vanguard Total Stock	Pair Corr
0.92	VFINX	Vanguard 500 Index	Pair Corr
0.89	VFFSX	Vanguard 500 Index	Pair Corr
0.76	JPM	JPMorgan Chase	Pair Corr
0.67	HD	Home Depot	Pair Corr
0.8	BAC	Bank of America Aggressive Push	Pair Corr
0.69	BA	Boeing Buyout Trend	Pair Corr

Moving against Mid Mutual Fund

0.44	VGTSX	Vanguard Total Inter	Pair Corr
0.44	VTIAX	Vanguard Total Inter	Pair Corr
0.41	NHS	Neuberger Berman High	Pair Corr
0.48	PG	Procter Gamble	Pair Corr
0.48	MCD	McDonalds	Pair Corr
0.43	KO	Coca Cola Sell-off Trend	Pair Corr
0.33	T	ATT Inc Earnings Call This Week	Pair Corr

Related Correlations Analysis

	MSDVX	SMVLX	TALCX	TACLX	DLQIX	FCLKX	ALCEX
MSDVX		0.22	0.72	0.8	0.09	0.48	0.48	MSDVX
SMVLX	0.22		0.73	0.23	0.57	0.9	0.94	SMVLX
TALCX	0.72	0.73		0.7	0.48	0.88	0.9	TALCX
TACLX	0.8	0.23	0.7		0.29	0.45	0.49	TACLX
DLQIX	0.09	0.57	0.48	0.29		0.48	0.53	DLQIX
FCLKX	0.48	0.9	0.88	0.45	0.48		0.96	FCLKX
ALCEX	0.48	0.94	0.9	0.49	0.53	0.96		ALCEX
	MSDVX	SMVLX	TALCX	TACLX	DLQIX	FCLKX	ALCEX

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Risk-Adjusted Indicators

There is a big difference between Mid Mutual Fund performing well and Mid 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 Mid 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
MSDVX	0.59	0.06	0.10	0.02	0.79	(0.61)	1.18	(1.32)	3.16
SMVLX	0.80	(0.05)	0.00	(0.14)	0.00	0.00	1.31	(1.85)	3.48
TALCX	0.65	(0.01)	0.00	(0.09)	0.00	0.00	1.36	(1.38)	3.68
TACLX	0.68	(0.08)	0.00	0.85	0.00	0.00	1.26	(1.49)	3.10
DLQIX	1.25	(0.29)	0.00	(0.23)	0.00	0.00	1.34	(2.33)	21.92
FCLKX	0.83	(0.01)	0.00	(0.08)	0.00	0.00	1.58	(2.15)	5.00
ALCEX	0.72	(0.04)	0.00	(0.12)	0.00	0.00	1.09	(1.91)	3.41

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