Mid Cap Correlations

AMDVX Fund

USD 15.79 1.31 7.66%

The current 90-days correlation between Mid Cap Value and Janus Triton Fund is 0.68 (i.e., 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

Very poor diversification

The correlation between Mid Cap Value and DJI is 0.8 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Mid Cap Value and DJI in the same portfolio, assuming nothing else is changed.

Check out Trending Equities to better understand how to build diversified portfolios, which includes a position in Mid 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 Mid Mutual Fund

0.72	AMEIX	Equity Growth	Pair Corr
0.85	AMGIX	Income Growth	Pair Corr
0.95	TWADX	Value Fund A	Pair Corr
0.62	TWCCX	Ultra Fund C	Pair Corr
0.62	TWCAX	Select Fund A	Pair Corr
1.0	AMVYX	Mid Cap Value	Pair Corr
1.0	AMVRX	Mid Cap Value	Pair Corr
0.62	TWBIX	Balanced Fund Investor	Pair Corr
1.0	AMVGX	Mid Cap Value	Pair Corr
0.89	TWEAX	Equity Income	Pair Corr
0.9	TWEIX	Equity Income	Pair Corr
0.62	TWCUX	Ultra Fund Investor	Pair Corr
0.63	TWGIX	Growth Fund I	Pair Corr
0.79	TWHIX	Heritage Fund Investor	Pair Corr
0.63	TWRCX	Growth Fund C	Pair Corr
0.7	TWSCX	Strategic Allocation	Pair Corr
0.77	TWSAX	Strategic Allocation	Pair Corr
0.76	TWSMX	Strategic Allocation	Pair Corr
0.62	TWSIX	Select Fund I	Pair Corr
0.88	TWVLX	Value Fund Investor	Pair Corr
0.65	TWUAX	Ultra Fund A	Pair Corr
0.65	TWUIX	Ultra Fund I	Pair Corr

Moving against Mid Mutual Fund

0.53	TWIEX	International Growth	Pair Corr
0.52	AMKIX	Emerging Markets	Pair Corr
0.52	TWMIX	Emerging Markets	Pair Corr
0.49	TWACX	Short Term Government	Pair Corr
0.47	TWGAX	International Growth	Pair Corr
0.46	TWARX	Short Term Government	Pair Corr
0.45	TWAVX	Short Term Government	Pair Corr
0.38	CDBCX	Diversified Bond	Pair Corr
0.7	ANVHX	American Century Non	Pair Corr
0.68	ANTUX	Nt Non Intrinsic	Pair Corr
0.68	ANTGX	Nt Non Intrinsic	Pair Corr
0.68	ANVRX	American Century Non	Pair Corr
0.68	ANVMX	American Century Non	Pair Corr
0.68	ANVLX	American Century Non	Pair Corr
0.46	TWUOX	Short Term Government	Pair Corr
0.42	TWUSX	Short Term Government	Pair Corr
0.39	ANTMX	Nt International Small	Pair Corr

Related Correlations Analysis

	JGMNX	RNWGX	FSMDX	MEIKX	OIEJX
JGMNX		-0.42	0.57	0.74	0.86	JGMNX
RNWGX	-0.42		-0.52	-0.17	-0.41	RNWGX
FSMDX	0.57	-0.52		0.23	0.64	FSMDX
MEIKX	0.74	-0.17	0.23		0.87	MEIKX
OIEJX	0.86	-0.41	0.64	0.87		OIEJX
	JGMNX	RNWGX	FSMDX	MEIKX	OIEJX

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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

OIEJX	+ 0.87	MEIKX
OIEJX	+ 0.86	JGMNX
MEIKX	+ 0.74	JGMNX
OIEJX	+ 0.64	FSMDX
FSMDX	+ 0.57	JGMNX
MEIKX	+ 0.23	FSMDX

High negative correlations

FSMDX	- 0.52	RNWGX
RNWGX	- 0.42	JGMNX
OIEJX	- 0.41	RNWGX
MEIKX	- 0.17	RNWGX

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
JGMNX	0.74	(0.10)	0.00	(0.02)	0.00	0.00	1.53	(1.24)	9.23
RNWGX	0.50	(0.01)	(0.09)	0.04	0.63	(0.51)	1.04	(0.97)	3.80
FSMDX	0.57	0.11	0.09	0.66	0.41	(0.69)	1.34	(0.92)	3.84
MEIKX	0.57	(0.19)	0.00	(0.14)	0.00	0.00	0.94	(0.89)	10.11
OIEJX	0.58	(0.12)	0.00	(0.06)	0.00	0.00	0.98	(0.70)	9.00

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