Mid Cap Correlations

AMDVX Fund

USD 15.57 0.09 0.58%

The current 90-days correlation between Mid Cap Value and Select Fund A is -0.04 (i.e., Good 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 Value and DJI is 0.71 (i.e., 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

0.64	VMVAX	Vanguard Mid Cap	Pair Corr
0.88	JVMAX	John Hancock Disciplined	Pair Corr
0.89	JVMIX	John Hancock Disciplined	Pair Corr
0.99	VMVIX	Vanguard Mid Cap	Pair Corr
0.83	JMVZX	Jpmorgan Mid Cap	Pair Corr
0.84	JMVRX	Jpmorgan Mid Cap	Pair Corr
0.84	JMVQX	Jpmorgan Mid Cap	Pair Corr
0.84	JMVYX	Jpmorgan Mid Cap	Pair Corr
0.84	JMVPX	Jpmorgan Mid Cap	Pair Corr
0.91	MVCAX	Mfs Mid Cap	Pair Corr
0.73	VSTSX	Vanguard Total Stock	Pair Corr
0.73	VSMPX	Vanguard Total Stock	Pair Corr
0.73	VITSX	Vanguard Total Stock	Pair Corr
0.71	VFFSX	Vanguard 500 Index	Pair Corr
0.72	VFIAX	Vanguard 500 Index	Pair Corr
0.73	VTSAX	Vanguard Total Stock	Pair Corr
0.92	VTSNX	Vanguard Total Inter	Pair Corr
0.92	VTISX	Vanguard Total Inter	Pair Corr
0.92	VTPSX	Vanguard Total Inter	Pair Corr
0.72	VINIX	Vanguard Institutional	Pair Corr
0.61	EMSLX	Shelton Emerging Markets	Pair Corr
0.62	LMISX	Qs Large Cap	Pair Corr
0.71	BA	Boeing	Pair Corr
0.71	CAT	Caterpillar	Pair Corr
0.69	INTC	Intel Aggressive Push	Pair Corr

Moving against Mid Mutual Fund

0.44	TRV	The Travelers Companies	Pair Corr
0.41	MMM	3M Company	Pair Corr
0.34	MSFT	Microsoft	Pair Corr
0.32	T	ATT Inc Earnings Call Tomorrow	Pair Corr

Related Correlations Analysis

	TIDDX	SEMVX	PRIDX	PRHYX	MAMAX	TESIX	TWCAX
TIDDX		0.87	1.0	0.83	0.94	0.97	0.9	TIDDX
SEMVX	0.87		0.87	0.77	0.91	0.83	0.72	SEMVX
PRIDX	1.0	0.87		0.83	0.94	0.97	0.9	PRIDX
PRHYX	0.83	0.77	0.83		0.86	0.81	0.79	PRHYX
MAMAX	0.94	0.91	0.94	0.86		0.93	0.83	MAMAX
TESIX	0.97	0.83	0.97	0.81	0.93		0.91	TESIX
TWCAX	0.9	0.72	0.9	0.79	0.83	0.91		TWCAX
	TIDDX	SEMVX	PRIDX	PRHYX	MAMAX	TESIX	TWCAX

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
TIDDX	0.62	0.16	0.20	0.32	0.46	(0.72)	1.21	(1.25)	4.76
SEMVX	0.68	0.15	0.13	1.15	0.61	(0.74)	1.48	(1.20)	4.55
PRIDX	0.62	0.16	0.20	0.32	0.47	(0.72)	1.21	(1.24)	4.77
PRHYX	0.11	0.01	(0.13)	0.14	0.00	(0.23)	0.17	(0.17)	1.01
MAMAX	0.33	0.02	(0.05)	0.27	0.40	(0.32)	0.66	(0.66)	1.71
TESIX	0.59	0.15	0.17	0.76	0.49	(0.66)	1.33	(1.14)	6.02
TWCAX	0.90	0.15	0.09	(1.06)	0.99	(0.98)	1.51	(1.77)	15.17

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