Mid Cap Correlations

AMDVX Fund

USD 15.21 0.23 1.54%

The current 90-days correlation between Mid Cap Value and T Rowe Price is 0.28 (i.e., Modest 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 weak diversification

The correlation between Mid Cap Value and DJI is 0.56 (i.e., Very weak 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 small area income & poverty estimates.

Moving together with Mid Mutual Fund

0.96	VMVAX	Vanguard Mid Cap	Pair Corr
0.76	JVMAX	John Hancock Disciplined	Pair Corr
0.78	JVMIX	John Hancock Disciplined	Pair Corr
0.97	VMVIX	Vanguard Mid Cap	Pair Corr
0.78	JMVZX	Jpmorgan Mid Cap	Pair Corr
0.79	JMVRX	Jpmorgan Mid Cap	Pair Corr
0.79	JMVQX	Jpmorgan Mid Cap	Pair Corr
0.79	JMVYX	Jpmorgan Mid Cap	Pair Corr
0.78	JMVPX	Jpmorgan Mid Cap	Pair Corr
0.88	MVCAX	Mfs Mid Cap	Pair Corr
0.61	CIF	Mfs Intermediate High	Pair Corr
0.61	AA	Alcoa Corp	Pair Corr

Moving against Mid Mutual Fund

0.63	XNBHX	Neuberger Berman Int	Pair Corr
0.57	XNXJX	Nuveen New Jersey	Pair Corr
0.49	XDSMX	Dreyfus Strategic	Pair Corr
0.35	PG	Procter Gamble	Pair Corr

Related Correlations Analysis

	TIDDX	SEMVX	PRIDX	PRHYX	MAMAX	TESIX	TWCAX
TIDDX		0.56	1.0	0.85	0.85	0.41	0.81	TIDDX
SEMVX	0.56		0.56	0.5	0.63	0.11	0.66	SEMVX
PRIDX	1.0	0.56		0.85	0.85	0.41	0.81	PRIDX
PRHYX	0.85	0.5	0.85		0.8	0.56	0.65	PRHYX
MAMAX	0.85	0.63	0.85	0.8		0.5	0.66	MAMAX
TESIX	0.41	0.11	0.41	0.56	0.5		0.25	TESIX
TWCAX	0.81	0.66	0.81	0.65	0.66	0.25		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	0.61	0.08	0.06	0.19	0.62	(0.67)	1.17	(1.25)	4.06
SEMVX	0.78	0.12	0.11	0.25	0.62	(0.90)	1.74	(1.19)	4.89
PRIDX	0.61	0.07	0.06	0.19	0.61	(0.67)	1.18	(1.24)	4.07
PRHYX	0.12	0.00	(0.29)	0.05	0.03	(0.22)	0.17	(0.34)	0.84
MAMAX	0.34	0.01	(0.11)	0.17	0.41	(0.34)	0.70	(0.65)	1.63
TESIX	0.63	(0.03)	0.00	(0.10)	0.00	0.00	1.21	(1.22)	6.04
TWCAX	0.95	0.24	0.19	0.60	0.76	(1.13)	2.21	(1.72)	14.37

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