Mid Cap Correlations

AMVGX Fund

USD 15.20 0.01 0.07%

The current 90-days correlation between Mid Cap Value and Gmo Resources is -0.11 (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

Average diversification

The correlation between Mid Cap Value and DJI is 0.14 (i.e., Average 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 price.

Moving together with Mid Mutual Fund

0.79	AMGIX	Income Growth	Pair Corr
0.77	TWCIX	Select Fund Investor	Pair Corr
0.81	TWCGX	Growth Fund Investor	Pair Corr
0.73	TWSMX	Strategic Allocation:	Pair Corr
0.68	ANTMX	Nt International Small	Pair Corr
0.75	BULIX	Utilities Fund Investor	Pair Corr
0.71	ARSRX	One Choice In	Pair Corr
0.82	AACDX	Strategic Allocation:	Pair Corr
0.99	BEQGX	Equity Growth	Pair Corr
0.96	ASDEX	Select Fund R6	Pair Corr
0.82	ACFOX	Focused Dynamic Growth	Pair Corr
0.79	BIGRX	Income Growth	Pair Corr
0.84	AVUAX	Mid Cap Value	Pair Corr
0.74	AGGWX	Global Gold Fund Steady Growth	Pair Corr
0.99	AICGX	Income Growth	Pair Corr
0.99	AICRX	Income Growth	Pair Corr
0.84	VMVAX	Vanguard Mid Cap	Pair Corr
0.83	JVMAX	John Hancock Disciplined	Pair Corr
0.91	JVMIX	John Hancock Disciplined	Pair Corr
0.75	VMVIX	Vanguard Mid Cap	Pair Corr
0.91	JMVZX	Jpmorgan Mid Cap	Pair Corr
0.93	JMVRX	Jpmorgan Mid Cap	Pair Corr
0.89	JMVQX	Jpmorgan Mid Cap	Pair Corr
0.89	JMVYX	Jpmorgan Mid Cap	Pair Corr
0.89	JMVPX	Jpmorgan Mid Cap	Pair Corr
0.74	MVCAX	Mfs Mid Cap	Pair Corr

Moving against Mid Mutual Fund

0.74	ACIPX	American Century Mid	Pair Corr
0.47	REACX	Real Estate Fund	Pair Corr
0.47	REAIX	American Century Real	Pair Corr
0.42	AIADX	Inflation Adjusted Bond	Pair Corr

Related Correlations Analysis

	GMOWX	PEO	DNLAX	GRHAX	IEFCX	IGNAX
GMOWX		0.79	0.78	0.61	0.85	0.73	GMOWX
PEO	0.79		0.83	0.64	0.83	0.77	PEO
DNLAX	0.78	0.83		0.92	0.67	0.99	DNLAX
GRHAX	0.61	0.64	0.92		0.41	0.95	GRHAX
IEFCX	0.85	0.83	0.67	0.41		0.57	IEFCX
IGNAX	0.73	0.77	0.99	0.95	0.57		IGNAX
	GMOWX	PEO	DNLAX	GRHAX	IEFCX	IGNAX

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
GMOWX	1.04	0.11	0.02	1.24	1.33	(1.05)	2.11	(2.39)	6.41
PEO	0.82	0.09	0.04	0.28	0.84	(0.85)	1.69	(1.45)	4.75
DNLAX	1.06	0.15	0.06	0.63	1.32	(1.10)	1.96	(2.29)	5.14
GRHAX	1.41	0.15	0.04	0.78	1.79	(1.50)	2.64	(3.38)	7.71
IEFCX	0.90	0.04	(0.02)	0.21	1.11	(0.92)	1.76	(1.53)	4.81
IGNAX	1.00	0.14	0.05	0.82	1.20	(1.00)	1.85	(2.10)	5.41

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