Mid Cap Correlations

AVUAX Fund

USD 15.47 0.05 0.32%

The current 90-days correlation between Mid Cap Value and Select Fund A is -0.06 (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

Very poor diversification

The correlation between Mid Cap Value and DJI is 0.82 (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 various price indices.

Moving together with Mid Mutual Fund

0.83	AMDVX	Mid Cap Value	Pair Corr
0.99	AMGIX	Income Growth	Pair Corr
0.72	AMKIX	Emerging Markets	Pair Corr
0.82	TWACX	Short Term Government	Pair Corr
0.93	TWCAX	Select Fund A	Pair Corr
0.82	TWARX	Short Term Government	Pair Corr
0.8	TWTIX	Intermediate Term Tax	Pair Corr
0.93	TWSMX	Strategic Allocation:	Pair Corr
0.92	TWUAX	Ultra Fund A	Pair Corr
0.74	ANONX	Small Cap Growth	Pair Corr
0.97	ANOIX	Small Cap Growth	Pair Corr
0.85	ANTMX	Nt International Small	Pair Corr
0.92	AOMIX	One Choice Portfolio	Pair Corr
0.72	BCHIX	California High Yield	Pair Corr
0.65	BCHYX	California High Yield	Pair Corr
0.92	ARCVX	One Choice 2030	Pair Corr
0.92	ARGVX	One Choice 2060	Pair Corr
0.9	AACCX	Strategic Allocation:	Pair Corr
0.98	BEQGX	Equity Growth	Pair Corr
0.96	ASERX	Select Fund R	Pair Corr
0.93	ASQIX	Small Pany Fund	Pair Corr
1.0	ASVIX	Small Cap Value	Pair Corr
0.86	ABHIX	High Yield Fund	Pair Corr
0.98	ACEVX	International Value	Pair Corr
0.71	ACECX	Emerging Markets	Pair Corr
0.82	ACFNX	Focused Dynamic Growth	Pair Corr
0.89	ACGGX	Global Gold Fund Steady Growth	Pair Corr
1.0	ACIIX	Equity Income	Pair Corr
0.98	ACLCX	Value Fund C	Pair Corr
0.97	ADCCX	Disciplined Growth	Pair Corr

Moving against Mid Mutual Fund

0.43

ACITX

Inflation Adjusted Bond

Pair Corr

Related Correlations Analysis

	SEMVX	TIDDX	PRIDX	PRHYX	MAMAX	TESIX	TWCAX
SEMVX		0.82	0.82	0.82	0.87	0.81	0.73	SEMVX
TIDDX	0.82		1.0	0.92	0.91	0.97	0.9	TIDDX
PRIDX	0.82	1.0		0.92	0.91	0.97	0.9	PRIDX
PRHYX	0.82	0.92	0.92		0.87	0.93	0.84	PRHYX
MAMAX	0.87	0.91	0.91	0.87		0.91	0.8	MAMAX
TESIX	0.81	0.97	0.97	0.93	0.91		0.9	TESIX
TWCAX	0.73	0.9	0.9	0.84	0.8	0.9		TWCAX
	SEMVX	TIDDX	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
SEMVX	0.69	0.14	0.09	0.60	0.53	(0.79)	1.48	(1.08)	3.94
TIDDX	0.59	0.13	0.13	0.30	0.41	(0.67)	1.21	(1.09)	4.43
PRIDX	0.59	0.13	0.13	0.30	0.42	(0.67)	1.20	(1.09)	4.44
PRHYX	0.13	0.02	(0.27)	0.26	0.00	(0.23)	0.17	(0.33)	1.01
MAMAX	0.32	0.02	(0.13)	0.28	0.36	(0.33)	0.66	(0.65)	1.71
TESIX	0.61	0.15	0.11	0.67	0.50	(0.68)	1.33	(1.14)	6.02
TWCAX	0.93	0.20	0.09	(7.28)	0.95	(1.05)	1.70	(1.77)	15.17

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