Champlain Small Correlations

CIPNX Fund

USD 18.20 0.31 1.73%

The current 90-days correlation between Champlain Small and BlackRock ESG Capital is 0.64 (i.e., Poor diversification). The correlation of Champlain Small 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.

Champlain Small Correlation With Market

Poor diversification

The correlation between Champlain Small and DJI is 0.76 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Champlain Small 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 Champlain Small. 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 employment.

Moving together with Champlain Mutual Fund

1.0	CIPSX	Champlain Small Pany	Pair Corr
0.83	VSGAX	Vanguard Small Cap	Pair Corr
0.83	VSGIX	Vanguard Small Cap	Pair Corr
0.84	VISGX	Vanguard Small Cap	Pair Corr
0.64	VEXPX	Vanguard Explorer	Pair Corr
0.64	VEXRX	Vanguard Explorer	Pair Corr

Moving against Champlain Mutual Fund

0.38

ABIMX

Ab Impact Municipal

Pair Corr

Related Correlations Analysis

	ECAT	BDJ	TDMTX	TEDMX	FSTLX	FSTKX	CLCRX	PSGAX	PSGCX	FSTRX
ECAT		0.13	0.24	0.23	-0.12	-0.05	0.16	0.22	0.23	-0.12	ECAT
BDJ	0.13		0.24	0.18	0.92	0.91	0.79	-0.81	-0.82	0.92	BDJ
TDMTX	0.24	0.24		1.0	0.21	0.22	0.54	-0.06	-0.07	0.21	TDMTX
TEDMX	0.23	0.18	1.0		0.16	0.18	0.51	0.0	-0.01	0.16	TEDMX
FSTLX	-0.12	0.92	0.21	0.16		0.92	0.73	-0.85	-0.89	1.0	FSTLX
FSTKX	-0.05	0.91	0.22	0.18	0.92		0.83	-0.77	-0.79	0.92	FSTKX
CLCRX	0.16	0.79	0.54	0.51	0.73	0.83		-0.57	-0.57	0.73	CLCRX
PSGAX	0.22	-0.81	-0.06	0.0	-0.85	-0.77	-0.57		0.96	-0.85	PSGAX
PSGCX	0.23	-0.82	-0.07	-0.01	-0.89	-0.79	-0.57	0.96		-0.89	PSGCX
FSTRX	-0.12	0.92	0.21	0.16	1.0	0.92	0.73	-0.85	-0.89		FSTRX
	ECAT	BDJ	TDMTX	TEDMX	FSTLX	FSTKX	CLCRX	PSGAX	PSGCX	FSTRX

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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

TEDMX	+ 1.0	TDMTX
FSTRX	+ 1.0	FSTLX
PSGCX	+ 0.96	PSGAX
FSTLX	+ 0.92	BDJ
FSTRX	+ 0.92	BDJ
FSTKX	+ 0.92	FSTLX

High negative correlations

FSTRX	- 0.89	PSGCX
PSGCX	- 0.89	FSTLX
FSTRX	- 0.85	PSGAX
PSGAX	- 0.85	FSTLX
PSGCX	- 0.82	BDJ
PSGAX	- 0.81	BDJ

Risk-Adjusted Indicators

There is a big difference between Champlain Mutual Fund performing well and Champlain Small 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 Champlain Small'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
ECAT	0.68	(0.07)	(0.10)	0.00	0.87	(0.69)	1.42	(1.35)	3.65
BDJ	0.64	0.04	0.03	0.15	0.53	(0.79)	1.38	(1.00)	2.94
TDMTX	0.81	0.09	0.02	0.40	0.93	(0.83)	1.55	(1.17)	4.83
TEDMX	0.81	0.08	0.02	0.39	0.95	(0.84)	1.56	(1.38)	4.85
FSTLX	0.65	0.17	0.13	1.50	0.46	(0.79)	1.46	(1.06)	7.20
FSTKX	0.70	0.05	0.01	0.18	1.01	(0.76)	1.42	(1.11)	6.40
CLCRX	0.59	0.01	(0.01)	0.09	0.75	(0.60)	1.20	(1.26)	3.50
PSGAX	1.44	(0.66)	0.00	(0.66)	0.00	0.00	2.21	(1.99)	38.01
PSGCX	1.68	(0.91)	0.00	(0.36)	0.00	0.00	2.19	(1.99)	48.69
FSTRX	0.65	0.17	0.13	1.42	0.48	(0.77)	1.43	(1.06)	7.25

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