Small Cap Correlations

Mutual Funds . USA . 
Fund . Small Cap Equity
GSCYX Fund  USD 20.13  0.31  1.56%   
The current 90-days correlation between Small Cap Equity and Commonwealth Real Estate is 0.43 (i.e., Very weak diversification). The correlation of Small 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.

Small Cap Correlation With Market

Very poor diversification

The correlation between Small Cap Equity and DJI is 0.87 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Small Cap Equity and DJI in the same portfolio, assuming nothing else is changed.
  
Check out Risk vs Return Analysis to better understand how to build diversified portfolios, which includes a position in Small Cap Equity. 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 manufacturing.

Moving together with Small Mutual Fund

  0.74GCOZX Growth AllocationPairCorr
  0.89GDMYX Defensive Market StrPairCorr
  0.92GVEYX Value Equity InstituPairCorr
  0.92GVEZX Value Equity InvestorPairCorr
  0.92GVIYX Guidestone Value EquityPairCorr
  0.92GVIZX Guidestone Value EquityPairCorr
  0.91GEQYX Equity Index InstituPairCorr
  0.91GEQZX Equity Index InvestorPairCorr
  0.77GFSYX Strategic AlternativesPairCorr
  0.8GGBZX Aggressive AllocationPairCorr
  0.9GGEYX Guidestone Fds GrowthPairCorr
  0.9GGEZX Growth Equity InvestorPairCorr
  0.74GGRYX Growth AllocationPairCorr
  0.78GMFZX Mydestination 2045PairCorr
  0.72GMHYX Mydestination 2035PairCorr
  0.71GMHZX Mydestination 2035PairCorr
  0.8GMGZX Mydestination 2055PairCorr
  0.8GAGYX Aggressive AllocationPairCorr
  1.0GSCZX Small Cap EquityPairCorr

Moving against Small Mutual Fund

  0.66GGBEX Global Bond FundPairCorr
  0.65GGBFX Global Bond FundPairCorr
  0.47GIIYX International EquityPairCorr
  0.34GIEZX International EquityPairCorr
  0.33GIEYX International EquityPairCorr
  0.69GMBZX Guidestone FundsPairCorr
  0.68GMDZX Medium Duration BondPairCorr
  0.67GMDYX Medium Duration BondPairCorr
  0.42GREZX Global Real EstatePairCorr
  0.41GREYX Global Real EstatePairCorr
  0.39GLDZX Low Duration BondPairCorr
  0.33GLDYX Low Duration BondPairCorr

Related Correlations Analysis

Click cells to compare fundamentals   Check Volatility   Backtest Portfolio

Risk-Adjusted Indicators

There is a big difference between Small Mutual Fund performing well and Small 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 Small 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.

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