Small Cap Correlations

Mutual Funds . USA . 
Fund . Small Cap Equity
GSCZX Fund  USD 17.78  0.18  1.02%   
The current 90-days correlation between Small Cap Equity and Equity Index Investor is 0.08 (i.e., Significant 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 0.88 (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 nation.

Moving together with Small Mutual Fund

  0.97GCOZX Growth AllocationPairCorr
  0.97GGRYX Growth AllocationPairCorr
  0.97GBAYX Balanced AllocationPairCorr
  0.89VSMAX Vanguard Small CapPairCorr
  0.89VSCIX Vanguard Small CapPairCorr
  0.89VSCPX Vanguard Small CapPairCorr
  0.89NAESX Vanguard Small CapPairCorr
  0.88FSSNX Fidelity Small CapPairCorr
  0.91DFSTX Us Small CapPairCorr
  0.92FTHSX Fuller Thaler BehavioralPairCorr
  0.92FTHNX Fuller Thaler BehavioralPairCorr
  0.96PASVX T Rowe PricePairCorr
  0.94PRVIX T Rowe PricePairCorr
  0.8WRHIX Ivy High IncomePairCorr
  0.82WHIAX Ivy High IncomePairCorr
  0.84IHIFX Ivy High IncomePairCorr
  0.83IVHIX Ivy High IncomePairCorr
  0.82FASGX Fidelity Asset ManagerPairCorr
  0.81TAAMX Transamerica AssetPairCorr
  0.93FSCOX Fidelity InternationalPairCorr
  0.75AAAZX Deutsche Real AssetsPairCorr
  0.95CMJAX Calvert Mid CapPairCorr
  0.87VVIIX Voya Vacs IndexPairCorr
  0.82FDTKX Fidelity Freedom 2025PairCorr
  0.86FSAGX Gold Portfolio GoldPairCorr
  0.89IREIX Ivy Advantus RealPairCorr
  0.84PQTNX Pimco Trends ManagedPairCorr
  0.87RYCIX Consumer ProductsPairCorr
  0.93FSRFX Transportation PortfolioPairCorr
  0.86KCVSX Knights Of UmbusPairCorr
  0.89ATWAX Ab Tax ManagedPairCorr
  0.91RIDGX Income FundPairCorr
  0.89EVOIX Altegris Futures EvoPairCorr
  0.97LCCMX Leader Short TermPairCorr
  0.88GWSVX Gabelli FocusPairCorr
  0.87TRBNX T Rowe PricePairCorr

Related Correlations Analysis


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.
Mean DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
GCOZX  0.53  0.10  0.14  0.19  0.41 
(0.63)
 0.91 
(0.96)
 8.86 
GDMYX  0.44  0.10  0.17  0.23  0.15 
(0.58)
 0.77 
(0.68)
 8.30 
GDMZX  0.45  0.10  0.16  0.22  0.21 
(0.58)
 0.77 
(0.69)
 8.40 
GVEZX  0.76  0.20  0.29  0.27  0.33 
(1.01)
 1.29 
(1.14)
 13.84 
GVIZX  0.58  0.14  0.16  1.50  0.46 
(0.69)
 1.33 
(0.99)
 4.42 
GEIYX  0.73 (0.04) 0.00 (0.02) 0.00 
 0.00 
 1.32 
(1.83)
 5.85 
GEMYX  0.68  0.14  0.16  0.27  0.53 
(0.85)
 1.62 
(1.17)
 3.88 
GEMZX  0.68  0.14  0.16  0.27  0.54 
(0.83)
 1.63 
(1.18)
 3.83 
GEQYX  0.53 (0.01)(0.02) 0.02  0.75 
(0.51)
 0.98 
(1.19)
 3.64 
GEQZX  0.53 (0.01)(0.02) 0.02  0.75 
(0.52)
 0.98 
(1.21)
 3.64 

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