Large Cap Correlations

GTILX Fund

USD 37.98 0.31 0.82%

The current 90-days correlation between Large Cap Growth and Glenmede International Secured is 0.69 (i.e., Poor diversification). The correlation of Large 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.

Large Cap Correlation With Market

Poor diversification

The correlation between Large Cap Growth and DJI is 0.77 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Large Cap Growth 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 Large Cap Growth. 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 bureau of economic analysis.

Moving together with Large Mutual Fund

0.92	NOVIX	Glenmede International	Pair Corr
0.92	GEQIX	Equity Income Portfolio	Pair Corr
0.96	GWILX	Woman In Leadership	Pair Corr
0.97	RESGX	Responsible Esg Equity	Pair Corr
0.86	GLSOX	Secured Options Portfolio	Pair Corr
0.95	GQLVX	Quantitative U S	Pair Corr
0.84	GQSCX	Quantitative U S	Pair Corr
0.78	GTAPX	Long/short Portfolio	Pair Corr
0.91	GTCEX	Strategic Equity Por	Pair Corr
0.84	GTCSX	Small Cap Equity	Pair Corr
0.97	GTLIX	Large Cap Core	Pair Corr
1.0	GTLLX	Large Cap Growth	Pair Corr
0.97	GTLOX	Large Cap E	Pair Corr
0.78	GTLSX	Quantitative Longshort	Pair Corr
0.86	GTSOX	Secured Options Portfolio	Pair Corr
0.84	GTSCX	Small Cap Equity	Pair Corr
0.93	GTTMX	Total Market Portfolio	Pair Corr
0.97	FAFGX	American Funds	Pair Corr
0.97	FFAFX	American Funds	Pair Corr
0.98	GFACX	Growth Fund	Pair Corr
0.97	GFAFX	Growth Fund	Pair Corr
0.97	AGTHX	Growth Fund	Pair Corr
0.97	CGFFX	Growth Fund	Pair Corr
0.98	CGFCX	Growth Fund	Pair Corr
0.97	CGFAX	Growth Fund	Pair Corr
0.97	CGFEX	Growth Fund	Pair Corr
0.97	RGAEX	Growth Fund	Pair Corr
0.9	RQECX	Resq Dynamic Allocation	Pair Corr

Moving against Large Mutual Fund

0.51	GTCIX	International Portfolio	Pair Corr
0.7	GPBFX	Gmo E Plus	Pair Corr
0.4	GAAGX	Gmo Alternative Allo	Pair Corr
0.38	GAAKX	Gmo Alternative Allo	Pair Corr
0.5	GPMFX	Guidepath Managed Futures	Pair Corr
0.45	PQTAX	Pimco Trends Managed	Pair Corr
0.44	PQTNX	Pimco Trends Managed	Pair Corr
0.44	PQTIX	Aa Pimco Tr	Pair Corr

Related Correlations Analysis

	NOVIX	GEQIX	GWILX	RESGX	GLSOX	GQLVX	GQSCX	GTAPX	GTCEX	GTCIX
NOVIX		0.9	0.94	0.9	0.89	0.92	0.7	0.7	0.83	-0.47	NOVIX
GEQIX	0.9		0.96	0.93	0.9	0.94	0.77	0.71	0.92	-0.6	GEQIX
GWILX	0.94	0.96		0.98	0.93	0.98	0.84	0.82	0.94	-0.57	GWILX
RESGX	0.9	0.93	0.98		0.87	0.98	0.9	0.82	0.94	-0.49	RESGX
GLSOX	0.89	0.9	0.93	0.87		0.89	0.72	0.83	0.92	-0.72	GLSOX
GQLVX	0.92	0.94	0.98	0.98	0.89		0.88	0.82	0.92	-0.48	GQLVX
GQSCX	0.7	0.77	0.84	0.9	0.72	0.88		0.84	0.88	-0.36	GQSCX
GTAPX	0.7	0.71	0.82	0.82	0.83	0.82	0.84		0.88	-0.65	GTAPX
GTCEX	0.83	0.92	0.94	0.94	0.92	0.92	0.88	0.88		-0.68	GTCEX
GTCIX	-0.47	-0.6	-0.57	-0.49	-0.72	-0.48	-0.36	-0.65	-0.68		GTCIX
	NOVIX	GEQIX	GWILX	RESGX	GLSOX	GQLVX	GQSCX	GTAPX	GTCEX	GTCIX

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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

RESGX	+ 0.98	GWILX
GQLVX	+ 0.98	GWILX
GQLVX	+ 0.98	RESGX
GWILX	+ 0.96	GEQIX
GWILX	+ 0.94	NOVIX
GQLVX	+ 0.94	GEQIX

High negative correlations

GTCIX	- 0.72	GLSOX
GTCIX	- 0.68	GTCEX
GTCIX	- 0.65	GTAPX
GTCIX	- 0.6	GEQIX
GTCIX	- 0.57	GWILX
GTCIX	- 0.49	RESGX

Risk-Adjusted Indicators

There is a big difference between Large Mutual Fund performing well and Large 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 Large 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
NOVIX	0.25	0.01	(0.21)	0.17	0.14	(0.34)	0.54	(0.52)	1.44
GEQIX	0.52	0.01	(0.03)	0.14	0.37	(0.60)	1.01	(0.83)	3.25
GWILX	0.58	0.03	0.02	0.16	0.48	(0.64)	1.27	(1.02)	3.91
RESGX	0.59	(0.01)	(0.04)	0.11	0.60	(0.61)	1.44	(1.16)	3.59
GLSOX	0.12	0.03	(0.27)	0.29	0.00	(0.19)	0.40	(0.13)	1.13
GQLVX	0.59	0.01	(0.02)	0.13	0.42	(0.70)	1.28	(0.86)	3.59
GQSCX	0.99	(0.08)	(0.01)	0.07	0.93	(1.17)	2.12	(1.57)	7.69
GTAPX	0.30	0.01	(0.17)	0.15	0.21	(0.36)	0.71	(0.50)	2.45
GTCEX	0.50	(0.01)	(0.05)	0.10	0.49	(0.55)	0.91	(1.16)	4.58
GTCIX	0.51	(0.07)	0.00	(0.32)	0.00	0.00	1.27	(0.98)	3.34

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