Large Cap Correlations

GTLIX Fund

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The current 90-days correlation between Large Cap Core and Calvert Mid Cap is 0.21 (i.e., Modest 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

Very poor diversification

The correlation between Large Cap Core and DJI is 0.83 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Large Cap Core 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 Core. 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 gross domestic product.

Moving together with Large Mutual Fund

0.94	NOVIX	Glenmede International	Pair Corr
0.96	GEQIX	Equity Income Portfolio	Pair Corr
0.94	RESGX	Responsible Esg Equity	Pair Corr
1.0	GLSOX	Secured Options Portfolio	Pair Corr
0.96	GQLVX	Quantitative U S	Pair Corr
0.9	GQSCX	Quantitative U S	Pair Corr
0.99	GTAPX	Long/short Portfolio	Pair Corr
0.86	GTCIX	International Portfolio	Pair Corr
0.97	GTCSX	Small Cap Equity	Pair Corr
0.98	GTLLX	Large Cap Growth	Pair Corr
1.0	GTLOX	Large Cap E	Pair Corr
0.99	GTLSX	Quantitative Longshort	Pair Corr
1.0	GTSOX	Secured Options Portfolio	Pair Corr
0.97	GTSCX	Small Cap Equity	Pair Corr
1.0	GTTMX	Total Market Portfolio	Pair Corr
0.73	VMVAX	Vanguard Mid Cap	Pair Corr
0.88	JVMAX	John Hancock Disciplined	Pair Corr
0.88	JVMIX	John Hancock Disciplined	Pair Corr
0.73	VMVIX	Vanguard Mid Cap	Pair Corr
0.94	JMVZX	Jpmorgan Mid Cap	Pair Corr
0.94	JMVRX	Jpmorgan Mid Cap	Pair Corr
0.94	JMVQX	Jpmorgan Mid Cap	Pair Corr
0.94	JMVYX	Jpmorgan Mid Cap	Pair Corr
0.94	JMVPX	Jpmorgan Mid Cap	Pair Corr
0.72	MVCAX	Mfs Mid Cap	Pair Corr
0.95	FSMMX	Fs Multi Strategy	Pair Corr
0.78	BTMPX	Ishares Msci Eafe	Pair Corr
0.78	BTMKX	Blackrock International	Pair Corr
0.78	MDIIX	Blackrock Intern Index	Pair Corr
0.82	TEDRX	Franklin Mutual Global	Pair Corr
0.77	MITDX	Massachusetts Investors	Pair Corr

Moving against Large Mutual Fund

0.98

GWILX

Woman In Leadership

Pair Corr

Related Correlations Analysis

	STSGX	RISAX	RAIIX	ARGVX	EXHAX	OCMPX	MVIIX	LEAOX	AIOIX	CMJAX
STSGX		0.57	0.57	0.66	0.69	0.69	0.43	0.54	0.51	0.63	STSGX
RISAX	0.57		1.0	0.87	0.69	0.03	0.96	0.99	0.99	0.92	RISAX
RAIIX	0.57	1.0		0.87	0.69	0.03	0.96	0.99	0.99	0.92	RAIIX
ARGVX	0.66	0.87	0.87		0.89	0.23	0.83	0.87	0.85	0.91	ARGVX
EXHAX	0.69	0.69	0.69	0.89		0.49	0.61	0.67	0.64	0.82	EXHAX
OCMPX	0.69	0.03	0.03	0.23	0.49		-0.13	-0.02	-0.04	0.16	OCMPX
MVIIX	0.43	0.96	0.96	0.83	0.61	-0.13		0.95	0.96	0.92	MVIIX
LEAOX	0.54	0.99	0.99	0.87	0.67	-0.02	0.95		0.99	0.9	LEAOX
AIOIX	0.51	0.99	0.99	0.85	0.64	-0.04	0.96	0.99		0.9	AIOIX
CMJAX	0.63	0.92	0.92	0.91	0.82	0.16	0.92	0.9	0.9		CMJAX
	STSGX	RISAX	RAIIX	ARGVX	EXHAX	OCMPX	MVIIX	LEAOX	AIOIX	CMJAX

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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

RAIIX	+ 1.0	RISAX
LEAOX	+ 0.99	RISAX
AIOIX	+ 0.99	RISAX
LEAOX	+ 0.99	RAIIX
AIOIX	+ 0.99	RAIIX
AIOIX	+ 0.99	LEAOX

High negative correlations

MVIIX	- 0.13	OCMPX
AIOIX	- 0.04	OCMPX
LEAOX	- 0.02	OCMPX

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
STSGX	0.96	0.00	0.02	0.08	1.08	(1.07)	1.94	(1.77)	6.52
RISAX	0.53	0.18	0.18	0.44	0.42	(0.64)	1.33	(1.20)	3.31
RAIIX	0.54	0.18	0.17	0.44	0.43	(0.63)	1.31	(1.21)	3.31
ARGVX	0.56	0.20	0.28	0.38	0.00	(0.73)	0.95	(0.83)	11.35
EXHAX	0.75	0.19	0.21	0.44	0.44	(0.98)	1.26	(1.26)	12.83
OCMPX	0.74	(0.04)	(0.06)	0.01	1.16	(0.68)	1.14	(1.85)	8.91
MVIIX	0.48	0.10	0.13	0.23	0.24	(0.61)	1.22	(0.92)	3.09
LEAOX	0.67	0.28	0.38	0.61	0.00	(0.88)	1.75	(0.87)	3.77
AIOIX	0.81	0.24	0.20	0.37	0.66	(0.95)	1.93	(1.64)	4.97
CMJAX	0.66	0.11	0.16	0.19	0.43	(0.74)	1.78	(1.14)	5.89

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