Large Cap Correlations

GTLIX Fund

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The current 90-days correlation between Large Cap Core and American Beacon Stephens is 0.17 (i.e., Average 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

Modest diversification

The correlation between Large Cap Core and DJI is 0.21 (i.e., Modest 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

0.98	NOVIX	Glenmede International	Pair Corr
1.0	GEQIX	Equity Income Portfolio	Pair Corr
0.99	RESGX	Responsible Esg Equity	Pair Corr
1.0	GLSOX	Secured Options Portfolio	Pair Corr
0.99	GQLVX	Quantitative U S	Pair Corr
0.92	GQSCX	Quantitative U S	Pair Corr
0.99	GTAPX	Long/short Portfolio	Pair Corr
0.84	GTCEX	Strategic Equity Por	Pair Corr
0.96	GTCIX	International Portfolio	Pair Corr
0.98	GTCSX	Small Cap Equity	Pair Corr
0.7	GTILX	Large Cap Growth	Pair Corr
0.99	GTLLX	Large Cap Growth	Pair Corr
1.0	GTLOX	Large Cap E	Pair Corr
0.97	GTSOX	Secured Options Portfolio	Pair Corr
0.97	GTSCX	Small Cap Equity	Pair Corr
1.0	GTTMX	Total Market Portfolio	Pair Corr
0.85	VMVAX	Vanguard Mid Cap	Pair Corr
0.89	JVMAX	John Hancock Disciplined	Pair Corr
0.91	JVMIX	John Hancock Disciplined	Pair Corr
0.83	VMVIX	Vanguard Mid Cap	Pair Corr
0.95	JMVZX	Jpmorgan Mid Cap	Pair Corr
0.95	JMVRX	Jpmorgan Mid Cap	Pair Corr
0.95	JMVQX	Jpmorgan Mid Cap	Pair Corr
0.95	JMVYX	Jpmorgan Mid Cap	Pair Corr
0.95	JMVPX	Jpmorgan Mid Cap	Pair Corr
0.93	MVCAX	Mfs Mid Cap	Pair Corr
0.67	VFIAX	Vanguard 500 Index	Pair Corr
0.66	VTSAX	Vanguard Total Stock	Pair Corr
0.65	VTSMX	Vanguard Total Stock	Pair Corr
0.63	VSTSX	Vanguard Total Stock	Pair Corr
0.68	VITSX	Vanguard Total Stock	Pair Corr
0.69	VSMPX	Vanguard Total Stock	Pair Corr
0.85	VTIAX	Vanguard Total Inter	Pair Corr
0.68	VFINX	Vanguard 500 Index	Pair Corr
0.65	VFFSX	Vanguard 500 Index	Pair Corr
0.77	IMBAX	Voya Limited Maturity	Pair Corr

Moving against Large Mutual Fund

0.98	GWILX	Woman In Leadership	Pair Corr
0.95	GTLSX	Quantitative Longshort	Pair Corr

Related Correlations Analysis

	STSGX	RISAX	RAIIX	ARGVX	EXHAX	OCMPX	MVIIX	LEAOX	AIOIX	CMJAX
STSGX		0.84	0.84	0.62	0.53	0.66	0.62	0.77	0.85	0.59	STSGX
RISAX	0.84		1.0	0.87	0.84	0.57	0.86	0.92	0.96	0.87	RISAX
RAIIX	0.84	1.0		0.87	0.84	0.57	0.87	0.92	0.97	0.87	RAIIX
ARGVX	0.62	0.87	0.87		0.94	0.35	0.86	0.86	0.87	0.87	ARGVX
EXHAX	0.53	0.84	0.84	0.94		0.26	0.88	0.79	0.8	0.92	EXHAX
OCMPX	0.66	0.57	0.57	0.35	0.26		0.2	0.55	0.55	0.36	OCMPX
MVIIX	0.62	0.86	0.87	0.86	0.88	0.2		0.77	0.85	0.92	MVIIX
LEAOX	0.77	0.92	0.92	0.86	0.79	0.55	0.77		0.93	0.77	LEAOX
AIOIX	0.85	0.96	0.97	0.87	0.8	0.55	0.85	0.93		0.84	AIOIX
CMJAX	0.59	0.87	0.87	0.87	0.92	0.36	0.92	0.77	0.84		CMJAX
	STSGX	RISAX	RAIIX	ARGVX	EXHAX	OCMPX	MVIIX	LEAOX	AIOIX	CMJAX

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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	1.01	(0.03)	0.01	0.09	1.19	(1.06)	2.04	(1.90)	6.89
RISAX	0.53	0.04	(0.01)	0.19	0.53	(0.59)	0.97	(1.20)	2.53
RAIIX	0.53	0.04	(0.01)	0.19	0.53	(0.58)	0.99	(1.21)	2.52
ARGVX	0.57	0.14	0.20	0.31	0.00	(0.72)	1.04	(0.96)	10.45
EXHAX	0.69	0.24	0.29	0.59	0.00	(0.91)	1.32	(0.85)	11.96
OCMPX	0.71	(0.01)	(0.09)	0.07	1.08	(0.67)	1.23	(1.43)	8.91
MVIIX	0.50	0.02	(0.01)	0.14	0.38	(0.61)	0.89	(0.95)	2.46
LEAOX	0.66	0.11	0.10	0.30	0.35	(0.85)	1.75	(0.97)	3.17
AIOIX	0.71	0.04	0.02	0.15	0.79	(0.77)	1.48	(1.49)	3.71
CMJAX	0.75	0.12	0.02	1.75	0.79	(0.78)	1.70	(1.40)	5.45

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