Large Cap Correlations

GTLOX Fund

USD 26.56 0.31 1.18%

The current 90-days correlation between Large Cap E and Quantitative U S is 0.92 (i.e., Almost no 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

Almost no diversification

The correlation between Large Cap E and DJI is 0.91 (i.e., Almost no diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Large Cap E 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 E. 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 persons.

Moving together with Large Mutual Fund

0.9	NOVIX	Glenmede International	Pair Corr
0.94	GEQIX	Equity Income Portfolio	Pair Corr
0.98	GWILX	Woman In Leadership	Pair Corr
1.0	RESGX	Responsible Esg Equity	Pair Corr
0.87	GLSOX	Secured Options Portfolio	Pair Corr
0.99	GQLVX	Quantitative U S	Pair Corr
0.91	GQSCX	Quantitative U S	Pair Corr
0.83	GTAPX	Long/short Portfolio	Pair Corr
0.94	GTCEX	Strategic Equity Por	Pair Corr
0.91	GTCSX	Small Cap Equity	Pair Corr
0.97	GTILX	Large Cap Growth	Pair Corr
1.0	GTLIX	Large Cap Core	Pair Corr
0.97	GTLLX	Large Cap Growth	Pair Corr
0.83	GTLSX	Quantitative Longshort	Pair Corr
0.87	GTSOX	Secured Options Portfolio	Pair Corr
0.91	GTSCX	Small Cap Equity	Pair Corr
0.96	GTTMX	Total Market Portfolio	Pair Corr
0.96	VTSAX	Vanguard Total Stock	Pair Corr
0.96	VFIAX	Vanguard 500 Index	Pair Corr
0.96	VTSMX	Vanguard Total Stock	Pair Corr
0.96	VITSX	Vanguard Total Stock	Pair Corr
0.96	VSMPX	Vanguard Total Stock	Pair Corr
0.96	VSTSX	Vanguard Total Stock	Pair Corr
0.96	VFINX	Vanguard 500 Index	Pair Corr
0.96	VFFSX	Vanguard 500 Index	Pair Corr
0.96	VINIX	Vanguard Institutional	Pair Corr
0.96	VIIIX	Vanguard Institutional	Pair Corr
0.92	SPGSX	State Street Premier	Pair Corr
0.95	FSSNX	Fidelity Small Cap	Pair Corr
0.9	FSPTX	Technology Portfolio	Pair Corr
0.91	AIWEX	World Energy	Pair Corr
0.9	WSCRX	Wells Fargo Advantage	Pair Corr

Moving against Large Mutual Fund

0.51	GTCIX	International Portfolio	Pair Corr
0.73	KF	Korea Closed	Pair Corr
0.31	BRUFX	Bruce Fund Bruce	Pair Corr

Related Correlations Analysis

	GQLVX	GQSCX	GTCSX	GTILX	GTLIX	GTLLX	GTLSX	GTSOX	GTTMX
GQLVX		0.88	0.88	0.95	0.99	0.95	0.83	0.89	0.95	GQLVX
GQSCX	0.88		0.98	0.84	0.9	0.84	0.84	0.72	0.93	GQSCX
GTCSX	0.88	0.98		0.84	0.91	0.84	0.88	0.76	0.95	GTCSX
GTILX	0.95	0.84	0.84		0.97	1.0	0.78	0.86	0.93	GTILX
GTLIX	0.99	0.9	0.91	0.97		0.97	0.83	0.87	0.96	GTLIX
GTLLX	0.95	0.84	0.84	1.0	0.97		0.78	0.86	0.93	GTLLX
GTLSX	0.83	0.84	0.88	0.78	0.83	0.78		0.84	0.93	GTLSX
GTSOX	0.89	0.72	0.76	0.86	0.87	0.86	0.84		0.87	GTSOX
GTTMX	0.95	0.93	0.95	0.93	0.96	0.93	0.93	0.87		GTTMX
	GQLVX	GQSCX	GTCSX	GTILX	GTLIX	GTLLX	GTLSX	GTSOX	GTTMX

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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
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
GTCSX	0.90	(0.05)	0.00	0.09	0.79	(1.15)	1.96	(1.51)	7.13
GTILX	0.73	(0.02)	(0.02)	0.10	0.90	(0.76)	1.38	(1.74)	4.42
GTLIX	0.57	(0.01)	(0.03)	0.11	0.59	(0.62)	1.42	(1.06)	4.24
GTLLX	0.73	(0.02)	(0.02)	0.10	0.90	(0.76)	1.39	(1.74)	4.39
GTLSX	0.31	0.01	(0.17)	0.15	0.22	(0.37)	0.71	(0.50)	2.57
GTSOX	0.12	0.03	(0.26)	0.29	0.00	(0.18)	0.48	(0.13)	1.15
GTTMX	0.71	(0.01)	0.00	0.11	0.66	(0.82)	1.67	(1.28)	5.93

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