Small Cap Correlations

GTSCX Fund

USD 33.86 0.10 0.29%

The current 90-days correlation between Small Cap Equity and Ridgeworth Ceredex Mid Cap is 0.24 (i.e., Modest 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

Almost no diversification

The correlation between Small Cap Equity 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 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 services.

Moving together with Small Mutual Fund

0.98	NOVIX	Glenmede International	Pair Corr
0.97	GEQIX	Equity Income Portfolio	Pair Corr
0.97	RESGX	Responsible Esg Equity	Pair Corr
0.97	GLSOX	Secured Options Portfolio	Pair Corr
0.99	GQLVX	Quantitative U S	Pair Corr
0.98	GQSCX	Quantitative U S	Pair Corr
0.94	GTAPX	Long/short Portfolio	Pair Corr
0.82	GTCEX	Strategic Equity Por	Pair Corr
0.94	GTCIX	International Portfolio	Pair Corr
1.0	GTCSX	Small Cap Equity	Pair Corr
0.74	GTILX	Large Cap Growth	Pair Corr
0.97	GTLIX	Large Cap Core	Pair Corr
0.95	GTLLX	Large Cap Growth	Pair Corr
0.97	GTLOX	Large Cap E	Pair Corr
0.94	GTLSX	Quantitative Longshort	Pair Corr
0.97	GTSOX	Secured Options Portfolio	Pair Corr
0.96	GTTMX	Total Market Portfolio	Pair Corr
0.93	VSMAX	Vanguard Small Cap	Pair Corr
0.93	VSCIX	Vanguard Small Cap	Pair Corr
0.93	VSCPX	Vanguard Small Cap	Pair Corr
0.93	NAESX	Vanguard Small Cap	Pair Corr
0.92	FSSNX	Fidelity Small Cap	Pair Corr
0.93	DFSTX	Us Small Cap	Pair Corr
0.92	FTHSX	Fuller Thaler Behavioral	Pair Corr
0.92	FTHNX	Fuller Thaler Behavioral	Pair Corr
0.98	PASVX	T Rowe Price	Pair Corr
0.97	PRVIX	T Rowe Price	Pair Corr
0.9	OPGSX	Oppenheimer Gold Spec Steady Growth	Pair Corr
0.8	KF	Korea Closed	Pair Corr
0.9	EKWAX	Wells Fargo Advantage Steady Growth	Pair Corr
0.9	GOLDX	Gabelli Gold Steady Growth	Pair Corr
0.86	FKRCX	Franklin Gold Precious Steady Growth	Pair Corr
0.91	UNWPX	World Precious Minerals	Pair Corr
0.89	UJPIX	Ultrajapan Profund	Pair Corr
0.89	FSAGX	Gold Portfolio Gold Steady Growth	Pair Corr
0.91	SGGDX	First Eagle Gold	Pair Corr
0.9	PSPFX	Global Resources	Pair Corr
0.76	NEITX	Nebraska Municipal	Pair Corr

Moving against Small Mutual Fund

0.91

GWILX

Woman In Leadership

Pair Corr

Related Correlations Analysis

	ICSCX	ARSVX	QRSVX	BSMAX	HNTVX	WHGSX	BOSOX	WBSIX	WBSNX	SMVTX
ICSCX		0.86	0.96	0.97	0.97	0.97	0.95	0.91	0.93	0.94	ICSCX
ARSVX	0.86		0.72	0.85	0.91	0.92	0.96	0.94	0.87	0.95	ARSVX
QRSVX	0.96	0.72		0.91	0.89	0.91	0.86	0.79	0.84	0.86	QRSVX
BSMAX	0.97	0.85	0.91		0.95	0.96	0.94	0.93	0.98	0.91	BSMAX
HNTVX	0.97	0.91	0.89	0.95		0.97	0.97	0.97	0.93	0.98	HNTVX
WHGSX	0.97	0.92	0.91	0.96	0.97		0.98	0.94	0.94	0.96	WHGSX
BOSOX	0.95	0.96	0.86	0.94	0.97	0.98		0.96	0.94	0.97	BOSOX
WBSIX	0.91	0.94	0.79	0.93	0.97	0.94	0.96		0.95	0.95	WBSIX
WBSNX	0.93	0.87	0.84	0.98	0.93	0.94	0.94	0.95		0.89	WBSNX
SMVTX	0.94	0.95	0.86	0.91	0.98	0.96	0.97	0.95	0.89		SMVTX
	ICSCX	ARSVX	QRSVX	BSMAX	HNTVX	WHGSX	BOSOX	WBSIX	WBSNX	SMVTX

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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 Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
ICSCX	0.73	0.16	0.19	0.23	0.54	(0.88)	2.14	(1.58)	4.43
ARSVX	0.88	0.20	0.23	0.37	0.45	(1.19)	2.06	(1.22)	12.55
QRSVX	0.70	0.11	0.14	0.18	0.53	(0.84)	1.83	(1.14)	4.49
BSMAX	0.82	0.06	0.07	0.12	0.82	(0.93)	1.87	(1.77)	5.17
HNTVX	0.94	0.34	0.36	0.36	0.44	(1.13)	2.91	(1.52)	10.12
WHGSX	0.86	0.18	0.20	0.24	0.58	(1.12)	2.76	(1.37)	6.30
BOSOX	0.77	0.10	0.10	0.18	0.61	(0.96)	2.07	(1.53)	5.46
WBSIX	1.08	0.19	0.18	0.21	0.79	(1.29)	2.46	(1.75)	10.40
WBSNX	0.92	0.06	0.07	0.11	0.95	(1.05)	2.23	(1.76)	4.91
SMVTX	1.01	0.35	0.34	0.50	0.48	(1.22)	2.24	(1.60)	15.02

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