Large Cap Correlations

IICAX Fund

USD 12.30 0.03 0.24%

The current 90-days correlation between Large Cap Equity and Fidelity Select Semiconductors is 0.72 (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

Very poor diversification

The correlation between Large Cap Equity and DJI is 0.8 (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 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 Large 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 nation.

Moving together with Large Mutual Fund

1.0	IICHX	Large Cap Equity	Pair Corr
0.95	VTSAX	Vanguard Total Stock	Pair Corr
0.96	VFIAX	Vanguard 500 Index	Pair Corr
0.95	VTSMX	Vanguard Total Stock	Pair Corr
0.95	VITSX	Vanguard Total Stock	Pair Corr
0.95	VSMPX	Vanguard Total Stock	Pair Corr
0.95	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
0.81	FTCAX	Templeton Strained Bond	Pair Corr
0.83	PYAIX	Payden Absolute Return	Pair Corr
0.82	PYARX	Payden Absolute Return	Pair Corr
0.86	BCAAX	Brandywineglobal C	Pair Corr
0.92	VSEQX	Vanguard Strategic Equity	Pair Corr
0.87	IMOPX	Voya Midcap Opportunities	Pair Corr
0.95	MLMAX	Global E Portfolio	Pair Corr
0.84	GQLOX	Gmo Quality Fund	Pair Corr
0.86	FAIGX	Fidelity Advisor Balanced	Pair Corr
0.9	VEXRX	Vanguard Explorer	Pair Corr
0.94	ILESX	Fisher Investments	Pair Corr
0.96	AMEIX	Equity Growth	Pair Corr
0.66	NADCX	Nationwide Investor	Pair Corr
0.72	FXIFX	Fidelity Freedom Index	Pair Corr
0.61	HGXVX	Hartford Global Impact	Pair Corr
0.92	AMECX	Income Fund	Pair Corr
0.9	FSEIX	Nuveen Mid Cap	Pair Corr
0.89	PGAIX	Pimco Global Multi	Pair Corr
0.93	ARIDX	Amg River Road	Pair Corr
0.97	BALFX	American Balanced	Pair Corr

Moving against Large Mutual Fund

0.96	USPSX	Profunds Ultrashort	Pair Corr
0.96	USPIX	Profunds Ultrashort	Pair Corr
0.92	UIPIX	Ultrashort Mid Cap	Pair Corr

Related Correlations Analysis

	FSELX	WWLAX	RYRUX	FHCOX	RGRYX	GUTEX	FAIGX	AMEIX
FSELX		0.64	0.62	0.6	0.84	-0.45	0.86	0.82	FSELX
WWLAX	0.64		0.95	0.7	0.88	0.0	0.63	0.92	WWLAX
RYRUX	0.62	0.95		0.68	0.88	0.0	0.6	0.91	RYRUX
FHCOX	0.6	0.7	0.68		0.78	-0.13	0.64	0.81	FHCOX
RGRYX	0.84	0.88	0.88	0.78		-0.16	0.83	0.99	RGRYX
GUTEX	-0.45	0.0	0.0	-0.13	-0.16		-0.16	-0.14	GUTEX
FAIGX	0.86	0.63	0.6	0.64	0.83	-0.16		0.81	FAIGX
AMEIX	0.82	0.92	0.91	0.81	0.99	-0.14	0.81		AMEIX
	FSELX	WWLAX	RYRUX	FHCOX	RGRYX	GUTEX	FAIGX	AMEIX

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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

AMEIX	+ 0.99	RGRYX
RYRUX	+ 0.95	WWLAX
AMEIX	+ 0.92	WWLAX
AMEIX	+ 0.91	RYRUX
RGRYX	+ 0.88	WWLAX
RGRYX	+ 0.88	RYRUX

High negative correlations

GUTEX	- 0.45	FSELX
FAIGX	- 0.16	GUTEX
GUTEX	- 0.16	RGRYX
AMEIX	- 0.14	GUTEX
GUTEX	- 0.13	FHCOX
GUTEX	- 0.0	RYRUX

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
FSELX	1.59	(0.13)	(0.03)	0.04	2.41	(1.58)	3.39	(4.38)	9.85
WWLAX	0.55	(0.03)	(0.09)	0.09	0.43	(0.67)	1.15	(0.95)	3.95
RYRUX	1.83	(0.07)	0.08	0.10	1.93	(1.92)	4.16	(3.30)	15.20
FHCOX	0.04	0.01	0.00	(0.40)	0.00	0.00	0.10	0.00	0.60
RGRYX	0.78	0.02	0.01	0.15	1.08	(0.80)	1.85	(2.34)	5.55
GUTEX	0.21	0.04	(0.21)	(0.22)	0.26	(0.28)	0.58	(0.46)	1.90
FAIGX	0.24	(0.01)	(0.21)	0.08	0.28	(0.41)	0.58	(0.68)	1.88
AMEIX	0.55	0.02	(0.01)	0.15	0.66	(0.60)	1.12	(1.55)	3.88

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