Large Cap Correlations

IICAX Fund

USD 11.81 0.01 0.08%

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 0.87 (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

0.85	IICHX	Large Cap Equity	Pair Corr
0.83	VTSAX	Vanguard Total Stock	Pair Corr
0.73	VFIAX	Vanguard 500 Index	Pair Corr
0.75	VTSMX	Vanguard Total Stock	Pair Corr
0.75	VITSX	Vanguard Total Stock	Pair Corr
0.75	VSMPX	Vanguard Total Stock	Pair Corr
0.83	VSTSX	Vanguard Total Stock	Pair Corr
0.73	VFINX	Vanguard 500 Index	Pair Corr
0.81	VFFSX	Vanguard 500 Index	Pair Corr
0.62	UCBIX	Usaa California Bond	Pair Corr
0.82	OCHIX	Oberweis China Oppor	Pair Corr
0.8	VSQSX	Invesco Global Respons	Pair Corr
0.87	GEMRX	Aberdeen Emerging Markets	Pair Corr
0.82	MSPIX	Mainstay Sp 500	Pair Corr
0.83	ANFFX	New Economy Fund	Pair Corr
0.85	BBIIX	Bbh Intermediate Mun	Pair Corr
0.91	TTOIX	Target 2060 Fund	Pair Corr
0.86	GMWEX	Guidemark World Ex	Pair Corr
0.92	CWIEX	Capital World Growth	Pair Corr
0.93	HMVAX	Hartford Mid Cap	Pair Corr
0.62	JNVYX	Jensen Quality Value	Pair Corr
0.88	EMECX	Ashmore Emerging Markets	Pair Corr
0.9	VWIAX	Vanguard Wellesley Income	Pair Corr
0.9	SSCKX	State Street Target	Pair Corr
0.81	FXAIX	Fidelity 500 Index	Pair Corr
0.88	OAKWX	Oakmark Global Select	Pair Corr
0.93	LAMCX	Lord Abbett Calibrated	Pair Corr
0.84	AUUIX	Ab Select Equity	Pair Corr
0.86	DIFDX	Mfs Diversified Income	Pair Corr
0.93	FHGLX	Fidelity Advisor Freedom	Pair Corr
0.88	UASBX	Short Term Bond	Pair Corr

Related Correlations Analysis

	PVFAX	WMKTX	LOGSX	TRARX	MADFX	FLRYX	OTPSX	TREMX
PVFAX		0.86	0.66	0.3	0.43	0.46	0.52	0.84	PVFAX
WMKTX	0.86		0.77	0.5	0.64	0.71	0.55	0.98	WMKTX
LOGSX	0.66	0.77		0.32	0.44	0.49	0.2	0.79	LOGSX
TRARX	0.3	0.5	0.32		0.78	0.59	0.19	0.53	TRARX
MADFX	0.43	0.64	0.44	0.78		0.88	0.21	0.65	MADFX
FLRYX	0.46	0.71	0.49	0.59	0.88		0.42	0.68	FLRYX
OTPSX	0.52	0.55	0.2	0.19	0.21	0.42		0.49	OTPSX
TREMX	0.84	0.98	0.79	0.53	0.65	0.68	0.49		TREMX
	PVFAX	WMKTX	LOGSX	TRARX	MADFX	FLRYX	OTPSX	TREMX

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
PVFAX	0.92	0.16	0.13	0.48	0.87	(1.06)	2.23	(1.73)	7.84
WMKTX	0.48	0.13	0.14	5.39	0.38	(0.59)	0.86	(0.91)	5.72
LOGSX	0.69	0.06	0.06	0.16	0.67	(0.82)	1.42	(1.46)	3.78
TRARX	0.17	0.06	0.09	(3.62)	0.00	(0.23)	0.51	(0.34)	1.12
MADFX	0.63	0.30	0.50	0.67	0.00	(0.84)	1.48	(0.71)	7.62
FLRYX	0.67	0.17	0.18	0.31	0.57	(0.72)	1.37	(1.10)	9.15
OTPSX	0.79	(0.04)	0.00	6.15	0.00	0.00	1.49	(2.05)	5.04
TREMX	1.04	0.44	0.43	(4.39)	0.38	(1.43)	2.45	(1.02)	13.13

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Large Cap Correlations

Large Cap Correlation With Market

Very poor diversification

Moving together with Large Mutual Fund

Related Correlations Analysis

Risk-Adjusted Indicators

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