Small Cap Correlations

JSCAX Fund

USD 19.58 0.28 1.41%

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

Very poor diversification

The correlation between Small Cap Value and DJI is 0.86 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Small Cap Value 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 Value. 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 SMALL Mutual Fund

0.83	FRBAX	Regional Bank	Pair Corr
0.83	FRBCX	Regional Bank	Pair Corr
0.66	JQLBX	Multimanager Lifestyle	Pair Corr
0.69	JQLAX	Multimanager Lifestyle	Pair Corr
0.73	JQLGX	Multimanager Lifestyle	Pair Corr
0.83	JRBFX	Regional Bank	Pair Corr
0.69	JRETX	J Hancock Ii	Pair Corr
0.83	JRGRX	Regional Bank	Pair Corr
0.63	JRLQX	Retirement Living Through	Pair Corr
0.69	JRLUX	Multi Index 2045	Pair Corr
0.71	JRLWX	Retirement Living Through	Pair Corr
0.63	JRLVX	Retirement Living Through	Pair Corr
0.71	JRLZX	Retirement Living Through	Pair Corr
0.69	JROUX	J Hancock Ii	Pair Corr
0.7	JRODX	J Hancock Ii	Pair Corr
0.64	JAAFX	Jhancock Multi Index	Pair Corr
0.64	JAAJX	Jhancock Multi Index	Pair Corr
0.64	JAAKX	Jhancock Multi Index	Pair Corr
0.68	JAAVX	Jhancock Multimanager	Pair Corr

Related Correlations Analysis

	FRBAX	FRBCX	JQLMX	JQLBX	JQLAX	JQLCX	JQLGX	JRBFX	JRETX	JRGRX
FRBAX		1.0	0.13	0.45	0.66	-0.2	0.57	1.0	0.69	1.0	FRBAX
FRBCX	1.0		0.13	0.45	0.65	-0.2	0.57	1.0	0.69	1.0	FRBCX
JQLMX	0.13	0.13		0.91	0.63	0.89	0.8	0.13	0.59	0.13	JQLMX
JQLBX	0.45	0.45	0.91		0.85	0.62	0.98	0.45	0.84	0.45	JQLBX
JQLAX	0.66	0.65	0.63	0.85		0.27	0.9	0.66	1.0	0.66	JQLAX
JQLCX	-0.2	-0.2	0.89	0.62	0.27		0.45	-0.2	0.23	-0.2	JQLCX
JQLGX	0.57	0.57	0.8	0.98	0.9	0.45		0.57	0.9	0.57	JQLGX
JRBFX	1.0	1.0	0.13	0.45	0.66	-0.2	0.57		0.69	1.0	JRBFX
JRETX	0.69	0.69	0.59	0.84	1.0	0.23	0.9	0.69		0.69	JRETX
JRGRX	1.0	1.0	0.13	0.45	0.66	-0.2	0.57	1.0	0.69		JRGRX
	FRBAX	FRBCX	JQLMX	JQLBX	JQLAX	JQLCX	JQLGX	JRBFX	JRETX	JRGRX

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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

FRBCX	+ 1.0	FRBAX
JRBFX	+ 1.0	FRBAX
JRGRX	+ 1.0	FRBAX
JRBFX	+ 1.0	FRBCX
JRGRX	+ 1.0	FRBCX
JRETX	+ 1.0	JQLAX

High negative correlations

JRGRX	- 0.2	JQLCX
JRBFX	- 0.2	JQLCX
JQLCX	- 0.2	FRBCX
JQLCX	- 0.2	FRBAX

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
FRBAX	1.30	0.33	0.16	(7.79)	1.04	(1.66)	2.88	(1.88)	15.75
FRBCX	1.30	0.33	0.16	(6.62)	1.07	(1.65)	2.88	(1.92)	15.70
JQLMX	0.24	(0.03)	(0.32)	0.03	0.29	(0.25)	0.41	(0.56)	1.43
JQLBX	0.34	(0.03)	(0.18)	0.05	0.41	(0.38)	0.66	(0.72)	2.06
JQLAX	0.55	0.06	(0.07)	(21.64)	0.60	(0.59)	1.22	(0.93)	3.61
JQLCX	0.16	(0.02)	(0.48)	0.00	0.17	(0.19)	0.33	(0.33)	1.00
JQLGX	0.45	(0.04)	(0.13)	0.06	0.55	(0.49)	0.90	(0.81)	2.65
JRBFX	1.30	0.33	0.16	(7.22)	1.05	(1.66)	2.88	(1.92)	15.74
JRETX	0.55	0.07	(0.06)	(8.54)	0.60	(0.64)	1.21	(0.98)	3.46
JRGRX	1.30	0.33	0.16	(8.45)	1.04	(1.66)	2.92	(1.85)	15.70

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