Small Cap Correlations

Mutual Funds USA . 
Fund . Small Cap Growth
JSJAX Fund  USD 15.99  0.00  0.00%   
The current 90-days correlation between Small Cap Growth and Regional Bank Fund is -0.09 (i.e., Good 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

Very poor diversification

The correlation between Small Cap Growth 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 Small Cap Growth 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 Growth. 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

  0.76FRBAX Regional BankPairCorr
  0.76FRBCX Regional BankPairCorr
  0.93JQLMX Multimanager LifestylePairCorr
  0.91JQLBX Multimanager LifestylePairCorr
  0.92JQLAX Multimanager LifestylePairCorr
  0.93JQLCX Multimanager LifestylePairCorr
  0.92JQLGX Multimanager LifestylePairCorr
  0.91JRBFX Regional BankPairCorr
  0.94JRETX J Hancock IiPairCorr
  0.88JRGRX Regional BankPairCorr
  0.9JRLDX Retirement Living ThroughPairCorr
  0.89JRLFX Multi Index 2010PairCorr
  0.9JRLIX Retirement Living ThroughPairCorr
  0.89JRLHX Retirement Living ThroughPairCorr
  0.9JRLKX Multi Index 2015PairCorr
  0.9JRLLX Retirement Living ThroughPairCorr
  0.9JRLOX Retirement Living ThroughPairCorr
  0.94JRLQX Retirement Living ThroughPairCorr
  0.9JRLPX Multi Index 2020PairCorr
  0.94JRLUX Multi Index 2045PairCorr
  0.94JRLWX Retirement Living ThroughPairCorr
  0.94JRLVX Retirement Living ThroughPairCorr
  0.94JRLZX Retirement Living ThroughPairCorr
  0.94JROUX J Hancock IiPairCorr
  0.94JRODX J Hancock IiPairCorr
  0.94JAAFX Jhancock Multi IndexPairCorr
  0.87JAAIX Alternative AssetPairCorr
  0.94JAAKX Jhancock Multi IndexPairCorr
  0.88JAAPX Alternative AssetPairCorr
  0.91JRTBX Retirement Living ThroughPairCorr
  0.9JRTAX Retirement Living ThroughPairCorr
  0.88JAARX Alternative AssetPairCorr
  0.91JRTDX Multi Index 2025PairCorr
  0.91JRTGX Retirement Living ThroughPairCorr
  0.9JRTFX Retirement Living ThroughPairCorr
  0.88JAASX Alternative AssetPairCorr
  0.91JRTIX Multi Index 2030PairCorr
  0.94JAAVX Jhancock MultimanagerPairCorr
  0.92JRTKX Retirement Living ThroughPairCorr

Related Correlations Analysis


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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
FRBAX  0.94  0.21  0.17  0.79  0.81 
(1.13)
 2.73 
(1.09)
 7.38 
FRBCX  0.94  0.21  0.17  0.78  0.81 
(1.13)
 2.74 
(1.14)
 7.39 
JQLMX  0.32  0.10  0.14 (1.99) 0.00 
(0.40)
 0.58 
(0.57)
 4.52 
JQLBX  0.52  0.19  0.26 (1.35) 0.00 
(0.67)
 0.87 
(0.85)
 9.82 
JQLAX  0.83  0.28  0.33  0.44  0.36 
(1.04)
 1.20 
(1.42)
 17.37 
JQLCX  0.16  0.02 (0.08) 1.24  0.00 
(0.21)
 0.41 
(0.24)
 0.97 
JQLGX  0.70  0.23  0.31  0.43  0.24 
(0.91)
 1.06 
(1.21)
 14.24 
JRBFX  1.03  0.32  0.26  0.92  0.66 
(1.27)
 3.19 
(1.09)
 9.66 
JRETX  0.63  0.14  0.11 (1.45) 0.60 
(0.72)
 1.13 
(1.38)
 6.01 
JRGRX  1.03  0.29  0.26  0.32  0.69 
(1.24)
 3.15 
(1.09)
 9.62 

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