Small-cap Value Correlations

LRSCX Fund

USD 15.71 0.14 0.90%

The current 90-days correlation between Small Cap Value and Angel Oak Financial is 0.33 (i.e., Weak diversification). The correlation of Small-cap Value 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 Value Correlation With Market

Almost no diversification

The correlation between Small Cap Value Series and DJI is 0.93 (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 Value Series and DJI in the same portfolio, assuming nothing else is changed.

Check out Correlation Analysis to better understand how to build diversified portfolios, which includes a position in Small Cap Value Series. 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-cap Mutual Fund

0.89	ELMFX	Lord Abbett Trust	Pair Corr
0.89	ELMCX	Lord Abbett Trust	Pair Corr
0.96	LFSFX	Lord Abbett Focused	Pair Corr
0.77	LFRAX	Floating Rate	Pair Corr
0.73	LFRFX	Floating Rate	Pair Corr
0.77	LFRIX	Floating Rate	Pair Corr
0.71	LFRRX	Lord Abbett Inv	Pair Corr
0.81	LFROX	Lord Abbett Floating	Pair Corr
0.98	LFVAX	Lord Abbett Focused	Pair Corr
0.95	LFVCX	Lord Abbett Focused	Pair Corr
0.8	HYMOX	Lord Abbett High	Pair Corr
0.9	HYMQX	Lord Abbett Short	Pair Corr
0.78	HYMAX	Lord Abbett High	Pair Corr
0.74	HYMCX	Lord Abbett High	Pair Corr
0.78	HYMFX	Lord Abbett High	Pair Corr
0.76	HYMIX	Lord Abbett High	Pair Corr
0.86	LGCAX	Lord Abbett Global	Pair Corr
0.87	LGCFX	Lord Abbett Global	Pair Corr
0.86	LGCCX	Lord Abbett Global	Pair Corr
0.86	LGCRX	Lord Abbett Global	Pair Corr
0.87	LGCOX	Lord Abbett Global	Pair Corr
0.87	LGCVX	Lord Abbett Global	Pair Corr
0.86	LGCSX	Lord Abbett Global	Pair Corr
0.87	LGCYX	Lord Abbett Global	Pair Corr
0.87	LGCWX	Lord Abbett Global	Pair Corr
0.89	EMILX	Lord Abbett Emerging	Pair Corr
0.74	LGOFX	Lord Abbett Growth	Pair Corr
0.75	LGOQX	Lord Abbett Growth	Pair Corr
0.75	LGORX	Lord Abbett Growth	Pair Corr

Moving against Small-cap Mutual Fund

0.35	LGLIX	Lord Abbett Growth	Pair Corr
0.38	LHCCX	Lord Abbett Health	Pair Corr
0.36	LHCAX	Lord Abbett Health	Pair Corr

Related Correlations Analysis

	RPFGX	SBFAX	MCBXX	PUFCX	XFINX
RPFGX		0.95	0.0	0.93	0.37	RPFGX
SBFAX	0.95		0.0	0.89	0.27	SBFAX
MCBXX	0.0	0.0		0.0	0.0	MCBXX
PUFCX	0.93	0.89	0.0		0.15	PUFCX
XFINX	0.37	0.27	0.0	0.15		XFINX
	RPFGX	SBFAX	MCBXX	PUFCX	XFINX

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

SBFAX	+ 0.95	RPFGX
PUFCX	+ 0.93	RPFGX
PUFCX	+ 0.89	SBFAX
XFINX	+ 0.37	RPFGX
XFINX	+ 0.27	SBFAX
XFINX	+ 0.15	PUFCX

High negative correlations

XFINX	- 0.0	MCBXX
PUFCX	- 0.0	MCBXX
MCBXX	- 0.0	SBFAX
MCBXX	- 0.0	RPFGX

Risk-Adjusted Indicators

There is a big difference between Small-cap Mutual Fund performing well and Small-cap Value 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 Value'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
RPFGX	0.75	0.10	0.05	0.90	0.87	(0.78)	1.71	(1.71)	4.39
SBFAX	1.00	0.25	0.27	0.43	0.48	(1.32)	1.70	(1.43)	18.47
MCBXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
PUFCX	1.04	0.18	0.12	1.38	0.85	(1.29)	1.89	(1.82)	15.18
XFINX	0.15	(0.02)	0.00	(0.23)	0.00	0.00	0.22	(0.78)	1.29

Macroaxis helps investors of all levels and skills to maximize the upside of all their holdings and minimize the risk associated with market volatility, economic swings, and company-specific events. View terms and conditions

Feedback Blog

Made with optimal in San Francisco

2026 Macroaxis LLC