Small-cap Value Correlations

LRSPX Fund

USD 13.63 0.05 0.37%

The current 90-days correlation between Small Cap Value and Transamerica High Yield is -0.03 (i.e., Good 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

Poor diversification

The correlation between Small Cap Value Series and DJI is 0.68 (i.e., Poor 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 inflation.

Moving together with Small-cap Mutual Fund

0.8	VSIIX	Vanguard Small Cap	Pair Corr
0.95	VISVX	Vanguard Small Cap	Pair Corr
0.93	DFSVX	Us Small Cap	Pair Corr
0.77	DFFVX	Us Targeted Value	Pair Corr
0.94	UBVCX	Undiscovered Managers	Pair Corr
0.95	UBVAX	Undiscovered Managers	Pair Corr
0.95	UBVSX	Undiscovered Managers	Pair Corr
0.98	VSMCX	Invesco Small Cap	Pair Corr
0.78	PFN	Pimco Income Strategy	Pair Corr
0.64	DIS	Walt Disney	Pair Corr
0.76	AA	Alcoa Corp Downward Rally	Pair Corr

Moving against Small-cap Mutual Fund

0.62	XNXJX	Nuveen New Jersey	Pair Corr
0.55	XDSMX	Dreyfus Strategic	Pair Corr
0.55	T	ATT Inc Earnings Call Tomorrow	Pair Corr
0.46	NXJ	Nuveen New Jersey Potential Growth	Pair Corr
0.39	XNBHX	Neuberger Berman Int	Pair Corr
0.37	VZ	Verizon Communications Earnings Call This Week	Pair Corr
0.36	MSFT	Microsoft Earnings Call Tomorrow	Pair Corr

Related Correlations Analysis

	TIYRX	MHYRX	LSYFX	JDHYX	PAXHX	SGYAX	TAHFX
TIYRX		0.95	0.97	0.96	0.99	0.96	0.99	TIYRX
MHYRX	0.95		0.94	0.96	0.95	0.96	0.93	MHYRX
LSYFX	0.97	0.94		0.99	0.96	0.94	0.97	LSYFX
JDHYX	0.96	0.96	0.99		0.96	0.95	0.95	JDHYX
PAXHX	0.99	0.95	0.96	0.96		0.97	0.99	PAXHX
SGYAX	0.96	0.96	0.94	0.95	0.97		0.96	SGYAX
TAHFX	0.99	0.93	0.97	0.95	0.99	0.96		TAHFX
	TIYRX	MHYRX	LSYFX	JDHYX	PAXHX	SGYAX	TAHFX

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	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
TIYRX	0.13	0.02	(0.26)	1.40	(0.20)	0.34	(0.23)	0.91
MHYRX	0.09	0.01	(0.27)	0.19	(0.19)	0.19	(0.19)	0.39
LSYFX	0.13	0.02	(0.32)	0.22	(0.22)	0.31	(0.21)	1.14
JDHYX	0.16	0.02	(0.21)	0.17	(0.21)	0.41	(0.27)	0.95
PAXHX	0.13	0.02	(0.25)	(13.88)	(0.21)	0.33	(0.16)	0.98
SGYAX	0.12	0.03	(0.23)	1.67	(0.26)	0.57	(0.14)	0.87
TAHFX	0.13	0.02	(0.24)	3.83	(0.19)	0.25	(0.25)	1.11

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