Small Cap Correlations

LRSYX Fund

USD 24.48 0.44 1.83%

The current 90-days correlation between Small Cap Value and Lord Abbett Trust is 0.03 (i.e., Significant 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 Value Series 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 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 manufacturing.

Moving together with Small Mutual Fund

1.0	LFSFX	Lord Abbett Focused	Pair Corr
0.65	LFRAX	Floating Rate	Pair Corr
0.63	LFRFX	Floating Rate	Pair Corr
0.62	LFRIX	Floating Rate	Pair Corr
0.63	LFRRX	Lord Abbett Inv	Pair Corr
0.63	LFROX	Lord Abbett Floating	Pair Corr
1.0	LFVAX	Lord Abbett Focused	Pair Corr
1.0	LFVCX	Lord Abbett Focused	Pair Corr
0.75	LGCAX	Lord Abbett Global	Pair Corr
0.75	LGCFX	Lord Abbett Global	Pair Corr
0.72	LGCCX	Lord Abbett Global	Pair Corr
0.75	LGCRX	Lord Abbett Global	Pair Corr
0.76	LGCOX	Lord Abbett Global	Pair Corr
0.75	LGCVX	Lord Abbett Global	Pair Corr
0.76	LGCYX	Lord Abbett Global	Pair Corr
0.73	LGCWX	Lord Abbett Global	Pair Corr
0.87	LGLCX	Lord Abbett Growth	Pair Corr
0.85	LGLAX	Lord Abbett Growth	Pair Corr
0.85	LGLFX	Lord Abbett Growth	Pair Corr
0.87	LGLIX	Lord Abbett Growth	Pair Corr
0.85	LGLOX	Lord Abbett Growth	Pair Corr
0.85	LGLSX	L Abbett Growth	Pair Corr
0.87	LGLQX	Lord Abbett Growth	Pair Corr
0.87	LGLUX	L Abbett Growth	Pair Corr
0.85	LGLVX	L Abbett Growth	Pair Corr
0.87	LGOFX	Lord Abbett Growth	Pair Corr
0.87	LGORX	Lord Abbett Growth	Pair Corr
0.87	LGOPX	Lord Abbett Growth	Pair Corr
0.87	LGOVX	Lord Abbett Growth	Pair Corr
0.87	LGOSX	Lord Abbett Growth	Pair Corr
0.85	LGOTX	Lord Abbett Growth	Pair Corr

Related Correlations Analysis

	ELMFX	ELMCX	LFSFX	LFRAX	LFRRX	LFROX	HYMOX	HYMQX
ELMFX		0.93	0.21	0.44	0.4	0.43	0.51	0.59	ELMFX
ELMCX	0.93		0.15	0.37	0.35	0.38	0.57	0.61	ELMCX
LFSFX	0.21	0.15		0.65	0.63	0.64	0.04	0.29	LFSFX
LFRAX	0.44	0.37	0.65		0.98	0.98	0.36	0.69	LFRAX
LFRRX	0.4	0.35	0.63	0.98		1.0	0.37	0.71	LFRRX
LFROX	0.43	0.38	0.64	0.98	1.0		0.39	0.72	LFROX
HYMOX	0.51	0.57	0.04	0.36	0.37	0.39		0.91	HYMOX
HYMQX	0.59	0.61	0.29	0.69	0.71	0.72	0.91		HYMQX
	ELMFX	ELMCX	LFSFX	LFRAX	LFRRX	LFROX	HYMOX	HYMQX

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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
ELMFX	0.78	0.01	(0.12)	0.06	1.01	(0.81)	1.49	(1.84)	4.67
ELMCX	0.76	(0.05)	(0.11)	0.02	1.00	(0.79)	1.51	(1.81)	4.67
LFSFX	0.92	(0.02)	0.04	0.11	0.78	(1.18)	2.23	(1.32)	7.53
LFRAX	0.08	0.03	0.00	(1.32)	0.00	0.00	0.13	(0.12)	1.00
LFRRX	0.07	0.03	0.00	(23.36)	0.00	0.00	0.13	0.00	0.75
LFROX	0.08	0.03	0.00	1.93	0.00	0.00	0.13	(0.12)	0.99
HYMOX	0.14	0.00	(0.27)	0.21	0.21	(0.19)	0.37	(0.27)	1.54
HYMQX	0.09	0.01	(0.48)	0.44	0.00	(0.14)	0.35	(0.14)	0.98

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Small Cap Correlations

Small Cap Correlation With Market

Very poor diversification

Moving together with Small Mutual Fund

Related Correlations Analysis

Risk-Adjusted Indicators

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