Mid Cap Correlations

MACGX Fund

USD 15.41 0.52 3.26%

The current 90-days correlation between Mid Cap Growth and Emerging Markets Sustainability is 0.26 (i.e., Modest diversification). The correlation of Mid 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.

Mid Cap Correlation With Market

Good diversification

The correlation between Mid Cap Growth and DJI is -0.04 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Mid Cap Growth 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 Mid 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 census.

Moving together with Mid Mutual Fund

0.91	MMCGX	Mid Cap Growth	Pair Corr
0.62	MNOPX	International Opportunity	Pair Corr
0.84	MPAIX	Advantage Portfolio Class	Pair Corr
0.91	MPEGX	Mid Cap Growth	Pair Corr
0.62	MRNPX	Msif International	Pair Corr
0.84	MADSX	Msif Advantage Port	Pair Corr

Moving against Mid Mutual Fund

0.46	TILUX	Inflation Linked Fixed	Pair Corr
0.4	TIIUX	Core Fixed Income	Pair Corr
0.34	TEMUX	Emerging Markets Equity	Pair Corr
0.33	MPFDX	Corporate Bond Portfolio	Pair Corr
0.32	TIFUX	International Fixed	Pair Corr
0.41	MSDQX	Morgan Stanley Susta	Pair Corr
0.4	MSDMX	Morgan Stanley Insti	Pair Corr
0.4	MSDUX	Morgan Stanley Insti	Pair Corr
0.39	MSBQX	Morgan Stanley Insti	Pair Corr
0.39	MSBWX	Morgan Stanley Insti	Pair Corr
0.39	MSBVX	Morgan Stanley Insti	Pair Corr
0.39	MSDOX	Morgan Stanley Insti	Pair Corr
0.31	MSBOX	Corporate Bond Portfolio	Pair Corr

Related Correlations Analysis

	MPEGX	AEMZX	ARCVX	GTLLX	ETADX	HFMDX	AEMGX	AOOIX	AROIX	DESIX
MPEGX		-0.34	-0.16	0.03	-0.24	0.05	-0.34	-0.16	-0.16	-0.36	MPEGX
AEMZX	-0.34		0.89	0.75	0.96	0.85	1.0	0.9	0.9	0.99	AEMZX
ARCVX	-0.16	0.89		0.9	0.91	0.83	0.89	1.0	1.0	0.82	ARCVX
GTLLX	0.03	0.75	0.9		0.83	0.81	0.75	0.9	0.9	0.66	GTLLX
ETADX	-0.24	0.96	0.91	0.83		0.92	0.96	0.92	0.92	0.92	ETADX
HFMDX	0.05	0.85	0.83	0.81	0.92		0.85	0.84	0.84	0.81	HFMDX
AEMGX	-0.34	1.0	0.89	0.75	0.96	0.85		0.9	0.9	0.99	AEMGX
AOOIX	-0.16	0.9	1.0	0.9	0.92	0.84	0.9		1.0	0.83	AOOIX
AROIX	-0.16	0.9	1.0	0.9	0.92	0.84	0.9	1.0		0.83	AROIX
DESIX	-0.36	0.99	0.82	0.66	0.92	0.81	0.99	0.83	0.83		DESIX
	MPEGX	AEMZX	ARCVX	GTLLX	ETADX	HFMDX	AEMGX	AOOIX	AROIX	DESIX

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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

AEMGX	+ 1.0	AEMZX
AOOIX	+ 1.0	ARCVX
AROIX	+ 1.0	ARCVX
AROIX	+ 1.0	AOOIX
DESIX	+ 0.99	AEMZX
DESIX	+ 0.99	AEMGX

High negative correlations

DESIX	- 0.36	MPEGX
AEMGX	- 0.34	MPEGX
AEMZX	- 0.34	MPEGX
ETADX	- 0.24	MPEGX
AROIX	- 0.16	MPEGX
AOOIX	- 0.16	MPEGX

Risk-Adjusted Indicators

There is a big difference between Mid Mutual Fund performing well and Mid 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 Mid 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
MPEGX	1.44	(0.26)	0.00	(0.12)	0.00	0.00	2.91	(3.30)	9.93
AEMZX	0.73	0.19	0.22	0.39	0.42	(0.90)	1.93	(1.12)	5.73
ARCVX	0.45	0.17	0.33	0.43	0.00	(0.61)	0.64	(0.55)	11.56
GTLLX	1.14	0.21	0.16	0.28	0.95	(1.36)	1.53	(2.12)	20.50
ETADX	0.74	0.09	0.08	0.16	0.81	(0.77)	1.73	(1.49)	4.20
HFMDX	1.10	0.00	0.01	0.06	1.37	(1.12)	2.32	(2.48)	7.48
AEMGX	0.73	0.19	0.22	0.39	0.43	(0.90)	1.96	(1.12)	5.76
AOOIX	0.55	0.18	0.29	0.37	0.00	(0.69)	0.84	(0.76)	12.62
AROIX	0.55	0.18	0.29	0.37	0.00	(0.70)	0.84	(0.82)	12.56
DESIX	0.59	0.09	0.09	0.25	0.48	(0.65)	1.17	(1.04)	3.77

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