Needham Small Correlations

NESGX Fund

USD 23.35 1.06 4.76%

The current 90-days correlation between Needham Small Cap and Small Pany Fund is 0.83 (i.e., Very poor diversification). The correlation of Needham Small 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.

Needham Small Correlation With Market

Very poor diversification

The correlation between Needham Small Cap and DJI is 0.89 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Needham Small Cap 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 Needham Small Cap. 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 price.

Moving together with Needham Mutual Fund

0.98	NEAIX	Needham Aggressive Growth	Pair Corr
0.98	NEAGX	Needham Aggressive Growth	Pair Corr
0.96	NEEGX	Needham Growth	Pair Corr
0.94	NEEIX	Needham Growth	Pair Corr
1.0	NESIX	Needham Small Cap	Pair Corr
0.96	VSMAX	Vanguard Small Cap	Pair Corr
0.96	VSCIX	Vanguard Small Cap	Pair Corr
0.96	VSCPX	Vanguard Small Cap	Pair Corr
0.96	NAESX	Vanguard Small Cap	Pair Corr
0.97	FSSNX	Fidelity Small Cap	Pair Corr
0.94	DFSTX	Us Small Cap	Pair Corr
0.92	FTHSX	Fuller Thaler Behavioral	Pair Corr
0.92	FTHNX	Fuller Thaler Behavioral	Pair Corr
0.84	PASVX	T Rowe Price	Pair Corr
0.79	PRVIX	T Rowe Price	Pair Corr
0.78	NHS	Neuberger Berman High	Pair Corr
0.7	PBFKX	Pioneer Bond	Pair Corr
0.88	AHTFX	American High Income	Pair Corr
0.81	TEIMX	T Rowe Price	Pair Corr
0.79	MMJCX	Massmutual Advantage	Pair Corr
0.7	LIFQX	Lord Abbett Inflation	Pair Corr
0.81	STISX	Federated Strategic	Pair Corr
0.85	PAHWX	Pgim Jennison Intern	Pair Corr
0.82	SHXYX	American Beacon Shapiro	Pair Corr
0.8	ACBYX	American Beacon Balanced	Pair Corr
0.85	APDUX	Artisan Floating Rate	Pair Corr
0.92	TVIIX	Tiaa Cref Lifecycle	Pair Corr
0.8	SSIFX	Sextant International	Pair Corr
0.65	FPNIX	Fpa New Income	Pair Corr
0.82	SGGDX	First Eagle Gold	Pair Corr
0.85	CDGCX	Crafword Dividend Growth	Pair Corr
0.89	LPDAX	Blackrock Lifepath	Pair Corr
0.63	RGSVX	Rare Global Infrastr	Pair Corr
0.9	FRCKX	Fidelity Freedom Blend	Pair Corr
0.86	DVOIX	Dividend Opportunities	Pair Corr
0.87	ESCIX	Ashmore Emerging Markets	Pair Corr
0.86	JSASX	Jpmorgan Smartretirement	Pair Corr
0.9	MAMAX	Mfs Moderate Allocation	Pair Corr
0.76	EBNCX	American Funds Emerging	Pair Corr

Related Correlations Analysis

	NEEGX	MECDX	MRLTX	JNVSX	AMIDX	AMDWX	DUNK	ICPAX	WSBFX	ASQIX
NEEGX		0.77	0.71	0.41	0.93	0.93	-0.66	0.78	0.75	0.88	NEEGX
MECDX	0.77		0.85	0.65	0.85	0.85	-0.57	0.47	0.88	0.92	MECDX
MRLTX	0.71	0.85		0.57	0.84	0.84	-0.52	0.33	0.99	0.91	MRLTX
JNVSX	0.41	0.65	0.57		0.59	0.59	-0.57	0.28	0.66	0.66	JNVSX
AMIDX	0.93	0.85	0.84	0.59		1.0	-0.75	0.74	0.89	0.93	AMIDX
AMDWX	0.93	0.85	0.84	0.59	1.0		-0.75	0.74	0.89	0.93	AMDWX
DUNK	-0.66	-0.57	-0.52	-0.57	-0.75	-0.75		-0.72	-0.61	-0.64	DUNK
ICPAX	0.78	0.47	0.33	0.28	0.74	0.74	-0.72		0.41	0.52	ICPAX
WSBFX	0.75	0.88	0.99	0.66	0.89	0.89	-0.61	0.41		0.94	WSBFX
ASQIX	0.88	0.92	0.91	0.66	0.93	0.93	-0.64	0.52	0.94		ASQIX
	NEEGX	MECDX	MRLTX	JNVSX	AMIDX	AMDWX	DUNK	ICPAX	WSBFX	ASQIX

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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

AMDWX	+ 1.0	AMIDX
WSBFX	+ 0.99	MRLTX
ASQIX	+ 0.94	WSBFX
AMIDX	+ 0.93	NEEGX
AMDWX	+ 0.93	NEEGX
ASQIX	+ 0.93	AMIDX

High negative correlations

DUNK	- 0.75	AMDWX
DUNK	- 0.75	AMIDX
ICPAX	- 0.72	DUNK
DUNK	- 0.66	NEEGX
ASQIX	- 0.64	DUNK
WSBFX	- 0.61	DUNK

Risk-Adjusted Indicators

There is a big difference between Needham Mutual Fund performing well and Needham Small 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 Needham Small'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
NEEGX	1.60	0.05	0.05	0.11	2.39	(1.67)	2.76	(3.24)	18.22
MECDX	0.72	0.15	0.09	9.17	0.54	(0.85)	1.21	(1.11)	10.45
MRLTX	1.03	0.22	0.16	0.50	0.84	(1.20)	1.28	(1.84)	19.76
JNVSX	0.81	0.21	0.19	0.98	0.44	(1.13)	1.70	(1.18)	13.63
AMIDX	0.73	0.18	0.13	0.35	0.75	(0.78)	1.73	(1.45)	5.19
AMDWX	0.74	0.18	0.13	0.35	0.77	(0.78)	1.73	(1.46)	5.21
DUNK	0.84	(0.34)	0.00	(0.39)	0.00	0.00	1.50	(2.09)	5.34
ICPAX	0.83	0.13	0.05	0.83	1.01	(0.86)	1.86	(1.96)	4.01
WSBFX	0.46	0.12	0.14	0.41	0.10	(0.57)	0.90	(0.57)	8.26
ASQIX	0.88	0.08	0.08	0.15	0.86	(0.98)	2.25	(1.67)	4.61

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