Northern Small Correlations

NOSGX Fund

USD 22.49 0.21 0.93%

The current 90-days correlation between Northern Small Cap and American Beacon Large is 0.88 (i.e., Very poor diversification). The correlation of Northern 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.

Northern Small Correlation With Market

Very poor diversification

The correlation between Northern Small Cap and DJI is 0.85 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Northern 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 Northern 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 Northern Mutual Fund

0.76	NOIEX	Northern Income Equity	Pair Corr
0.94	NOMIX	Northern Mid Cap	Pair Corr
0.83	NOLCX	Northern Large Cap	Pair Corr
0.89	NOLVX	Northern Large Cap	Pair Corr
0.77	NOSIX	Northern Stock Index	Pair Corr
0.98	NSCKX	Northern Small Cap	Pair Corr
0.97	NSIDX	Northern Small Cap	Pair Corr
0.98	NSGRX	Northern Small Cap	Pair Corr
0.77	NSRKX	Northern Global Sust	Pair Corr
0.77	NSRIX	Northern Global Sust	Pair Corr
0.85	NUEIX	Northern Quality Esg	Pair Corr
0.85	NUESX	Northern Quality Esg	Pair Corr

Moving against Northern Mutual Fund

0.63	NOUGX	Northern Government	Pair Corr
0.63	BTIAX	Northern Ustreasury Index	Pair Corr
0.6	NSIUX	Northern Short-intermedia	Pair Corr
0.59	NOBOX	Northern Bond Index	Pair Corr
0.58	NOCBX	Northern E Bond	Pair Corr
0.56	NOFIX	Northern Fixed Income	Pair Corr
0.5	NOINX	Northern International	Pair Corr
0.38	BSBAX	Northern Short Bond	Pair Corr
0.35	NOIGX	Northern International	Pair Corr
0.35	NOITX	Northern Intermediate	Pair Corr
0.33	NOAZX	Northern Arizona Tax	Pair Corr
0.33	NOTEX	Northern Tax Exempt	Pair Corr
0.53	NMFIX	Multi Manager Global	Pair Corr
0.46	NMMGX	Multi Manager Global	Pair Corr
0.4	NHYMX	Northern High Yield	Pair Corr
0.38	NMIEX	Active M International	Pair Corr
0.37	NGREX	Northern Global Real	Pair Corr
0.34	NCATX	Northern California Tax	Pair Corr
0.32	NCITX	Northern California	Pair Corr

Related Correlations Analysis

	AAGPX	HIINX	CRSOX	MWTRX	EMGRX
AAGPX		-0.43	0.46	-0.73	0.95	AAGPX
HIINX	-0.43		0.27	0.75	-0.53	HIINX
CRSOX	0.46	0.27		-0.17	0.27	CRSOX
MWTRX	-0.73	0.75	-0.17		-0.73	MWTRX
EMGRX	0.95	-0.53	0.27	-0.73		EMGRX
	AAGPX	HIINX	CRSOX	MWTRX	EMGRX

Click cells to compare fundamentals

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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

EMGRX	+ 0.95	AAGPX
MWTRX	+ 0.75	HIINX
CRSOX	+ 0.46	AAGPX
CRSOX	+ 0.27	HIINX
EMGRX	+ 0.27	CRSOX

High negative correlations

EMGRX	- 0.73	MWTRX
MWTRX	- 0.73	AAGPX
EMGRX	- 0.53	HIINX
HIINX	- 0.43	AAGPX
MWTRX	- 0.17	CRSOX

Risk-Adjusted Indicators

There is a big difference between Northern Mutual Fund performing well and Northern 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 Northern 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
AAGPX	0.52	(0.01)	(0.04)	0.11	0.42	(0.59)	1.03	(0.81)	3.78
HIINX	0.67	(0.05)	0.00	1.24	0.00	0.00	1.32	(1.64)	4.30
CRSOX	0.62	0.04	(0.09)	(0.87)	0.89	(0.57)	1.25	(1.26)	3.56
MWTRX	0.24	(0.05)	0.00	(0.64)	0.00	0.00	0.43	(0.77)	1.56
EMGRX	0.86	0.00	0.06	0.12	0.81	(1.04)	2.10	(1.43)	7.90

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