Smallcap Correlations

PSSIX Fund

USD 26.14 0.03 0.11%

The current 90-days correlation between Smallcap Sp 600 and Strategic Asset Management is 0.93 (i.e., Almost no diversification). The correlation of Smallcap 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.

Smallcap Correlation With Market

Modest diversification

The correlation between Smallcap Sp 600 and DJI is 0.26 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Smallcap Sp 600 and DJI in the same portfolio, assuming nothing else is changed.

Check out Your Equity Center to better understand how to build diversified portfolios, which includes a position in Smallcap Sp 600. 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 gross domestic product.

Moving together with Smallcap Mutual Fund

0.96	SABPX	Strategic Asset Mana	Pair Corr
0.96	SACAX	Strategic Asset Mana	Pair Corr
0.97	SAGPX	Strategic Asset Mana	Pair Corr
0.81	SAIPX	Strategic Asset Mana	Pair Corr
0.95	PFLJX	Principal Lifetime 2050	Pair Corr
0.93	PFRSX	Real Estate Securities	Pair Corr
0.81	PGBEX	Blue Chip Fund	Pair Corr
0.8	PGBGX	Blue Chip Fund	Pair Corr
0.8	PGBHX	Blue Chip Fund	Pair Corr
0.72	PGDRX	Diversified Real Asset	Pair Corr
0.99	PGRTX	Smallcap Growth	Pair Corr
0.87	PGRUX	Global Real Estate	Pair Corr
0.96	PGSLX	Principal Global Sus	Pair Corr
0.88	PGRKX	Global Real Estate	Pair Corr
0.97	SCBPX	Strategic Asset Mana	Pair Corr
0.84	SCIPX	Strategic Asset Mana	Pair Corr
0.98	SCGPX	Strategic Asset Mana	Pair Corr
0.66	PHJEX	Principal Lifetime Hybrid	Pair Corr
0.67	PHJGX	Principal Lifetime Hybrid	Pair Corr
0.67	PHJBX	Principal Lifetime Hybrid	Pair Corr
0.64	PHJDX	Principal Lifetime Hybrid	Pair Corr
0.63	PHJNX	Principal Lifetime Hybrid	Pair Corr
0.63	PHJQX	Principal Lifetime Hybrid	Pair Corr

Moving against Smallcap Mutual Fund

0.48

PGLSX

Global Multi Strategy

Pair Corr

Related Correlations Analysis

	SABPX	SACAX	SAGPX	PFIJX	PFIEX	PFIFX	PFISX	PFIPX	SAIPX	PFLJX
SABPX		1.0	1.0	0.68	0.49	0.69	0.53	0.71	0.92	1.0	SABPX
SACAX	1.0		1.0	0.68	0.5	0.7	0.54	0.71	0.92	1.0	SACAX
SAGPX	1.0	1.0		0.67	0.48	0.69	0.52	0.7	0.91	1.0	SAGPX
PFIJX	0.68	0.68	0.67		0.9	1.0	0.93	1.0	0.91	0.72	PFIJX
PFIEX	0.49	0.5	0.48	0.9		0.9	0.97	0.89	0.76	0.54	PFIEX
PFIFX	0.69	0.7	0.69	1.0	0.9		0.93	1.0	0.92	0.73	PFIFX
PFISX	0.53	0.54	0.52	0.93	0.97	0.93		0.93	0.8	0.58	PFISX
PFIPX	0.71	0.71	0.7	1.0	0.89	1.0	0.93		0.93	0.74	PFIPX
SAIPX	0.92	0.92	0.91	0.91	0.76	0.92	0.8	0.93		0.94	SAIPX
PFLJX	1.0	1.0	1.0	0.72	0.54	0.73	0.58	0.74	0.94		PFLJX
	SABPX	SACAX	SAGPX	PFIJX	PFIEX	PFIFX	PFISX	PFIPX	SAIPX	PFLJX

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Risk-Adjusted Indicators

There is a big difference between Smallcap Mutual Fund performing well and Smallcap 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 Smallcap'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
SABPX	0.46	(0.06)	0.00	(0.29)	0.00	0.00	0.62	(0.66)	5.44
SACAX	0.60	(0.07)	0.00	(0.23)	0.00	0.00	0.95	(1.00)	6.56
SAGPX	0.54	(0.07)	0.00	(0.28)	0.00	0.00	0.84	(0.80)	6.23
PFIJX	0.22	0.00	0.00	0.01	0.32	(0.24)	0.42	(0.50)	1.92
PFIEX	0.59	0.05	0.05	0.12	0.77	(0.63)	1.13	(1.44)	3.62
PFIFX	0.23	0.00	0.01	0.01	0.29	(0.27)	0.50	(0.41)	1.82
PFISX	0.57	0.02	0.03	0.05	0.73	(0.59)	1.46	(1.28)	3.83
PFIPX	0.22	0.00	0.00	0.01	0.29	(0.26)	0.42	(0.49)	1.82
SAIPX	0.30	(0.01)	0.00	(0.06)	0.00	0.00	0.57	(0.55)	2.08
PFLJX	0.59	(0.06)	0.00	(0.19)	0.00	0.00	0.83	(1.09)	5.75

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