Royce Smaller-companie Correlations

RVPHX Fund

USD 8.72 0.11 1.28%

The current 90-days correlation between Royce Smaller Companies and Lgm Risk Managed is 0.85 (i.e., Very poor diversification). The correlation of Royce Smaller-companie 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.

Royce Smaller-companie Correlation With Market

Very poor diversification

The correlation between Royce Smaller Companies Growth and DJI is 0.84 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Royce Smaller Companies Growth 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 Royce Smaller Companies 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 rate.

Moving together with ROYCE Mutual Fund

0.89	RPFFX	Royce Premier	Pair Corr
0.91	RSEFX	Royce Special Equity	Pair Corr
0.98	RDVIX	Royce Dividend Value	Pair Corr
0.85	RVVHX	Royce Small Cap	Pair Corr
0.98	RYDVX	Royce Dividend Value	Pair Corr
0.86	RYOFX	Royce Opportunity	Pair Corr
0.87	RYOTX	Royce Micro Cap	Pair Corr
0.87	RYPFX	Royce Pennsylvania Mutual	Pair Corr
0.9	RYPRX	Royce Premier	Pair Corr
0.87	RYPNX	Royce Opportunity	Pair Corr
0.92	RYSEX	Royce Special Equity	Pair Corr
0.95	RYTFX	Royce Total Return	Pair Corr
0.95	RYTRX	Royce Total Return	Pair Corr
0.84	RYVFX	Royce Small Cap	Pair Corr
1.0	RYVPX	Royce Smaller Companies	Pair Corr
0.87	RMCFX	Royce Micro Cap	Pair Corr
0.87	PENNX	Royce Pennsylvania Mutual	Pair Corr
0.98	VSGAX	Vanguard Small Cap	Pair Corr
0.98	VSGIX	Vanguard Small Cap	Pair Corr
0.98	VISGX	Vanguard Small Cap	Pair Corr
0.95	VEXPX	Vanguard Explorer	Pair Corr
0.95	VEXRX	Vanguard Explorer	Pair Corr
0.97	JGMIX	Janus Triton	Pair Corr
0.97	JGMRX	Janus Triton	Pair Corr
0.97	JGMAX	Janus Triton	Pair Corr
0.97	JGMCX	Janus Triton	Pair Corr
0.98	JGMNX	Janus Triton	Pair Corr

Moving against ROYCE Mutual Fund

0.64	RYIPX	Royce International	Pair Corr
0.63	RIPNX	Royce International	Pair Corr
0.63	RIPIX	Royce International	Pair Corr

Related Correlations Analysis

	LBETX	PHDTX	APDFX	SGYAX	AGTFX	AGDAX	FHAIX
LBETX		0.87	0.82	0.8	0.95	0.74	0.69	LBETX
PHDTX	0.87		0.97	0.94	0.86	0.94	0.88	PHDTX
APDFX	0.82	0.97		0.98	0.79	0.97	0.83	APDFX
SGYAX	0.8	0.94	0.98		0.74	0.94	0.77	SGYAX
AGTFX	0.95	0.86	0.79	0.74		0.74	0.74	AGTFX
AGDAX	0.74	0.94	0.97	0.94	0.74		0.88	AGDAX
FHAIX	0.69	0.88	0.83	0.77	0.74	0.88		FHAIX
	LBETX	PHDTX	APDFX	SGYAX	AGTFX	AGDAX	FHAIX

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Risk-Adjusted Indicators

There is a big difference between ROYCE Mutual Fund performing well and Royce Smaller-companie 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 Royce Smaller-companie'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
LBETX	0.22	(0.01)	(0.23)	0.10	0.21	(0.27)	0.54	(0.52)	1.43
PHDTX	0.09	0.02	(0.62)	0.39	0.00	(0.16)	0.23	(0.11)	0.56
APDFX	0.12	0.03	(0.57)	0.54	0.00	(0.18)	0.33	(0.22)	0.90
SGYAX	0.14	0.02	(0.48)	0.45	0.00	(0.25)	0.29	(0.14)	1.28
AGTFX	0.53	(0.03)	(0.08)	0.08	0.57	(0.62)	1.20	(0.88)	3.40
AGDAX	0.12	0.02	(0.47)	0.52	0.00	(0.23)	0.29	(0.28)	0.87
FHAIX	0.10	0.01	0.00	0.36	0.00	0.00	0.57	0.00	1.15

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