Royce Micro-cap Correlations

RYMCX Fund

USD 8.16 0.07 0.87%

The current 90-days correlation between Royce Micro Cap and Royce Opportunity Fund is 0.97 (i.e., Almost no diversification). The correlation of Royce Micro-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.

Royce Micro-cap Correlation With Market

Modest diversification

The correlation between Royce Micro Cap Fund and DJI is 0.29 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Royce Micro Cap Fund 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 Micro Cap Fund. 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 main economic indicators.

For more information on how to buy Royce Mutual Fund please use our How to Invest in Royce Micro-cap guide.

Moving together with Royce Mutual Fund

0.97	ROFCX	Royce Opportunity	Pair Corr
0.96	ROFIX	Royce Opportunity	Pair Corr
0.96	ROFRX	Royce Opportunity	Pair Corr
0.96	RPFIX	Royce Premier	Pair Corr
0.98	RPMIX	Royce Pennsylvania Mutual	Pair Corr
0.94	RPRCX	Royce Premier	Pair Corr
0.94	RSEIX	Royce Special Equity	Pair Corr
0.94	RSQCX	Royce Special Equity	Pair Corr
0.96	RTRRX	Royce Total Return	Pair Corr
0.95	RTRIX	Royce Total Return	Pair Corr
0.86	RVPIX	Royce Smaller Companies	Pair Corr
0.98	RYPCX	Royce Pennsylvania Mutual	Pair Corr
0.96	RYTCX	Royce Total Return	Pair Corr
0.72	VSMAX	Vanguard Small Cap	Pair Corr
0.72	VSCIX	Vanguard Small Cap	Pair Corr
0.72	VSCPX	Vanguard Small Cap	Pair Corr
0.72	NAESX	Vanguard Small Cap	Pair Corr
0.86	FSSNX	Fidelity Small Cap	Pair Corr
0.81	DFSTX	Us Small Cap	Pair Corr
0.98	PASVX	T Rowe Price	Pair Corr
0.98	PRVIX	T Rowe Price	Pair Corr
0.98	TRZVX	T Rowe Price	Pair Corr
0.98	PRSVX	T Rowe Price	Pair Corr
0.8	IFN	India Closed	Pair Corr
0.63	USA	Liberty All Star	Pair Corr
0.63	CNMRX	Columbia Income Builder	Pair Corr

Moving against Royce Mutual Fund

0.57	CVVRX	Columbia Small Cap	Pair Corr
0.47	PYBLX	Payden Floating Rate	Pair Corr
0.42	CRDSX	Catholic Responsible	Pair Corr
0.32	CII	Blackrock Enhanced	Pair Corr

Related Correlations Analysis

	ROFCX	ROFIX	ROFRX	RPFIX	RPMIX	RPRCX	RSEIX	RSQCX	RTRRX	RTRIX
ROFCX		1.0	1.0	0.88	0.91	0.86	0.83	0.83	0.98	0.98	ROFCX
ROFIX	1.0		1.0	0.87	0.9	0.85	0.82	0.82	0.98	0.98	ROFIX
ROFRX	1.0	1.0		0.88	0.91	0.85	0.82	0.82	0.98	0.98	ROFRX
RPFIX	0.88	0.87	0.88		1.0	0.97	0.99	0.98	0.88	0.88	RPFIX
RPMIX	0.91	0.9	0.91	1.0		0.96	0.98	0.98	0.91	0.9	RPMIX
RPRCX	0.86	0.85	0.85	0.97	0.96		0.96	0.96	0.87	0.86	RPRCX
RSEIX	0.83	0.82	0.82	0.99	0.98	0.96		1.0	0.83	0.83	RSEIX
RSQCX	0.83	0.82	0.82	0.98	0.98	0.96	1.0		0.83	0.82	RSQCX
RTRRX	0.98	0.98	0.98	0.88	0.91	0.87	0.83	0.83		1.0	RTRRX
RTRIX	0.98	0.98	0.98	0.88	0.9	0.86	0.83	0.82	1.0		RTRIX
	ROFCX	ROFIX	ROFRX	RPFIX	RPMIX	RPRCX	RSEIX	RSQCX	RTRRX	RTRIX

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Risk-Adjusted Indicators

There is a big difference between Royce Mutual Fund performing well and Royce Micro-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 Royce Micro-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
ROFCX	1.05	(0.01)	(0.02)	0.07	1.94	(1.01)	1.83	(1.90)	14.10
ROFIX	1.06	(0.01)	(0.02)	0.07	1.98	(1.00)	1.87	(1.91)	14.06
ROFRX	1.06	(0.01)	(0.02)	0.07	1.98	(0.99)	1.84	(1.97)	14.16
RPFIX	0.93	(0.15)	0.00	(0.18)	0.00	0.00	1.59	(1.71)	12.68
RPMIX	0.92	(0.12)	0.00	(0.14)	0.00	0.00	1.56	(1.56)	13.29
RPRCX	0.92	(0.13)	0.00	(0.39)	0.00	0.00	1.61	(1.77)	12.66
RSEIX	0.89	(0.22)	0.00	(0.36)	0.00	0.00	1.31	(1.56)	17.96
RSQCX	0.88	(0.22)	0.00	(0.35)	0.00	0.00	1.36	(1.56)	17.72
RTRRX	0.85	0.00	(0.03)	0.10	1.20	(1.06)	1.72	(1.58)	11.10
RTRIX	0.84	0.01	(0.03)	0.11	1.20	(1.05)	1.63	(1.59)	11.10

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