Royce Small Correlations

RYVFX Fund

USD 11.17 0.16 1.45%

The current 90-days correlation between Royce Small Cap and Royce Smaller Companies Growth is 0.11 (i.e., Average diversification). The correlation of Royce 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.

Royce Small Correlation With Market

Very poor diversification

The correlation between Royce Small Cap Value 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 Small Cap Value 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 Small Cap Value. 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 census.

Moving together with Royce Mutual Fund

0.96	RPFFX	Royce Premier	Pair Corr
0.95	RSEFX	Royce Special Equity	Pair Corr
0.86	RDVIX	Royce Dividend Value	Pair Corr
1.0	RVVHX	Royce Small Cap	Pair Corr
0.87	RYDVX	Royce Dividend Value	Pair Corr
0.86	RYOFX	Royce Opportunity	Pair Corr
0.96	RYOTX	Royce Micro Cap	Pair Corr
0.98	RYPFX	Royce Pennsylvania Mutual	Pair Corr
0.96	RYPRX	Royce Premier	Pair Corr
0.86	RYPNX	Royce Opportunity	Pair Corr
0.95	RYSEX	Royce Special Equity	Pair Corr
0.93	RYTRX	Royce Total Return	Pair Corr
0.79	RYVPX	Royce Smaller Companies	Pair Corr
0.96	RMCFX	Royce Micro Cap	Pair Corr
0.98	PENNX	Royce Pennsylvania Mutual	Pair Corr
0.82	VSIIX	Vanguard Small Cap	Pair Corr
0.92	VISVX	Vanguard Small Cap	Pair Corr
0.96	DFSVX	Us Small Cap	Pair Corr
0.84	DFFVX	Us Targeted Value	Pair Corr
0.81	UBVCX	Undiscovered Managers	Pair Corr
0.81	UBVAX	Undiscovered Managers	Pair Corr
0.95	UBVSX	Undiscovered Managers	Pair Corr
0.95	AVFIX	American Beacon Small	Pair Corr
0.64	SMPIX	Semiconductor Ultrasector	Pair Corr
0.64	SMPSX	Semiconductor Ultrasector	Pair Corr
0.74	RMQAX	Monthly Rebalance	Pair Corr
0.74	RMQHX	Monthly Rebalance	Pair Corr
0.7	LSHAX	Horizon Spin Off Steady Growth	Pair Corr
0.7	LSHUX	Horizon Spin Off Steady Growth	Pair Corr
0.87	SCRYX	Small Cap Core	Pair Corr
0.7	LLPFX	Longleaf Partners	Pair Corr

Related Correlations Analysis

	RYVPX	WWNPX	MXXIX	HRVIX	FAIRX
RYVPX		0.95	0.93	0.92	-0.69	RYVPX
WWNPX	0.95		0.95	0.84	-0.81	WWNPX
MXXIX	0.93	0.95		0.85	-0.66	MXXIX
HRVIX	0.92	0.84	0.85		-0.55	HRVIX
FAIRX	-0.69	-0.81	-0.66	-0.55		FAIRX
	RYVPX	WWNPX	MXXIX	HRVIX	FAIRX

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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

WWNPX	+ 0.95	RYVPX
MXXIX	+ 0.95	WWNPX
MXXIX	+ 0.93	RYVPX
HRVIX	+ 0.92	RYVPX
HRVIX	+ 0.85	MXXIX
HRVIX	+ 0.84	WWNPX

High negative correlations

FAIRX	- 0.81	WWNPX
FAIRX	- 0.69	RYVPX
FAIRX	- 0.66	MXXIX
FAIRX	- 0.55	HRVIX

Risk-Adjusted Indicators

There is a big difference between Royce Mutual Fund performing well and Royce 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 Royce 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
RYVPX	0.97	0.20	0.08	2.47	1.15	(1.06)	2.30	(1.65)	7.55
WWNPX	1.27	0.65	0.39	0.62	0.88	(1.55)	3.50	(1.72)	8.36
MXXIX	0.88	0.14	0.14	0.22	0.98	(1.01)	2.41	(1.37)	5.75
HRVIX	0.84	0.11	0.02	3.49	0.75	(0.95)	1.83	(1.41)	7.46
FAIRX	0.79	(0.27)	0.00	(0.22)	0.00	0.00	1.80	(1.89)	6.90

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