Small Cap Correlations

SCRSX Fund

USD 14.30 0.02 0.14%

The current 90-days correlation between Small Cap Core and Transamerica Intermediate Muni is -0.3 (i.e., Very good diversification). The correlation of Small 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.

Small Cap Correlation With Market

Significant diversification

The correlation between Small Cap Core and DJI is 0.06 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Small Cap Core and DJI in the same portfolio, assuming nothing else is changed.

Check out World Market Map to better understand how to build diversified portfolios, which includes a position in Small Cap Core. 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 state.

Moving together with Small Mutual Fund

0.96	SCAVX	Ab Small Cap	Pair Corr
0.96	SCCVX	Ab Small Cap	Pair Corr
1.0	SCRYX	Small Cap Core	Pair Corr
1.0	SCRZX	Small Cap Core	Pair Corr
0.96	SCYVX	Ab Small Cap	Pair Corr
0.84	APGZX	Ab Large Cap	Pair Corr
0.84	APGYX	Ab Large Cap	Pair Corr
0.89	APGAX	Ab Large Cap	Pair Corr
0.84	APGCX	Ab Large Cap	Pair Corr

Moving against Small Mutual Fund

0.51	ANAIX	Ab Global Bond	Pair Corr
0.5	ANAGX	Ab Global Bond	Pair Corr
0.5	STHYX	Ab Sustainable Thematic	Pair Corr
0.49	ANAZX	Ab Global Bond	Pair Corr
0.47	ANAYX	Ab Global Bond	Pair Corr
0.47	STHAX	Ab Sustainable Thematic	Pair Corr
0.38	AMNCX	Ab Minnesota Portfolio	Pair Corr
0.38	ANJCX	Ab New Jersey	Pair Corr
0.36	ANYCX	Ab New York	Pair Corr
0.33	AOHCX	Ab Ohio Portfolio	Pair Corr
0.32	AMNAX	Ab Minnesota Portfolio	Pair Corr
0.32	ANJAX	Ab New Jersey	Pair Corr
0.32	ANMCX	New York Municipal	Pair Corr
0.39	CIAGX	Ab Centrated Interna	Pair Corr
0.39	CIGYX	Ab Centrated Interna	Pair Corr
0.38	AAZCX	Ab Arizona Portfolio	Pair Corr
0.34	AAZAX	Ab Arizona Portfolio	Pair Corr
0.32	ARECX	Ab Global Real	Pair Corr

Related Correlations Analysis

	TIMTX	PRINX	TMNIX	PRFHX	BBINX	COMSX	ABIMX
TIMTX		0.9	0.98	0.95	0.99	-0.2	0.91	TIMTX
PRINX	0.9		0.86	0.86	0.88	-0.1	0.98	PRINX
TMNIX	0.98	0.86		0.97	0.97	-0.15	0.88	TMNIX
PRFHX	0.95	0.86	0.97		0.94	-0.01	0.85	PRFHX
BBINX	0.99	0.88	0.97	0.94		-0.25	0.91	BBINX
COMSX	-0.2	-0.1	-0.15	-0.01	-0.25		-0.24	COMSX
ABIMX	0.91	0.98	0.88	0.85	0.91	-0.24		ABIMX
	TIMTX	PRINX	TMNIX	PRFHX	BBINX	COMSX	ABIMX

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

BBINX	+ 0.99	TIMTX
TMNIX	+ 0.98	TIMTX
ABIMX	+ 0.98	PRINX
PRFHX	+ 0.97	TMNIX
BBINX	+ 0.97	TMNIX
PRFHX	+ 0.95	TIMTX

High negative correlations

COMSX	- 0.25	BBINX
ABIMX	- 0.24	COMSX
COMSX	- 0.2	TIMTX
COMSX	- 0.15	TMNIX
COMSX	- 0.1	PRINX
COMSX	- 0.01	PRFHX

Risk-Adjusted Indicators

There is a big difference between Small Mutual Fund performing well and Small 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 Small 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
TIMTX	0.14	0.00	(0.24)	(0.03)	0.21	(0.21)	0.37	(0.28)	1.40
PRINX	0.15	0.01	(0.23)	0.00	0.23	(0.23)	0.44	(0.44)	1.59
TMNIX	0.15	(0.01)	(0.20)	0.00	0.24	(0.21)	0.36	(0.36)	1.65
PRFHX	0.15	0.00	(0.19)	0.02	0.22	(0.23)	0.44	(0.44)	1.61
BBINX	0.11	(0.01)	(0.30)	(0.12)	0.16	(0.17)	0.29	(0.29)	1.07
COMSX	0.62	0.16	0.07	(1.78)	0.72	(0.68)	1.58	(1.44)	3.88
ABIMX	0.18	0.01	(0.19)	0.00	0.28	(0.23)	0.40	(0.50)	1.73

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