Small Cap Correlations

Mutual Funds . USA . 
Fund . Small Cap Core
SCRYX Fund  USD 12.58  0.05  0.40%   
The current 90-days correlation between Small Cap Core and Omni Small Cap Value is 0.48 (i.e., Very weak 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

Almost no diversification

The correlation between Small Cap Core and DJI is 0.91 (i.e., Almost no 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 producer price index.

Moving together with Small Mutual Fund

  0.93GCEAX Ab Global EPairCorr
  0.93GCECX Ab Global EPairCorr
  0.93GCEYX Ab Global EPairCorr
  0.78AMTAX Ab All MarketPairCorr
  0.78AMTZX Ab All MarketPairCorr
  0.78AMTYX Ab All MarketPairCorr
  0.78AMTOX Ab All MarketPairCorr
  0.96STEYX International StrategicPairCorr
  0.96STEZX International StrategicPairCorr
  0.96STESX International StrategicPairCorr
  0.94SCAVX Ab Small CapPairCorr
  0.94SCCVX Ab Small CapPairCorr
  1.0SCRSX Small Cap CorePairCorr
  1.0SCRZX Small Cap CorePairCorr
  0.94SCYVX Ab Small CapPairCorr
  0.92APGZX Ab Large CapPairCorr
  0.92APGYX Ab Large CapPairCorr
  0.93APGAX Ab Large CapPairCorr
  0.92APGCX Ab Large CapPairCorr
  0.97CHCLX Ab Discovery GrowthPairCorr
  0.97CHCIX Ab Discovery GrowthPairCorr
  0.96CHCCX Ab Discovery GrowthPairCorr
  0.96CHCYX Ab Discovery GrowthPairCorr
  0.85CHCZX Ab Discovery GrowthPairCorr

Moving against Small Mutual Fund

  0.83SUTAX Ab Sustainable ThematicPairCorr
  0.83SUTCX Ab Sustainable ThematicPairCorr
  0.83SUTZX Ab Sustainable ThematicPairCorr

Related Correlations Analysis


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.

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