Small Cap Correlations

SCRYX Fund

USD 11.94 0.05 0.42%

The current 90-days correlation between Small Cap Core and Ab Global E is 0.36 (i.e., 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

Very weak diversification

The correlation between Small Cap Core and DJI is 0.59 (i.e., Very weak 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 private.

Moving together with Small Mutual Fund

0.62	AMTZX	Ab All Market	Pair Corr
0.61	AMTYX	Ab All Market	Pair Corr
0.62	AMTOX	Ab All Market	Pair Corr
0.96	STEYX	International Strategic	Pair Corr
0.96	STEZX	International Strategic	Pair Corr
0.96	STESX	International Strategic	Pair Corr
1.0	SCRSX	Small Cap Core	Pair Corr
1.0	SCRZX	Small Cap Core	Pair Corr
0.94	APGYX	Ab Large Cap	Pair Corr
0.94	APGAX	Ab Large Cap	Pair Corr
0.94	APGCX	Ab Large Cap	Pair Corr
0.95	CHCLX	Ab Discovery Growth	Pair Corr
0.95	CHCIX	Ab Discovery Growth	Pair Corr
0.95	CHCCX	Ab Discovery Growth	Pair Corr
0.95	CHCYX	Ab Discovery Growth	Pair Corr

Moving against Small Mutual Fund

0.72	AMTAX	Ab All Market	Pair Corr
0.7	GCEAX	Ab Global E	Pair Corr
0.7	GCECX	Ab Global E	Pair Corr
0.7	GCEYX	Ab Global E	Pair Corr
0.45	SUTAX	Ab Sustainable Thematic	Pair Corr
0.45	SUTCX	Ab Sustainable Thematic	Pair Corr
0.45	SUTZX	Ab Sustainable Thematic	Pair Corr
0.5	CHCZX	Ab Discovery Growth	Pair Corr

Related Correlations Analysis

	GCEAX	GCECX	GCEYX	AMTAX	AMTZX	AMTYX	AMTOX	ANAZX	ANAYX	ANAGX
GCEAX		1.0	1.0	0.71	-0.32	-0.31	-0.31	0.3	0.27	0.23	GCEAX
GCECX	1.0		1.0	0.71	-0.31	-0.31	-0.31	0.3	0.27	0.23	GCECX
GCEYX	1.0	1.0		0.71	-0.31	-0.31	-0.31	0.31	0.27	0.23	GCEYX
AMTAX	0.71	0.71	0.71		-0.07	-0.06	-0.06	0.56	0.52	0.5	AMTAX
AMTZX	-0.32	-0.31	-0.31	-0.07		1.0	1.0	0.26	0.35	0.34	AMTZX
AMTYX	-0.31	-0.31	-0.31	-0.06	1.0		1.0	0.26	0.35	0.34	AMTYX
AMTOX	-0.31	-0.31	-0.31	-0.06	1.0	1.0		0.26	0.35	0.34	AMTOX
ANAZX	0.3	0.3	0.31	0.56	0.26	0.26	0.26		0.97	0.97	ANAZX
ANAYX	0.27	0.27	0.27	0.52	0.35	0.35	0.35	0.97		0.96	ANAYX
ANAGX	0.23	0.23	0.23	0.5	0.34	0.34	0.34	0.97	0.96		ANAGX
	GCEAX	GCECX	GCEYX	AMTAX	AMTZX	AMTYX	AMTOX	ANAZX	ANAYX	ANAGX

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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

GCECX	+ 1.0	GCEAX
GCEYX	+ 1.0	GCEAX
GCEYX	+ 1.0	GCECX
AMTYX	+ 1.0	AMTZX
AMTOX	+ 1.0	AMTZX
AMTOX	+ 1.0	AMTYX

High negative correlations

AMTZX	- 0.32	GCEAX
AMTOX	- 0.31	GCEYX
AMTYX	- 0.31	GCEYX
AMTZX	- 0.31	GCEYX
AMTOX	- 0.31	GCECX
AMTYX	- 0.31	GCECX

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
GCEAX	0.73	(0.19)	0.00	(0.11)	0.00	0.00	1.25	(1.45)	11.26
GCECX	0.72	(0.19)	0.00	(0.11)	0.00	0.00	1.24	(1.44)	10.94
GCEYX	0.73	(0.19)	0.00	(0.12)	0.00	0.00	1.20	(1.45)	11.49
AMTAX	0.61	(0.07)	0.00	(0.02)	0.00	0.00	1.03	(1.23)	8.85
AMTZX	0.51	0.03	0.01	0.12	0.63	(0.54)	1.05	(1.02)	3.11
AMTYX	0.51	0.03	0.00	0.12	0.68	(0.52)	1.01	(1.01)	3.37
AMTOX	0.52	0.03	0.01	0.12	0.61	(0.58)	1.04	(1.12)	3.24
ANAZX	0.11	(0.01)	(0.44)	(0.06)	0.08	(0.17)	0.14	(0.14)	0.72
ANAYX	0.11	(0.01)	(0.39)	(0.07)	0.09	(0.17)	0.29	(0.29)	0.58
ANAGX	0.11	(0.01)	(0.35)	(0.02)	0.08	(0.17)	0.29	(0.29)	0.58

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