Small Company Correlations

Mutual Funds . USA . 
Fund . Small Pany Value
SCVAX Fund  USD 42.18  0.71  1.71%   
The current 90-days correlation between Small Pany Value and Wells Fargo Advantage is 0.07 (i.e., Significant diversification). The correlation of Small Company 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 Company Correlation With Market

Very poor diversification

The correlation between Small Pany Value and DJI is 0.88 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Small Pany Value 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 Pany 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 nation.

Moving together with Small Mutual Fund

  0.64SADAX Wells Fargo UltraPairCorr
  0.64SADIX Wells Fargo UltraPairCorr
  0.71SSTHX Wells Fargo ShortPairCorr
  0.8WSCGX Small Pany GrowthPairCorr
  0.98WSCOX Wells Fargo AdvantagePairCorr
  0.87STAFX Wells Fargo LargePairCorr
  0.87STDFX Wells Fargo LargePairCorr
  0.91WSMCX Small Pany GrowthPairCorr
  0.87STOFX Wells Fargo LargePairCorr
  0.87STNFX Wells Fargo LargePairCorr
  0.96STSAX Wells Fargo MonPairCorr
  0.66STYIX Wells Fargo ShortPairCorr
  0.88SCNSX Wells Fargo MonPairCorr
  0.96SCSDX Wells Fargo MonPairCorr

Moving against Small Mutual Fund

  0.63STYAX Wells Fargo IncomePairCorr
  0.35SCTCX California Tax FreePairCorr
  0.31MNSGX Wells Fargo ShortPairCorr

Related Correlations Analysis

Click cells to compare fundamentals   Check Volatility   Backtest Portfolio

Risk-Adjusted Indicators

There is a big difference between Small Mutual Fund performing well and Small Company 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 Company'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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
DHICX  0.08 (0.01)(0.48)(0.20) 0.11 
(0.15)
 0.22 
(0.22)
 0.79 
VMPYX  0.09 (0.01)(0.50)(0.13) 0.09 
(0.17)
 0.23 
(0.22)
 0.79 
VMPAX  0.09  0.00 (0.46)(0.07) 0.09 
(0.16)
 0.23 
(0.23)
 0.79 
SADAX  0.06  0.01 (0.92)(0.67) 0.00 
(0.17)
 0.12 
(0.11)
 0.46 
SADIX  0.06  0.01 (0.88)(1.26) 0.00 
(0.19)
 0.11 
(0.11)
 0.57 
EMGYX  0.65 (0.04)(0.12) 0.00  0.99 
(0.61)
 1.28 
(1.76)
 5.15 
EMGNX  0.65 (0.04)(0.12) 0.00  1.00 
(0.59)
 1.23 
(1.75)
 5.20 
EMGCX  0.65  0.00  0.00  0.12  0.00 
 0.00 
 1.27 
(1.75)
 5.16 
EMGAX  0.65 (0.04)(0.12) 0.00  0.98 
(0.61)
 1.28 
(1.75)
 5.16 
SSHIX  0.09  0.00 (0.85)(0.07) 0.00 
(0.14)
 0.23 
(0.12)
 0.59 

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