Small Company Correlations
| SCVNX Fund | USD 43.65 0.74 1.72% |
The current 90-days correlation between Small Pany Value and Alger Health Sciences is 0.43 (i.e., Very weak 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.
Small |
Moving together with Small Mutual Fund
| 0.64 | SADAX | Wells Fargo Ultra | PairCorr |
| 0.64 | SADIX | Wells Fargo Ultra | PairCorr |
| 0.71 | SSTHX | Wells Fargo Short | PairCorr |
| 0.8 | WSCGX | Small Pany Growth | PairCorr |
| 0.98 | WSCOX | Wells Fargo Advantage | PairCorr |
| 0.87 | STAFX | Wells Fargo Large | PairCorr |
| 0.87 | STDFX | Wells Fargo Large | PairCorr |
| 0.9 | WSMCX | Small Pany Growth | PairCorr |
| 0.87 | STOFX | Wells Fargo Large | PairCorr |
| 0.87 | STNFX | Wells Fargo Large | PairCorr |
| 0.96 | STSAX | Wells Fargo Mon | PairCorr |
| 0.67 | STYIX | Wells Fargo Short | PairCorr |
| 0.88 | SCNSX | Wells Fargo Mon | PairCorr |
| 0.96 | SCSDX | Wells Fargo Mon | PairCorr |
Moving against Small Mutual Fund
| 0.63 | STYAX | Wells Fargo Income | PairCorr |
| 0.35 | SCTCX | California Tax Free | PairCorr |
| 0.31 | MNSGX | Wells Fargo Short | PairCorr |
Related Correlations Analysis
| 0.73 | 0.37 | 0.81 | 0.57 | -0.35 | AHSCX | ||
| 0.73 | 0.75 | 0.82 | 0.94 | -0.71 | BHSRX | ||
| 0.37 | 0.75 | 0.31 | 0.7 | -0.33 | THQ | ||
| 0.81 | 0.82 | 0.31 | 0.76 | -0.58 | LOGSX | ||
| 0.57 | 0.94 | 0.7 | 0.76 | -0.72 | HLHIX | ||
| -0.35 | -0.71 | -0.33 | -0.58 | -0.72 | HHCZX | ||
| Click cells to compare fundamentals | Check Volatility | Backtest Portfolio |
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
| High negative correlations
|
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 Deviation | Jensen Alpha | Sortino Ratio | Treynor Ratio | Semi Deviation | Expected Shortfall | Potential Upside | Value @Risk | Maximum Drawdown | ||
|---|---|---|---|---|---|---|---|---|---|---|
| AHSCX | 0.57 | (0.09) | 0.00 | (0.06) | 0.00 | 0.82 | 4.55 | |||
| BHSRX | 0.56 | (0.17) | 0.00 | (0.16) | 0.00 | 0.91 | 3.39 | |||
| THQ | 0.77 | (0.15) | 0.00 | (0.12) | 0.00 | 1.34 | 5.19 | |||
| LOGSX | 0.61 | (0.14) | 0.00 | (0.12) | 0.00 | 1.02 | 3.97 | |||
| HLHIX | 0.62 | (0.14) | 0.00 | (0.68) | 0.00 | 0.92 | 3.35 | |||
| HHCZX | 0.16 | 0.02 | (0.44) | 15.04 | 0.03 | 0.37 | 1.14 |