Small Company Correlations

SCVNX Fund

USD 38.05 0.14 0.37%

The current 90-days correlation between Small Pany Value and Technology Ultrasector Profund is 0.42 (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

Poor diversification

The correlation between Small Pany Value and DJI is 0.67 (i.e., 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 board of governors.

Moving together with Small Mutual Fund

0.98	WSCGX	Small Pany Growth	Pair Corr
0.98	WSCOX	Wells Fargo Advantage	Pair Corr
0.63	WARCX	Wells Fargo Advantage	Pair Corr
0.91	STAFX	Wells Fargo Large	Pair Corr
0.91	STDFX	Wells Fargo Large	Pair Corr
0.94	WSMCX	Small Pany Growth	Pair Corr
0.88	STOFX	Wells Fargo Large	Pair Corr
0.91	STNFX	Wells Fargo Large	Pair Corr
0.73	STYAX	Wells Fargo Income	Pair Corr
0.98	SCNSX	Wells Fargo Mon	Pair Corr
0.62	SCTCX	California Tax Free	Pair Corr
0.98	SCSDX	Wells Fargo Mon	Pair Corr
0.97	SCSAX	Wells Fargo Mon	Pair Corr

Moving against Small Mutual Fund

0.47	SADIX	Wells Fargo Ultra	Pair Corr
0.4	SSHIX	Wells Fargo Short	Pair Corr
0.35	SADAX	Wells Fargo Ultra	Pair Corr
0.46	WSGIX	Wells Fargo Short	Pair Corr
0.41	MNSGX	Wells Fargo Short	Pair Corr

Related Correlations Analysis

	TEPIX	BSTSX	PGKCX	USTCX	VITAX
TEPIX		0.7	0.7	0.38	0.4	TEPIX
BSTSX	0.7		0.85	0.7	0.65	BSTSX
PGKCX	0.7	0.85		0.82	0.78	PGKCX
USTCX	0.38	0.7	0.82		0.96	USTCX
VITAX	0.4	0.65	0.78	0.96		VITAX
	TEPIX	BSTSX	PGKCX	USTCX	VITAX

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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
TEPIX	1.58	(0.15)	0.00	(0.11)	0.00	0.00	2.66	(3.72)	14.99
BSTSX	1.14	0.00	0.00	0.02	1.74	(1.15)	2.16	(2.50)	8.24
PGKCX	1.13	0.01	0.00	0.03	1.54	(1.08)	2.15	(2.55)	6.34
USTCX	1.12	0.09	0.05	0.12	1.36	(1.14)	2.13	(2.14)	7.13
VITAX	0.99	0.04	0.03	0.07	1.32	(0.98)	1.98	(2.19)	6.47

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