Large Cap Correlations

SLCVX Fund

USD 27.66 0.09 0.33%

The current 90-days correlation between Large Cap Value and Fidelity Flex Servative is -0.01 (i.e., Good diversification). The correlation of Large 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.

Large Cap Correlation With Market

Poor diversification

The correlation between Large Cap Value and DJI is 0.79 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Large Cap 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 Large Cap 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 manufacturing.

Moving together with Large Mutual Fund

0.81	VIMAX	Vanguard Mid Cap	Pair Corr
0.81	VIMSX	Vanguard Mid Cap	Pair Corr
0.81	VMCPX	Vanguard Mid Cap	Pair Corr
0.81	VMCIX	Vanguard Mid Cap	Pair Corr
0.79	VEXAX	Vanguard Extended Market	Pair Corr
0.79	VEMPX	Vanguard Extended Market	Pair Corr
0.79	VIEIX	Vanguard Extended Market	Pair Corr
0.79	VEXMX	Vanguard Extended Market	Pair Corr
0.79	FSMDX	Fidelity Mid Cap	Pair Corr
0.61	CII	Blackrock Enhanced	Pair Corr
0.66	ETV	Eaton Vance Tax	Pair Corr
0.73	CLM	Cornerstone Strategic Sell-off Trend	Pair Corr
0.71	CRF	Cornerstone Total Return Sell-off Trend	Pair Corr
0.85	USA	Liberty All Star	Pair Corr
0.7	NFJ	Virtus Dividend Interest	Pair Corr
0.77	AA	Alcoa Corp	Pair Corr

Moving against Large Mutual Fund

0.59	IFN	India Closed	Pair Corr
0.67	T	ATT Inc Earnings Call This Week	Pair Corr
0.43	HPQ	HP Inc	Pair Corr
0.39	VZ	Verizon Communications Earnings Call Today	Pair Corr
0.38	MMM	3M Company	Pair Corr
0.32	MSFT	Microsoft	Pair Corr

Related Correlations Analysis

	FTFZX	CIABX	BDMKX	KCEIX	TSDUX	SIGZX	FUEMX
FTFZX		0.96	0.91	0.48	0.91	0.91	0.96	FTFZX
CIABX	0.96		0.93	0.45	0.91	0.9	0.93	CIABX
BDMKX	0.91	0.93		0.37	0.88	0.82	0.89	BDMKX
KCEIX	0.48	0.45	0.37		0.68	0.7	0.62	KCEIX
TSDUX	0.91	0.91	0.88	0.68		0.95	0.96	TSDUX
SIGZX	0.91	0.9	0.82	0.7	0.95		0.97	SIGZX
FUEMX	0.96	0.93	0.89	0.62	0.96	0.97		FUEMX
	FTFZX	CIABX	BDMKX	KCEIX	TSDUX	SIGZX	FUEMX

Risk-Adjusted Indicators

There is a big difference between Large Mutual Fund performing well and Large 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 Large 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
FTFZX	0.04	0.01	0.00	5.05	0.00	0.00	0.10	(0.10)	0.39
CIABX	0.06	0.00	0.00	0.70	0.00	0.00	0.20	(0.20)	0.40
BDMKX	0.05	0.00	(0.42)	0.05	0.00	(0.11)	0.11	(0.11)	0.22
KCEIX	0.24	0.04	(0.01)	0.29	0.03	(0.30)	0.49	(0.48)	1.30
TSDUX	0.03	0.01	0.00	2.12	0.00	0.00	0.10	0.00	0.10
SIGZX	0.05	0.00	0.00	0.00	0.00	0.00	0.10	(0.10)	0.61
FUEMX	0.03	0.00	0.00	0.48	0.00	0.00	0.10	0.00	0.40

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