Large Cap Correlations

SLCVX Fund

USD 27.25 0.03 0.11%

The current 90-days correlation between Large Cap Value and Blackrock Health Sciences is 0.24 (i.e., Modest 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

Modest diversification

The correlation between Large Cap Value and DJI is 0.23 (i.e., Modest 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 real.

Moving together with Large Mutual Fund

0.61	SBMCX	Moderate Balanced	Pair Corr
0.99	STPCX	Technology Communications	Pair Corr
0.85	SEPIX	Energy Basic Materials	Pair Corr
0.85	SPMAX	Mid Capitalization	Pair Corr
0.65	SMPSX	Semiconductor Ultrasector Steady Growth	Pair Corr

Moving against Large Mutual Fund

0.75	LFRIX	Floating Rate	Pair Corr
0.74	SSAGX	Virtus Seix Government	Pair Corr
0.57	LALDX	Lord Abbett Short	Pair Corr
0.45	LGANX	Loomis Sayles Limited	Pair Corr
0.39	AGTHX	Growth Fund	Pair Corr

Related Correlations Analysis

	BHSRX	BGHDX	HHCZX	SCHLX	HIAHX	LOGSX
BHSRX		0.42	0.45	0.97	0.94	0.92	BHSRX
BGHDX	0.42		0.13	0.55	0.63	0.33	BGHDX
HHCZX	0.45	0.13		0.45	0.37	0.59	HHCZX
SCHLX	0.97	0.55	0.45		0.99	0.87	SCHLX
HIAHX	0.94	0.63	0.37	0.99		0.81	HIAHX
LOGSX	0.92	0.33	0.59	0.87	0.81		LOGSX
	BHSRX	BGHDX	HHCZX	SCHLX	HIAHX	LOGSX

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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
BHSRX	0.71	(0.16)	0.00	(0.31)	0.00	0.00	1.06	(1.63)	6.63
BGHDX	0.73	(0.08)	0.00	(1.07)	0.00	0.00	1.38	(1.69)	8.70
HHCZX	0.14	0.00	(0.18)	0.09	0.09	(0.19)	0.30	(0.30)	1.15
SCHLX	0.62	(0.10)	0.00	(0.30)	0.00	0.00	1.08	(1.60)	3.10
HIAHX	0.69	(0.14)	0.00	(0.31)	0.00	0.00	1.12	(1.62)	3.59
LOGSX	0.65	(0.10)	0.00	(0.18)	0.00	0.00	1.32	(1.52)	4.72

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