Large Capitalization Correlations

SLGCX Fund

USD 5.41 0.05 0.93%

The current 90-days correlation between Large Capitalization and Fidelity Large Cap is 0.19 (i.e., Average diversification). The correlation of Large Capitalization 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 Capitalization Correlation With Market

Average diversification

The correlation between Large Capitalization Growth and DJI is 0.1 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Large Capitalization Growth 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 Capitalization Growth. 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 main economic indicators.

Moving together with Large Mutual Fund

1.0	SSCCX	Small Capitalization	Pair Corr
0.95	SSCPX	Small Capitalization	Pair Corr
0.96	SSCYX	Small Capitalization	Pair Corr
0.83	SBHIX	Health Biotchnology	Pair Corr
0.67	SBMBX	Energy Basic Materials	Pair Corr
0.67	SBMIX	Moderate Balanced	Pair Corr
0.82	STPAX	Technology Communications	Pair Corr
0.99	STPCX	Technology Communications	Pair Corr
0.94	STPIX	Technology Communications	Pair Corr
0.62	SCAAX	Conservative Balanced	Pair Corr
0.67	SUMCX	Conservative Balanced	Pair Corr
0.78	SEPIX	Energy Basic Materials	Pair Corr
0.67	SEPCX	Energy Basic Materials	Pair Corr
0.83	SFPCX	Financial Services	Pair Corr
0.74	SFPAX	Financial Services	Pair Corr
0.69	SFPIX	Financial Services	Pair Corr
0.79	SHPAX	Health Biotchnology	Pair Corr
0.87	SHPCX	Health Biotchnology	Pair Corr
0.82	SLCGX	Large Capitalization	Pair Corr
0.98	SLCVX	Large Cap Value	Pair Corr
0.82	SLGYX	Large Capitalization	Pair Corr
0.99	SLVCX	Large Cap Value Potential Growth	Pair Corr
0.99	SLVYX	Large Cap Value	Pair Corr

Moving against Large Mutual Fund

0.44

AGTHX

Growth Fund

Pair Corr

Related Correlations Analysis

	FCLKX	GMLGX	VAAGX	LMUSX	LMISX	ENGRX	LCIAX
FCLKX		0.68	0.61	0.84	0.85	0.01	0.4	FCLKX
GMLGX	0.68		0.71	0.91	0.91	-0.42	0.73	GMLGX
VAAGX	0.61	0.71		0.75	0.75	-0.64	0.89	VAAGX
LMUSX	0.84	0.91	0.75		1.0	-0.36	0.72	LMUSX
LMISX	0.85	0.91	0.75	1.0		-0.35	0.71	LMISX
ENGRX	0.01	-0.42	-0.64	-0.36	-0.35		-0.8	ENGRX
LCIAX	0.4	0.73	0.89	0.72	0.71	-0.8		LCIAX
	FCLKX	GMLGX	VAAGX	LMUSX	LMISX	ENGRX	LCIAX

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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

LMISX	+ 1.0	LMUSX
LMUSX	+ 0.91	GMLGX
LMISX	+ 0.91	GMLGX
LCIAX	+ 0.89	VAAGX
LMISX	+ 0.85	FCLKX
LMUSX	+ 0.84	FCLKX

High negative correlations

LCIAX	- 0.8	ENGRX
ENGRX	- 0.64	VAAGX
ENGRX	- 0.42	GMLGX
ENGRX	- 0.36	LMUSX
ENGRX	- 0.35	LMISX

Risk-Adjusted Indicators

There is a big difference between Large Mutual Fund performing well and Large Capitalization 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 Capitalization'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
FCLKX	0.59	0.02	(0.02)	0.13	0.80	(0.63)	1.16	(1.21)	5.36
GMLGX	0.72	(0.01)	(0.04)	0.04	1.28	(0.67)	1.22	(1.47)	7.56
VAAGX	0.63	(0.04)	0.00	(0.04)	0.00	0.00	1.14	(1.22)	5.45
LMUSX	0.74	0.01	(0.02)	0.08	1.20	(0.70)	1.27	(1.59)	6.30
LMISX	0.75	0.01	(0.02)	0.08	1.20	(0.71)	1.27	(1.60)	6.30
ENGRX	0.68	(0.02)	(0.02)	0.01	1.42	(1.33)	3.00	(3.65)	10.01
LCIAX	0.83	(0.13)	0.00	(0.27)	0.00	0.00	1.27	(1.44)	17.15

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