Large Capitalization Correlations

SLGCX Fund

USD 1.82 0.02 1.09%

The current 90-days correlation between Large Capitalization and Alliancebernstein Global High is 0.17 (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

Pay attention - limited upside

The correlation between Large Capitalization Growth and DJI is -0.72 (i.e., Pay attention - limited upside) 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 unemployment.

Moving against Large Mutual Fund

0.97	STPCX	Technology Communications	Pair Corr
0.97	SLCVX	Large Cap Value	Pair Corr
0.94	SBCCX	Moderately Servative	Pair Corr
0.93	SABAX	Salient Alternative Beta	Pair Corr
0.93	SABCX	Salient Alternative Beta	Pair Corr
0.93	SAMAX	Moderately Aggressive	Pair Corr
0.93	SAMCX	Salient Mlp Fund	Pair Corr
0.93	SAMIX	Moderately Aggressive	Pair Corr
0.93	SBMCX	Moderate Balanced	Pair Corr
0.93	SBMIX	Moderate Balanced	Pair Corr
0.93	SCAAX	Conservative Balanced	Pair Corr
0.92	SABIX	Aggressive Balanced	Pair Corr
0.91	SSCYX	Small Capitalization	Pair Corr
0.9	SUMCX	Conservative Balanced	Pair Corr
0.82	SHPCX	Health Biotchnology	Pair Corr
0.59	SIEYX	International Equity	Pair Corr
0.58	SSCCX	Saratoga Small Capit	Pair Corr
0.58	SIECX	International Equity	Pair Corr
0.58	SIEPX	International Equity	Pair Corr
0.56	SSCPX	Small Capitalization	Pair Corr
0.99	SLVCX	Large Cap Value	Pair Corr
0.97	SLVYX	Large Cap Value	Pair Corr
0.93	LUNAX	Conservative Balanced	Pair Corr
0.9	SMACX	Moderately Conservative	Pair Corr
0.9	SMPAX	Moderate Balanced	Pair Corr
0.82	SLGYX	Large Capitalization	Pair Corr
0.73	FAFGX	American Funds	Pair Corr
0.73	FFAFX	American Funds	Pair Corr
0.67	SMPSX	Semiconductor Ultrasector	Pair Corr
0.63	SMPIX	Semiconductor Ultrasector	Pair Corr
0.61	PMPIX	Precious Metals Ultr Steady Growth	Pair Corr
0.57	SPMAX	Mid Capitalization	Pair Corr
0.55	SMIPX	Mid Capitalization	Pair Corr

Related Correlations Analysis

	SGMAX	APDPX	BXFIX	CNGLX	SMYIX	DHGCX	CABIX	AWF
SGMAX		0.89	-0.26	0.94	0.95	0.45	0.93	0.18	SGMAX
APDPX	0.89		-0.49	0.89	0.83	0.55	0.94	0.04	APDPX
BXFIX	-0.26	-0.49		-0.26	-0.13	-0.62	-0.35	0.28	BXFIX
CNGLX	0.94	0.89	-0.26		0.94	0.47	0.95	0.22	CNGLX
SMYIX	0.95	0.83	-0.13	0.94		0.31	0.92	0.2	SMYIX
DHGCX	0.45	0.55	-0.62	0.47	0.31		0.5	0.01	DHGCX
CABIX	0.93	0.94	-0.35	0.95	0.92	0.5		0.07	CABIX
AWF	0.18	0.04	0.28	0.22	0.2	0.01	0.07		AWF
	SGMAX	APDPX	BXFIX	CNGLX	SMYIX	DHGCX	CABIX	AWF

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

SMYIX	+ 0.95	SGMAX
CABIX	+ 0.95	CNGLX
CNGLX	+ 0.94	SGMAX
CABIX	+ 0.94	APDPX
SMYIX	+ 0.94	CNGLX
CABIX	+ 0.93	SGMAX

High negative correlations

DHGCX	- 0.62	BXFIX
BXFIX	- 0.49	APDPX
CABIX	- 0.35	BXFIX
CNGLX	- 0.26	BXFIX
BXFIX	- 0.26	SGMAX
SMYIX	- 0.13	BXFIX

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
SGMAX	0.54	0.31	0.56	0.87	0.00	(0.70)	0.70	(0.50)	14.48
APDPX	0.11	0.08	(0.04)	(2.25)	0.00	(0.17)	0.28	(0.18)	0.82
BXFIX	0.08	(0.02)	0.00	(8.38)	0.00	0.00	0.12	(0.24)	0.95
CNGLX	0.55	0.07	0.06	0.18	0.51	(0.65)	1.04	(0.99)	5.46
SMYIX	0.62	0.15	0.16	0.35	0.44	(0.72)	1.07	(1.07)	7.76
DHGCX	0.09	0.00	(0.48)	0.21	0.00	(0.10)	0.21	(0.16)	0.62
CABIX	0.41	0.12	0.16	0.30	0.18	(0.52)	0.83	(0.74)	5.68
AWF	0.26	(0.03)	0.00	(0.06)	0.00	0.00	0.56	(0.57)	1.52

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