Small Cap Correlations

SLPIX Fund

USD 116.42 0.45 0.39%

The current 90-days correlation between Small Cap Profund and Touchstone Large Cap is 0.79 (i.e., Poor diversification). The correlation of Small 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.

Small Cap Correlation With Market

Weak diversification

The correlation between Small Cap Profund Small Cap and DJI is 0.33 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Small Cap Profund Small Cap 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 Cap Profund Small Cap. 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 gross domestic product.

Moving together with Small Mutual Fund

0.64	TEPIX	Technology Ultrasector	Pair Corr
0.61	TEPSX	Technology Ultrasector	Pair Corr
0.97	MLPSX	Mid Cap Value	Pair Corr
0.97	MLPIX	Mid Cap Value	Pair Corr
0.61	ENPSX	Oil Gas Ultrasector Steady Growth	Pair Corr
0.62	ENPIX	Oil Gas Ultrasector Steady Growth	Pair Corr
0.86	ULPIX	Ultrabull Profund	Pair Corr
0.86	ULPSX	Ultrabull Profund	Pair Corr
0.63	OEPSX	Oil Equipment Services Steady Growth	Pair Corr
0.63	OEPIX	Oil Equipment Services Steady Growth	Pair Corr
0.98	SVPIX	Small Cap Value	Pair Corr
0.98	SVPSX	Small Cap Value	Pair Corr
0.98	UMPSX	Ultramid Cap Profund Steady Growth	Pair Corr
0.98	UMPIX	Ultramid Cap Profund Steady Growth	Pair Corr

Moving against Small Mutual Fund

0.98	UIPIX	Ultrashort Mid Cap	Pair Corr
0.91	UIPSX	Ultrashort Mid Cap	Pair Corr
0.69	BRPSX	Bear Profund Bear	Pair Corr
0.68	BRPIX	Bear Profund Bear	Pair Corr
0.51	SRPSX	Short Real Estate	Pair Corr
0.5	SRPIX	Short Real Estate	Pair Corr
0.49	RRPSX	Rising Rates Opportunity Potential Growth	Pair Corr
0.48	RRPIX	Rising Rates Opportunity Potential Growth	Pair Corr
0.37	RTPSX	Rising Rates Opportunity	Pair Corr
0.33	RTPIX	Rising Rates Opportunity	Pair Corr

Related Correlations Analysis

	TACLX	ILESX	ENGRX	CMIFX	ALCKX
TACLX		0.8	-0.68	-0.43	0.88	TACLX
ILESX	0.8		-0.5	0.06	0.76	ILESX
ENGRX	-0.68	-0.5		0.6	-0.68	ENGRX
CMIFX	-0.43	0.06	0.6		-0.36	CMIFX
ALCKX	0.88	0.76	-0.68	-0.36		ALCKX
	TACLX	ILESX	ENGRX	CMIFX	ALCKX

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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

ALCKX	+ 0.88	TACLX
ILESX	+ 0.8	TACLX
ALCKX	+ 0.76	ILESX
CMIFX	+ 0.6	ENGRX
CMIFX	+ 0.06	ILESX

High negative correlations

ALCKX	- 0.68	ENGRX
ENGRX	- 0.68	TACLX
ENGRX	- 0.5	ILESX
CMIFX	- 0.43	TACLX
ALCKX	- 0.36	CMIFX

Risk-Adjusted Indicators

There is a big difference between Small Mutual Fund performing well and Small 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 Small 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
TACLX	0.52	(0.03)	0.00	(0.10)	0.00	0.00	0.88	(0.97)	5.47
ILESX	0.65	(0.01)	(0.02)	0.00	0.93	(0.65)	1.24	(1.39)	6.28
ENGRX	0.45	0.08	0.00	1.02	0.00	0.00	0.88	(0.62)	9.66
CMIFX	0.06	0.00	(0.12)	1.08	0.00	(0.11)	0.10	(0.10)	0.41
ALCKX	0.88	(0.06)	0.00	(0.62)	0.00	0.00	1.46	(2.35)	9.24

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