Large Cap Correlations

Mutual Funds USA . 
Fund . Large Cap Value
SLVCX Fund  USD 16.27  0.08  0.49%   
The current 90-days correlation between Large Cap Value and Moderately Servative Balanced is 0.9 (i.e., Almost no 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 unemployment.

Moving together with Large Mutual Fund

  0.99SABAX Salient Alternative BetaPairCorr
  0.99SABIX Aggressive BalancedPairCorr
  0.99SABCX Salient Alternative BetaPairCorr
  0.99SAMAX Moderately AggressivePairCorr
  0.99SAMCX Salient Mlp FundPairCorr
  0.99SAMIX Moderately AggressivePairCorr
  0.66SSCCX Saratoga Small CapitPairCorr
  0.63SSCPX Small CapitalizationPairCorr
  0.92SSCYX Small CapitalizationPairCorr
  0.99SBCCX Moderately ServativePairCorr
  0.99SBMCX Moderate BalancedPairCorr
  0.99SBMIX Moderate BalancedPairCorr
  0.89STPCX Technology CommunicationsPairCorr
  0.96SCAAX Conservative BalancedPairCorr
  0.99SUMCX Conservative BalancedPairCorr
  0.86SHPCX Health BiotchnologyPairCorr
  0.65SIEYX International EquityPairCorr
  0.65SIECX International EquityPairCorr
  0.65SIEPX International EquityPairCorr
  0.99SLCVX Large Cap ValuePairCorr
  0.71SLGYX Large CapitalizationPairCorr
  1.0SLVYX Large Cap ValuePairCorr
  0.99SMACX Moderately ConservativePairCorr
  0.99SMICX Moderately ConservativePairCorr
  0.63SMIPX Mid CapitalizationPairCorr
  0.99SMPAX Moderate BalancedPairCorr
  0.99LUNAX Conservative BalancedPairCorr
  0.63SPMAX Mid CapitalizationPairCorr
  0.63SPMCX Mid CapitalizationPairCorr
  0.71VIMAX Vanguard Mid CapPairCorr

Moving against Large Mutual Fund

  0.99SLGCX Large CapitalizationPairCorr
  0.32SLCGX Large CapitalizationPairCorr

Related Correlations Analysis


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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
SABAX  0.59  0.12  0.18  0.21  0.27 
(0.75)
 0.99 
(0.99)
 10.09 
SABIX  0.60  0.12  0.18  0.21  0.26 
(0.77)
 0.98 
(0.98)
 10.03 
SABCX  0.60  0.11  0.17  0.21  0.30 
(0.79)
 0.99 
(1.06)
 10.16 
SAMAX  0.56  0.11  0.18  0.21  0.17 
(0.71)
 0.99 
(0.90)
 9.99 
SAMCX  0.56  0.11  0.17  0.21  0.20 
(0.73)
 1.00 
(0.91)
 10.09 
SAMIX  0.57  0.11  0.17  0.21  0.21 
(0.74)
 0.99 
(0.98)
 9.92 
SSCCX  0.98  0.16  0.02 (0.29) 1.05 
(3.08)
 2.94 
(2.78)
 8.19 
SSCPX  0.83  0.05  0.05  0.12  0.92 
(0.90)
 1.80 
(1.86)
 5.87 
SSCYX  1.03  0.24  0.22  0.30  0.79 
(1.31)
 2.00 
(1.78)
 14.46 
SBCCX  0.53  0.13  0.23  0.25  0.00 
(0.72)
 0.84 
(0.73)
 10.83 

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