Large Cap Correlations

SLVYX Fund

USD 24.85 0.38 1.55%

The current 90-days correlation between Large Cap Value and Alpsalerian Energy Infrastructure is -0.01 (i.e., Good 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

Very poor diversification

The correlation between Large Cap Value and DJI is 0.88 (i.e., Very 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 producer price index.

Moving together with Large Mutual Fund

0.98	SABAX	Salient Alternative Beta	Pair Corr
0.98	SABIX	Aggressive Balanced	Pair Corr
0.98	SABCX	Salient Alternative Beta	Pair Corr
0.98	SAMAX	Moderately Aggressive	Pair Corr
0.98	SAMCX	Salient Mlp Fund	Pair Corr
0.98	SAMIX	Moderately Aggressive	Pair Corr
0.98	SSCCX	Saratoga Small Capit	Pair Corr
0.98	SSCPX	Small Capitalization	Pair Corr
0.98	SSCYX	Small Capitalization	Pair Corr
0.98	SBCCX	Moderately Servative	Pair Corr
0.86	SBHIX	Health Biotchnology	Pair Corr
0.98	SBMCX	Moderate Balanced	Pair Corr
0.98	SBMIX	Moderate Balanced	Pair Corr
0.97	STPAX	Technology Communications	Pair Corr
0.98	STPCX	Technology Communications	Pair Corr
0.96	STPIX	Technology Communications	Pair Corr
0.98	SCAAX	Conservative Balanced	Pair Corr
0.98	SUMCX	Conservative Balanced	Pair Corr
0.89	SHPAX	Health Biotchnology	Pair Corr
0.93	SHPCX	Health Biotchnology	Pair Corr
0.81	SIEYX	International Equity	Pair Corr
0.81	SIECX	International Equity	Pair Corr
0.81	SIEPX	International Equity	Pair Corr
1.0	SLCVX	Large Cap Value	Pair Corr
0.95	SLGYX	Large Capitalization	Pair Corr
1.0	SLVCX	Large Cap Value	Pair Corr
0.98	SMACX	Moderately Conservative	Pair Corr
0.98	SMICX	Moderately Conservative	Pair Corr
1.0	SMIPX	Mid Capitalization	Pair Corr
0.98	SMPAX	Moderate Balanced	Pair Corr
0.98	LUNAX	Conservative Balanced	Pair Corr
1.0	SPMAX	Mid Capitalization	Pair Corr
0.85	VIMAX	Vanguard Mid Cap	Pair Corr

Moving against Large Mutual Fund

0.98	SLGCX	Large Capitalization	Pair Corr
0.96	SPMCX	Mid Capitalization	Pair Corr

Related Correlations Analysis

	FSLEX	SNPIX	ICBAX	FRNRX	DLDCX	APWEX	ALEFX
FSLEX		-0.7	0.89	0.83	0.83	0.73	0.8	FSLEX
SNPIX	-0.7		-0.8	-0.92	-0.92	-0.96	-0.72	SNPIX
ICBAX	0.89	-0.8		0.94	0.94	0.75	0.93	ICBAX
FRNRX	0.83	-0.92	0.94		1.0	0.87	0.86	FRNRX
DLDCX	0.83	-0.92	0.94	1.0		0.87	0.87	DLDCX
APWEX	0.73	-0.96	0.75	0.87	0.87		0.66	APWEX
ALEFX	0.8	-0.72	0.93	0.86	0.87	0.66		ALEFX
	FSLEX	SNPIX	ICBAX	FRNRX	DLDCX	APWEX	ALEFX

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

DLDCX	+ 1.0	FRNRX
FRNRX	+ 0.94	ICBAX
DLDCX	+ 0.94	ICBAX
ALEFX	+ 0.93	ICBAX
ICBAX	+ 0.89	FSLEX
APWEX	+ 0.87	FRNRX

High negative correlations

APWEX	- 0.96	SNPIX
DLDCX	- 0.92	SNPIX
FRNRX	- 0.92	SNPIX
ICBAX	- 0.8	SNPIX
ALEFX	- 0.72	SNPIX
SNPIX	- 0.7	FSLEX

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
FSLEX	0.77	(0.01)	(0.01)	0.07	1.03	(0.74)	1.37	(1.83)	3.64
SNPIX	1.06	(0.27)	0.00	0.93	0.00	0.00	1.89	(2.37)	6.18
ICBAX	1.16	0.31	0.28	0.34	0.70	(1.40)	2.82	(1.76)	12.05
FRNRX	0.95	0.27	0.17	0.45	1.08	(1.07)	1.98	(1.93)	6.50
DLDCX	1.03	0.31	0.20	0.42	1.09	(1.16)	1.99	(2.41)	6.26
APWEX	0.96	0.12	0.08	0.24	1.02	(1.05)	1.98	(2.03)	4.47
ALEFX	0.99	0.43	0.41	1.23	0.19	(1.23)	1.61	(1.26)	19.46

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