Small Capitalization Correlations

SSCPX Fund

USD 7.37 0.14 1.86%

The current 90-days correlation between Small Capitalization and Qs Small Capitalization is 0.59 (i.e., Very weak diversification). The correlation of Small 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.

Small Capitalization Correlation With Market

Almost no diversification

The correlation between Small Capitalization Portfolio and DJI is 0.9 (i.e., Almost no diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Small Capitalization Portfolio 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 Capitalization Portfolio. 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 inflation.

Moving together with Small Mutual Fund

0.97	SABAX	Salient Alternative Beta	Pair Corr
0.97	SABIX	Aggressive Balanced	Pair Corr
0.97	SABCX	Salient Alternative Beta	Pair Corr
0.97	SAMAX	Moderately Aggressive	Pair Corr
0.97	SAMCX	Salient Mlp Fund	Pair Corr
0.97	SAMIX	Moderately Aggressive	Pair Corr
0.99	SSCCX	Saratoga Small Capit	Pair Corr
1.0	SSCYX	Small Capitalization	Pair Corr
0.96	SBCCX	Moderately Conservative	Pair Corr
0.75	SBHIX	Health Biotchnology	Pair Corr
0.96	SBMCX	Moderate Balanced	Pair Corr
0.97	SBMIX	Moderate Balanced	Pair Corr
0.95	STPAX	Technology Communications	Pair Corr
0.95	STPCX	Technology Communications	Pair Corr
0.95	STPIX	Technology Communications	Pair Corr
0.96	SCAAX	Conservative Balanced	Pair Corr
0.94	SUMCX	Conservative Balanced	Pair Corr
0.78	SHPAX	Health Biotchnology	Pair Corr
0.83	SHPCX	Health Biotchnology	Pair Corr
0.88	SIEYX	International Equity	Pair Corr
0.88	SIECX	International Equity	Pair Corr
0.88	SIEPX	International Equity	Pair Corr
0.97	SLCVX	Large Cap Value	Pair Corr
0.94	SLGYX	Large Capitalization	Pair Corr
0.97	SLVCX	Large Cap Value	Pair Corr
0.97	SLVYX	Large Cap Value	Pair Corr
0.96	SMACX	Moderately Conservative	Pair Corr
0.96	SMICX	Moderately Conservative	Pair Corr

Moving against Small Mutual Fund

0.76	SFPIX	Financial Services	Pair Corr
0.93	SLGCX	Large Capitalization	Pair Corr
0.9	SPMCX	Mid Capitalization	Pair Corr

Related Correlations Analysis

	CIPMX	PARCX	ARTQX	SSHFX	AUERX	ARSKX	LMBMX
CIPMX		0.91	0.88	0.86	0.91	0.81	0.95	CIPMX
PARCX	0.91		0.87	0.93	0.87	0.91	0.94	PARCX
ARTQX	0.88	0.87		0.85	0.95	0.77	0.95	ARTQX
SSHFX	0.86	0.93	0.85		0.84	0.98	0.89	SSHFX
AUERX	0.91	0.87	0.95	0.84		0.75	0.94	AUERX
ARSKX	0.81	0.91	0.77	0.98	0.75		0.83	ARSKX
LMBMX	0.95	0.94	0.95	0.89	0.94	0.83		LMBMX
	CIPMX	PARCX	ARTQX	SSHFX	AUERX	ARSKX	LMBMX

Risk-Adjusted Indicators

There is a big difference between Small Mutual Fund performing well and Small 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 Small 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
CIPMX	1.03	0.32	0.35	0.76	0.32	(1.40)	1.68	(1.22)	23.97
PARCX	0.40	0.06	0.07	0.19	0.22	(0.46)	0.82	(0.73)	5.12
ARTQX	0.82	0.09	0.12	0.15	0.62	(1.02)	1.86	(1.10)	10.44
SSHFX	0.85	0.25	0.29	0.44	0.40	(1.06)	1.38	(1.29)	15.33
AUERX	0.91	0.31	0.31	0.74	0.41	(1.21)	1.77	(1.39)	12.63
ARSKX	0.79	0.23	0.26	0.50	0.37	(0.98)	1.19	(1.17)	15.87
LMBMX	0.92	0.13	0.12	0.20	0.88	(1.04)	2.18	(1.80)	6.62

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