Small-cap Value Correlations

SVPIX Fund

USD 124.66 2.64 2.07%

The current 90-days correlation between Small Cap Value and Bear Profund Bear is -0.69 (i.e., Excellent diversification). The correlation of Small-cap Value 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 Value Correlation With Market

Almost no diversification

The correlation between Small Cap Value Profund and DJI is 0.95 (i.e., Almost no diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Small Cap Value Profund 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 Value Profund. 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-cap Mutual Fund

0.85	UJPIX	Ultrajapan Profund Steady Growth	Pair Corr
0.99	MLPSX	Mid Cap Value	Pair Corr
0.99	MLPIX	Mid Cap Value	Pair Corr
0.79	ENPSX	Oil Gas Ultrasector	Pair Corr
0.81	ENPIX	Oil Gas Ultrasector	Pair Corr
0.73	PHPIX	Pharmaceuticals Ultrasector	Pair Corr
0.72	PHPSX	Pharmaceuticals Ultrasector	Pair Corr
0.79	ULPIX	Ultrabull Profund	Pair Corr
0.8	ULPSX	Ultrabull Profund	Pair Corr
0.68	WCPIX	Mobile Telecommunicatio Potential Growth	Pair Corr
0.69	WCPSX	Mobile Telecommunicatio	Pair Corr
0.9	OEPSX	Oil Equipment Services Steady Growth	Pair Corr
0.9	OEPIX	Oil Equipment Services Steady Growth	Pair Corr
0.96	SVPSX	Small Cap Value	Pair Corr
0.63	RRPSX	Rising Rates Opportunity	Pair Corr
0.99	UMPSX	Ultramid Cap Profund	Pair Corr
0.99	UMPIX	Ultramid Cap Profund	Pair Corr

Moving against Small-cap Mutual Fund

0.98	UIPIX	Ultrashort Mid Cap	Pair Corr
0.98	UIPSX	Ultrashort Mid Cap	Pair Corr
0.9	UKPSX	Ultrashort Japan Profund	Pair Corr
0.9	UKPIX	Ultrashort Japan Profund	Pair Corr
0.71	BRPSX	Bear Profund Bear	Pair Corr
0.68	SRPSX	Short Real Estate	Pair Corr
0.66	BRPIX	Bear Profund Bear	Pair Corr
0.61	GVPSX	Us Government Plus	Pair Corr
0.58	GVPIX	Us Government Plus	Pair Corr
0.58	BTCFX	Bitcoin Strategy Profund	Pair Corr
0.56	UJPSX	Ultrajapan Profund Steady Growth	Pair Corr
0.55	SRPIX	Short Real Estate	Pair Corr
0.58	INPIX	Internet Ultrasector	Pair Corr
0.58	INPSX	Internet Ultrasector	Pair Corr

Related Correlations Analysis

	SRPIX	SRPSX	UIPIX	UIPSX	TEPIX	TEPSX	LGPIX	LGPSX	BRPIX	BRPSX
SRPIX		0.98	0.53	0.54	0.03	0.0	-0.05	-0.07	0.24	0.27	SRPIX
SRPSX	0.98		0.66	0.66	-0.02	-0.07	-0.13	-0.15	0.33	0.35	SRPSX
UIPIX	0.53	0.66		1.0	-0.48	-0.54	-0.55	-0.57	0.69	0.78	UIPIX
UIPSX	0.54	0.66	1.0		-0.48	-0.54	-0.54	-0.57	0.69	0.78	UIPSX
TEPIX	0.03	-0.02	-0.48	-0.48		0.99	0.8	0.8	-0.7	-0.84	TEPIX
TEPSX	0.0	-0.07	-0.54	-0.54	0.99		0.82	0.83	-0.72	-0.85	TEPSX
LGPIX	-0.05	-0.13	-0.55	-0.54	0.8	0.82		1.0	-0.92	-0.79	LGPIX
LGPSX	-0.07	-0.15	-0.57	-0.57	0.8	0.83	1.0		-0.91	-0.79	LGPSX
BRPIX	0.24	0.33	0.69	0.69	-0.7	-0.72	-0.92	-0.91		0.83	BRPIX
BRPSX	0.27	0.35	0.78	0.78	-0.84	-0.85	-0.79	-0.79	0.83		BRPSX
	SRPIX	SRPSX	UIPIX	UIPSX	TEPIX	TEPSX	LGPIX	LGPSX	BRPIX	BRPSX

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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

UIPSX	+ 1.0	UIPIX
LGPSX	+ 1.0	LGPIX
TEPSX	+ 0.99	TEPIX
SRPSX	+ 0.98	SRPIX
LGPSX	+ 0.83	TEPSX
BRPSX	+ 0.83	BRPIX

High negative correlations

BRPIX	- 0.92	LGPIX
BRPIX	- 0.91	LGPSX
BRPSX	- 0.85	TEPSX
BRPSX	- 0.84	TEPIX
BRPSX	- 0.79	LGPSX
BRPSX	- 0.79	LGPIX

Risk-Adjusted Indicators

There is a big difference between Small-cap Mutual Fund performing well and Small-cap Value 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 Value'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
SRPIX	0.60	(0.03)	0.00	0.15	0.00	0.00	1.30	(1.41)	3.94
SRPSX	0.58	(0.05)	0.00	0.20	0.00	0.00	1.20	(1.35)	3.68
UIPIX	1.42	(0.11)	0.00	0.13	0.00	0.00	2.83	(3.65)	9.83
UIPSX	1.42	(0.10)	0.00	0.12	0.00	0.00	2.94	(3.64)	9.89
TEPIX	1.70	(0.14)	0.00	(0.02)	0.00	0.00	3.61	(3.98)	11.00
TEPSX	1.72	(0.13)	0.00	(0.01)	0.00	0.00	3.61	(4.01)	12.33
LGPIX	0.77	0.01	(0.05)	0.28	1.10	(0.73)	2.27	(1.80)	5.36
LGPSX	0.78	0.01	(0.05)	0.35	1.11	(0.74)	2.26	(1.82)	5.88
BRPIX	0.55	(0.04)	0.00	(4.22)	0.00	0.00	1.32	(1.09)	4.17
BRPSX	0.57	0.03	0.00	0.03	0.00	0.00	1.49	(1.22)	4.05

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