Mid Cap Correlations

TEGIX Fund

USD 41.55 0.76 1.80%

The current 90-days correlation between Mid Cap Growth and Janus High Yield Fund is 0.31 (i.e., Weak diversification). The correlation of Mid 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.

Mid Cap Correlation With Market

Very poor diversification

The correlation between Mid Cap Growth and DJI is 0.85 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Mid Cap Growth 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 Mid Cap Growth. 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 Mid Mutual Fund

0.71	TVOYX	Touchstone Small Cap	Pair Corr
0.95	TEGAX	Mid Cap Growth	Pair Corr
1.0	TEGYX	Mid Cap Growth	Pair Corr
0.85	SAGWX	Sentinel Small Pany	Pair Corr
0.83	TEQCX	Touchstone Sustainability	Pair Corr
0.83	TEQAX	Touchstone Sustainability	Pair Corr
0.94	SSCOX	Sentinel Small Pany	Pair Corr
0.79	TFCCX	Touchstone Large Cap	Pair Corr
0.96	SSRRX	Sentinel Small	Pair Corr
0.92	TFFCX	Touchstone Focused	Pair Corr
0.95	TFGRX	Touchstone Mid Cap	Pair Corr
0.94	TFFIX	Touchstone Focused	Pair Corr
0.86	SSSGX	Sentinel Low Duration	Pair Corr
0.97	SBACX	Sentinel Balanced	Pair Corr
0.94	TGVCX	Growth Opportunities	Pair Corr
0.98	TGVFX	Growth Opportunities	Pair Corr
0.98	TGVYX	Growth Opportunities	Pair Corr
0.9	SCRLX	Sentinel Mon Stock	Pair Corr
0.89	SCSCX	Sentinel Mon Stock	Pair Corr
0.82	THYCX	High Yield Fund	Pair Corr
0.82	THYAX	High Yield Fund	Pair Corr
0.96	TICSX	Touchstone Small Pany	Pair Corr
0.94	SEBLX	Sentinel Balanced	Pair Corr
0.86	TIQIX	Touchstone Sustainability	Pair Corr
0.88	SENCX	Sentinel Mon Stock	Pair Corr
0.84	SWFCX	Sentinel International	Pair Corr
0.81	SWRLX	Sentinel International	Pair Corr
0.8	TLCIX	Touchstone Large Cap	Pair Corr
0.8	TLCYX	Touchstone Large Cap	Pair Corr
0.61	FFSAX	Touchstone Flexible	Pair Corr
0.67	TMARX	Touchstone Arbitrage	Pair Corr
0.68	TMAYX	Touchstone Arbitrage	Pair Corr
0.92	TMCTX	Touchstone Mid Cap	Pair Corr

Related Correlations Analysis

	GTMUX	PESPX	PREFX	USSCX	FSLVX	HCKAX	IBALX	ILLLX	TCMSX	JHYFX
GTMUX		0.91	0.04	0.71	0.85	0.83	0.83	-0.16	0.93	0.92	GTMUX
PESPX	0.91		-0.14	0.63	0.93	0.86	0.84	-0.41	0.95	0.95	PESPX
PREFX	0.04	-0.14		0.38	-0.13	-0.05	-0.02	0.77	-0.02	-0.12	PREFX
USSCX	0.71	0.63	0.38		0.73	0.79	0.74	0.23	0.81	0.62	USSCX
FSLVX	0.85	0.93	-0.13	0.73		0.97	0.96	-0.38	0.94	0.92	FSLVX
HCKAX	0.83	0.86	-0.05	0.79	0.97		0.96	-0.26	0.92	0.86	HCKAX
IBALX	0.83	0.84	-0.02	0.74	0.96	0.96		-0.26	0.89	0.86	IBALX
ILLLX	-0.16	-0.41	0.77	0.23	-0.38	-0.26	-0.26		-0.26	-0.4	ILLLX
TCMSX	0.93	0.95	-0.02	0.81	0.94	0.92	0.89	-0.26		0.93	TCMSX
JHYFX	0.92	0.95	-0.12	0.62	0.92	0.86	0.86	-0.4	0.93		JHYFX
	GTMUX	PESPX	PREFX	USSCX	FSLVX	HCKAX	IBALX	ILLLX	TCMSX	JHYFX

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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

HCKAX	+ 0.97	FSLVX
IBALX	+ 0.96	FSLVX
IBALX	+ 0.96	HCKAX
TCMSX	+ 0.95	PESPX
JHYFX	+ 0.95	PESPX
TCMSX	+ 0.94	FSLVX

High negative correlations

ILLLX	- 0.41	PESPX
JHYFX	- 0.4	ILLLX
ILLLX	- 0.38	FSLVX
TCMSX	- 0.26	ILLLX
ILLLX	- 0.26	IBALX
ILLLX	- 0.26	HCKAX

Risk-Adjusted Indicators

There is a big difference between Mid Mutual Fund performing well and Mid 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 Mid 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
GTMUX	0.97	0.16	0.09	1.77	0.89	(1.17)	2.02	(1.68)	4.77
PESPX	0.71	0.06	0.06	0.13	0.69	(0.80)	1.83	(1.37)	3.73
PREFX	0.76	(0.13)	0.00	(0.09)	0.00	0.00	1.37	(1.96)	4.89
USSCX	1.07	(0.02)	(0.02)	0.05	1.53	(1.01)	2.42	(2.40)	9.96
FSLVX	0.62	0.14	0.18	0.24	0.34	(0.76)	1.36	(1.05)	7.57
HCKAX	0.45	0.13	0.11	2.30	0.26	(0.55)	0.92	(0.84)	6.53
IBALX	0.42	0.10	0.07	1.44	0.24	(0.53)	0.92	(0.73)	6.88
ILLLX	1.44	(0.19)	0.00	12.71	0.00	0.00	2.66	(3.40)	7.70
TCMSX	1.13	0.11	0.10	0.16	1.13	(1.37)	2.37	(2.19)	5.79
JHYFX	0.14	0.03	(0.16)	0.39	0.00	(0.26)	0.40	(0.27)	1.08

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