Small Cap Correlations

UISCX Fund

USD 14.63 0.11 0.76%

The current 90-days correlation between Small Cap Stock and Intermediate Term Bond Fund is -0.03 (i.e., Good diversification). The correlation of Small 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.

Small Cap Correlation With Market

Very poor diversification

The correlation between Small Cap Stock and DJI is 0.89 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Small Cap Stock 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 Stock. 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 Small Mutual Fund

0.8	UICGX	Capital Growth	Pair Corr
0.9	UIEMX	Emerging Markets	Pair Corr
0.91	UIHIX	High Income Fund	Pair Corr
0.86	UIIFX	International Fund	Pair Corr
0.78	UIGIX	Growth Income	Pair Corr
0.72	UIGSX	Government Securities	Pair Corr
0.71	UIINX	Income Fund Income	Pair Corr
0.86	UIISX	Income Stock	Pair Corr
0.63	UIITX	Intermediate Term Bond	Pair Corr
0.87	UIPMX	Precious Metals And	Pair Corr
0.83	UISBX	Short Term Bond	Pair Corr
0.82	UIVAX	Value Fund Value	Pair Corr
0.78	UIWGX	World Growth	Pair Corr
0.63	URIBX	Intermediate Term Bond	Pair Corr
0.73	URGSX	Government Securities	Pair Corr
0.9	URHIX	High Income Fund	Pair Corr
0.87	URUSX	Ultra Short Term	Pair Corr
0.65	USPRX	Sp 500 Index	Pair Corr
0.87	UTMAX	Target Managed Allocation	Pair Corr
0.87	UUSIX	Ultra Short Term	Pair Corr
0.9	UGOFX	Global Managed Volatility	Pair Corr
0.93	VSMAX	Vanguard Small Cap	Pair Corr
0.98	VSCIX	Vanguard Small Cap	Pair Corr
0.98	VSCPX	Vanguard Small Cap	Pair Corr
0.98	NAESX	Vanguard Small Cap	Pair Corr
0.97	FSSNX	Fidelity Small Cap	Pair Corr
0.99	DFSTX	Us Small Cap	Pair Corr
0.96	FTHSX	Fuller Thaler Behavioral	Pair Corr
0.96	FTHNX	Fuller Thaler Behavioral	Pair Corr
0.89	PASVX	T Rowe Price	Pair Corr
0.8	PRVIX	T Rowe Price	Pair Corr
0.63	VSMPX	Vanguard Total Stock	Pair Corr
0.63	VITSX	Vanguard Total Stock	Pair Corr

Moving against Small Mutual Fund

0.64	UIGRX	Growth Fund Growth	Pair Corr
0.72	UIAGX	Aggressive Growth	Pair Corr

Related Correlations Analysis

	UICGX	UIEMX	UIHIX	UIIFX	UIGIX	UIGSX	UIGRX	UIINX	UIISX	UIITX
UICGX		0.91	0.86	0.98	0.99	0.64	-0.47	0.61	0.98	0.51	UICGX
UIEMX	0.91		0.95	0.97	0.87	0.82	-0.65	0.8	0.94	0.72	UIEMX
UIHIX	0.86	0.95		0.92	0.83	0.79	-0.61	0.79	0.9	0.7	UIHIX
UIIFX	0.98	0.97	0.92		0.96	0.75	-0.59	0.73	0.99	0.63	UIIFX
UIGIX	0.99	0.87	0.83	0.96		0.6	-0.43	0.56	0.97	0.46	UIGIX
UIGSX	0.64	0.82	0.79	0.75	0.6		-0.81	0.97	0.74	0.98	UIGSX
UIGRX	-0.47	-0.65	-0.61	-0.59	-0.43	-0.81		-0.81	-0.62	-0.81	UIGRX
UIINX	0.61	0.8	0.79	0.73	0.56	0.97	-0.81		0.71	0.97	UIINX
UIISX	0.98	0.94	0.9	0.99	0.97	0.74	-0.62	0.71		0.63	UIISX
UIITX	0.51	0.72	0.7	0.63	0.46	0.98	-0.81	0.97	0.63		UIITX
	UICGX	UIEMX	UIHIX	UIIFX	UIGIX	UIGSX	UIGRX	UIINX	UIISX	UIITX

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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

UIGIX	+ 0.99	UICGX
UIISX	+ 0.99	UIIFX
UIIFX	+ 0.98	UICGX
UIISX	+ 0.98	UICGX
UIITX	+ 0.98	UIGSX
UIIFX	+ 0.97	UIEMX

High negative correlations

UIITX	- 0.81	UIGRX
UIINX	- 0.81	UIGRX
UIGRX	- 0.81	UIGSX
UIGRX	- 0.65	UIEMX
UIISX	- 0.62	UIGRX
UIGRX	- 0.61	UIHIX

Risk-Adjusted Indicators

There is a big difference between Small Mutual Fund performing well and Small 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 Small 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
UICGX	0.68	0.21	0.26	0.40	0.43	(0.83)	1.07	(1.04)	11.50
UIEMX	0.84	0.24	0.17	0.38	0.91	(0.95)	2.15	(1.31)	10.38
UIHIX	0.07	0.01	(0.16)	0.16	0.00	(0.16)	0.15	(0.15)	0.44
UIIFX	0.74	0.28	0.24	0.54	0.64	(0.83)	1.49	(1.36)	13.23
UIGIX	0.54	0.14	0.19	0.27	0.36	(0.64)	0.90	(0.73)	8.57
UIGSX	0.13	0.01	(0.14)	(0.59)	0.00	(0.20)	0.33	(0.22)	0.77
UIGRX	0.67	(0.07)	0.00	0.41	0.00	0.00	1.20	(1.77)	3.96
UIINX	0.14	0.00	(0.17)	(0.27)	0.10	(0.17)	0.26	(0.26)	0.85
UIISX	0.61	0.23	0.33	0.43	0.17	(0.78)	1.34	(0.93)	9.57
UIITX	0.15	0.01	(0.12)	(0.78)	0.08	(0.23)	0.33	(0.32)	0.96

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