Small Cap Correlations

UISCX Fund

USD 15.73 0.26 1.68%

The current 90-days correlation between Small Cap Stock and Capital Growth Fund is 0.8 (i.e., Very poor 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 0.88 (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 main economic indicators.

Moving together with Small Mutual Fund

0.8	UICGX	Capital Growth	Pair Corr
0.89	UIGIX	Growth Income	Pair Corr
0.84	UIGRX	Growth Fund Growth	Pair Corr
0.9	UIISX	Income Stock	Pair Corr
0.93	UIVAX	Value Fund Value	Pair Corr
0.75	UIWGX	World Growth	Pair Corr
0.83	URNQX	Nasdaq 100 Index	Pair Corr
0.85	USPRX	Sp 500 Index	Pair Corr
0.79	UTMAX	Target Managed Allocation	Pair Corr
0.7	UGOFX	Global Managed Volatility	Pair Corr
0.82	UIAGX	Aggressive Growth	Pair Corr
0.93	VSMAX	Vanguard Small Cap	Pair Corr
0.93	VSCIX	Vanguard Small Cap	Pair Corr
0.93	VSCPX	Vanguard Small Cap	Pair Corr
0.93	NAESX	Vanguard Small Cap	Pair Corr
0.97	FSSNX	Fidelity Small Cap	Pair Corr
0.97	DFSTX	Us Small Cap	Pair Corr
0.96	PASVX	T Rowe Price	Pair Corr
0.96	PRVIX	T Rowe Price	Pair Corr
0.96	TRZVX	T Rowe Price	Pair Corr
0.96	PRSVX	T Rowe Price	Pair Corr
0.88	ASG	Liberty All Star	Pair Corr
0.81	CII	Blackrock Enhanced	Pair Corr

Moving against Small Mutual Fund

0.57	UIITX	Intermediate Term Bond	Pair Corr
0.56	UIGSX	Government Securities	Pair Corr
0.55	URIBX	Intermediate Term Bond	Pair Corr
0.55	URGSX	Government Securities	Pair Corr
0.53	UIINX	Income Fund Income	Pair Corr
0.53	URIFX	Income Fund Income	Pair Corr

Related Correlations Analysis

	UICGX	UIEMX	UIHIX	UIIFX	UIGIX	UIGSX	UIGRX	UIINX	UIISX	UIITX
UICGX		0.56	0.7	0.18	0.87	-0.45	0.78	-0.4	0.87	-0.47	UICGX
UIEMX	0.56		0.42	0.76	0.17	0.14	0.06	0.18	0.21	0.12	UIEMX
UIHIX	0.7	0.42		-0.04	0.73	-0.32	0.71	-0.22	0.68	-0.3	UIHIX
UIIFX	0.18	0.76	-0.04		-0.32	0.65	-0.44	0.66	-0.24	0.62	UIIFX
UIGIX	0.87	0.17	0.73	-0.32		-0.73	0.97	-0.68	0.97	-0.74	UIGIX
UIGSX	-0.45	0.14	-0.32	0.65	-0.73		-0.77	0.99	-0.66	1.0	UIGSX
UIGRX	0.78	0.06	0.71	-0.44	0.97	-0.77		-0.72	0.89	-0.77	UIGRX
UIINX	-0.4	0.18	-0.22	0.66	-0.68	0.99	-0.72		-0.63	0.99	UIINX
UIISX	0.87	0.21	0.68	-0.24	0.97	-0.66	0.89	-0.63		-0.68	UIISX
UIITX	-0.47	0.12	-0.3	0.62	-0.74	1.0	-0.77	0.99	-0.68		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

UIITX	+ 1.0	UIGSX
UIINX	+ 0.99	UIGSX
UIITX	+ 0.99	UIINX
UIGRX	+ 0.97	UIGIX
UIISX	+ 0.97	UIGIX
UIISX	+ 0.89	UIGRX

High negative correlations

UIITX	- 0.77	UIGRX
UIGRX	- 0.77	UIGSX
UIITX	- 0.74	UIGIX
UIGSX	- 0.73	UIGIX
UIINX	- 0.72	UIGRX
UIITX	- 0.68	UIISX

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	0.57	(0.05)	(0.11)	0.05	0.67	(0.66)	1.32	(1.03)	3.82
UIEMX	0.73	(0.10)	0.00	(0.09)	0.00	0.00	1.31	(1.82)	4.60
UIHIX	0.10	0.01	(0.42)	0.35	0.00	(0.18)	0.29	(0.14)	1.02
UIIFX	0.66	(0.12)	0.00	(0.11)	0.00	0.00	1.17	(1.65)	4.39
UIGIX	0.53	(0.01)	(0.04)	0.11	0.53	(0.61)	1.23	(1.12)	3.66
UIGSX	0.17	(0.02)	0.00	0.49	0.00	0.00	0.34	(0.45)	1.12
UIGRX	0.73	0.03	0.01	0.15	0.99	(0.71)	1.72	(2.02)	5.06
UIINX	0.19	(0.02)	0.00	0.58	0.00	0.00	0.43	(0.52)	1.13
UIISX	0.55	(0.01)	(0.06)	0.10	0.45	(0.70)	1.11	(0.97)	3.63
UIITX	0.19	(0.02)	0.00	0.44	0.00	0.00	0.43	(0.43)	1.20

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