Mid Cap Correlations

VMIDX Fund

USD 28.17 0.10 0.36%

The current 90-days correlation between Mid Cap Index and Blue Chip Growth is 0.61 (i.e., Poor 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

Almost no diversification

The correlation between Mid Cap Index and DJI is 0.94 (i.e., Almost no diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Mid Cap Index 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 Index. 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 small area income & poverty estimates.

Moving together with Mid Mutual Fund

0.71	VSRDX	Valic Company I	Pair Corr
0.71	VSTIX	Stock Index Fund	Pair Corr
0.98	VSSVX	Small Cap Special	Pair Corr
0.97	VBCVX	Broad Cap Value	Pair Corr
0.76	VCBDX	Valic Company I	Pair Corr
0.9	VCGEX	Emerging Economies	Pair Corr
0.64	VCGSX	Government Securities	Pair Corr
0.95	VCFVX	Foreign Value	Pair Corr
0.96	VCIEX	International Equities	Pair Corr
0.81	VCIFX	International Government	Pair Corr
0.95	VCIGX	Valic Company I	Pair Corr
0.81	VCINX	International Growth	Pair Corr
0.96	VCSOX	Global Social Awareness	Pair Corr
0.91	VCSLX	Small Cap Index	Pair Corr
0.73	VDAFX	Dynamic Allocation	Pair Corr
0.81	VVSGX	Valic Company I	Pair Corr
0.98	VVSCX	Valic Company I	Pair Corr
0.96	VGCLX	Valic Company I	Pair Corr
0.94	VGLSX	Global Strategy	Pair Corr
0.85	VGREX	Global Real Estate	Pair Corr
0.96	VHYLX	Valic Company I	Pair Corr
0.93	VIOPX	Valic Company I	Pair Corr
0.89	VLAGX	Valic Company I	Pair Corr
0.95	VLSMX	Valic Company I	Pair Corr
0.97	VIMAX	Vanguard Mid Cap	Pair Corr
0.97	VIMSX	Vanguard Mid Cap	Pair Corr
0.97	VMCPX	Vanguard Mid Cap	Pair Corr
0.97	VMCIX	Vanguard Mid Cap	Pair Corr
0.85	VEXAX	Vanguard Extended Market	Pair Corr

Moving against Mid Mutual Fund

0.48	VAPPX	Valic Company I	Pair Corr
0.46	VCBCX	Blue Chip Growth	Pair Corr

Related Correlations Analysis

	VMSGX	VAPPX	VSRDX	VSTIX	VSSVX	VBCVX	VCAAX	VCBDX	VCBCX
VMSGX		0.34	0.91	0.85	0.53	0.59	0.79	0.26	0.36	VMSGX
VAPPX	0.34		0.24	0.23	-0.51	-0.41	0.56	-0.62	0.99	VAPPX
VSRDX	0.91	0.24		0.96	0.65	0.74	0.85	0.39	0.26	VSRDX
VSTIX	0.85	0.23	0.96		0.68	0.77	0.89	0.39	0.27	VSTIX
VSSVX	0.53	-0.51	0.65	0.68		0.97	0.33	0.71	-0.49	VSSVX
VBCVX	0.59	-0.41	0.74	0.77	0.97		0.43	0.68	-0.39	VBCVX
VCAAX	0.79	0.56	0.85	0.89	0.33	0.43		0.16	0.6	VCAAX
VCBDX	0.26	-0.62	0.39	0.39	0.71	0.68	0.16		-0.58	VCBDX
VCBCX	0.36	0.99	0.26	0.27	-0.49	-0.39	0.6	-0.58		VCBCX
	VMSGX	VAPPX	VSRDX	VSTIX	VSSVX	VBCVX	VCAAX	VCBDX	VCBCX

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

VCBCX	+ 0.99	VAPPX
VBCVX	+ 0.97	VSSVX
VSTIX	+ 0.96	VSRDX
VSRDX	+ 0.91	VMSGX
VCAAX	+ 0.89	VSTIX
VSTIX	+ 0.85	VMSGX

High negative correlations

VCBDX	- 0.62	VAPPX
VCBCX	- 0.58	VCBDX
VSSVX	- 0.51	VAPPX
VCBCX	- 0.49	VSSVX
VBCVX	- 0.41	VAPPX
VCBCX	- 0.39	VBCVX

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
VMSGX	0.85	(0.04)	(0.02)	0.06	1.03	(0.91)	1.56	(1.93)	5.44
VAPPX	0.73	(0.11)	0.00	(0.04)	0.00	0.00	1.29	(1.89)	4.84
VSRDX	0.65	(0.02)	(0.03)	0.08	0.83	(0.67)	1.16	(1.69)	4.24
VSTIX	0.54	(0.01)	(0.04)	0.08	0.67	(0.57)	0.99	(1.23)	3.60
VSSVX	0.80	0.11	0.15	0.20	0.48	(1.03)	2.44	(1.08)	5.24
VBCVX	0.54	0.05	0.04	0.16	0.47	(0.59)	1.41	(1.07)	3.29
VCAAX	0.33	(0.02)	(0.16)	0.05	0.38	(0.38)	0.71	(0.70)	2.34
VCBDX	0.15	0.02	(0.38)	0.36	0.00	(0.22)	0.30	(0.29)	0.69
VCBCX	0.75	(0.10)	0.00	(0.02)	0.00	0.00	1.29	(1.83)	4.84

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