Small Cap Correlations

ANOYX Fund

USD 23.09 0.07 0.30%

The current 90-days correlation between Small Cap Growth and Dodge Cox Stock is 0.05 (i.e., Significant 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 Growth 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 Growth and DJI in the same portfolio, assuming nothing else is changed.

Check out Trending Equities to better understand how to build diversified portfolios, which includes a position in Small 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 manufacturing.

Moving together with Small Mutual Fund

0.92	AMEIX	Equity Growth	Pair Corr
0.9	AMGIX	Income Growth	Pair Corr
0.86	TWCCX	Ultra Fund C	Pair Corr
0.85	TWCAX	Select Fund A	Pair Corr
0.75	TWCIX	Select Fund Investor	Pair Corr
0.77	TWCGX	Growth Fund Investor	Pair Corr
0.71	TWBIX	Balanced Fund Investor	Pair Corr
0.78	TWCUX	Ultra Fund Investor	Pair Corr
0.85	TWGIX	Growth Fund I	Pair Corr
0.89	TWHIX	Heritage Fund Investor	Pair Corr
0.77	TWRCX	Growth Fund C	Pair Corr
0.76	TWSCX	Strategic Allocation	Pair Corr
0.87	TWSAX	Strategic Allocation	Pair Corr
0.84	TWSMX	Strategic Allocation	Pair Corr
0.85	TWSIX	Select Fund I	Pair Corr
0.86	TWUAX	Ultra Fund A	Pair Corr
0.86	TWUIX	Ultra Fund I	Pair Corr
0.73	NPHIX	High Income Fund	Pair Corr

Moving against Small Mutual Fund

0.54	TWMIX	Emerging Markets	Pair Corr
0.53	AMKIX	Emerging Markets	Pair Corr
0.5	TWACX	Short Term Government	Pair Corr
0.45	TWAVX	Short Term Government	Pair Corr
0.44	TWARX	Short Term Government	Pair Corr
0.42	TWGAX	International Growth	Pair Corr
0.42	TWIEX	International Growth	Pair Corr
0.36	CDBCX	Diversified Bond	Pair Corr
0.51	ANVRX	American Century Non	Pair Corr
0.51	ANVLX	American Century Non	Pair Corr
0.5	ANTUX	Nt Non Intrinsic	Pair Corr
0.5	ANVMX	American Century Non	Pair Corr
0.48	TWUOX	Short Term Government	Pair Corr
0.48	ANTGX	Nt Non Intrinsic	Pair Corr
0.45	TWUSX	Short Term Government	Pair Corr
0.34	ANTMX	Nt International Small	Pair Corr

Related Correlations Analysis

	DOXGX	LMUSX	TFCCX	IAFLX	TRSAX	PLAAX	FALCX
DOXGX		0.79	0.9	0.49	0.8	0.79	0.0	DOXGX
LMUSX	0.79		0.74	0.9	0.85	0.68	0.0	LMUSX
TFCCX	0.9	0.74		0.42	0.83	0.78	0.0	TFCCX
IAFLX	0.49	0.9	0.42		0.66	0.4	0.0	IAFLX
TRSAX	0.8	0.85	0.83	0.66		0.84	0.0	TRSAX
PLAAX	0.79	0.68	0.78	0.4	0.84		0.0	PLAAX
FALCX	0.0	0.0	0.0	0.0	0.0	0.0		FALCX
	DOXGX	LMUSX	TFCCX	IAFLX	TRSAX	PLAAX	FALCX

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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

TFCCX	+ 0.9	DOXGX
IAFLX	+ 0.9	LMUSX
TRSAX	+ 0.85	LMUSX
PLAAX	+ 0.84	TRSAX
TRSAX	+ 0.83	TFCCX
TRSAX	+ 0.8	DOXGX

High negative correlations

FALCX	- 0.0	PLAAX
FALCX	- 0.0	TRSAX
FALCX	- 0.0	IAFLX
FALCX	- 0.0	TFCCX
FALCX	- 0.0	LMUSX
FALCX	- 0.0	DOXGX

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
DOXGX	0.59	(0.09)	0.00	(1.45)	0.00	0.00	0.94	(0.93)	4.31
LMUSX	0.64	0.04	0.02	0.15	1.04	(0.68)	1.23	(1.49)	6.37
TFCCX	0.52	(0.05)	0.00	(0.04)	0.00	0.00	0.83	(0.83)	5.58
IAFLX	0.74	0.14	0.09	(75.78)	0.98	(0.76)	1.72	(1.59)	4.92
TRSAX	0.79	0.01	0.00	0.03	1.72	(0.66)	1.60	(2.26)	9.13
PLAAX	0.83	(0.10)	0.00	(0.10)	0.00	0.00	1.45	(2.00)	13.27
FALCX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00

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