Large Cap Correlations

FMIHX Fund

USD 17.71 0.03 0.17%

The current 90-days correlation between Large Cap Fund and Wasatch Large Cap is 0.6 (i.e., Poor diversification). The correlation of Large 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.

Large Cap Correlation With Market

Very poor diversification

The correlation between Large Cap Fund and DJI is 0.84 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Large Cap Fund and DJI in the same portfolio, assuming nothing else is changed.

Check out Investing Opportunities to better understand how to build diversified portfolios, which includes a position in Large Cap Fund. 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 rate.

Moving together with Large Mutual Fund

0.93	FMIUX	Common Stock	Pair Corr
0.92	FMIQX	Large Cap Fund	Pair Corr
0.87	FMIMX	Common Stock	Pair Corr
0.87	VTSAX	Vanguard Total Stock	Pair Corr
0.82	VFIAX	Vanguard 500 Index	Pair Corr
0.87	VTSMX	Vanguard Total Stock	Pair Corr
0.87	VITSX	Vanguard Total Stock	Pair Corr
0.87	VSMPX	Vanguard Total Stock	Pair Corr
0.87	VSTSX	Vanguard Total Stock	Pair Corr
0.86	VFINX	Vanguard 500 Index	Pair Corr
0.86	VFFSX	Vanguard 500 Index	Pair Corr
0.86	VINIX	Vanguard Institutional	Pair Corr
0.86	VIIIX	Vanguard Institutional	Pair Corr
0.61	WRHIX	Ivy High Income	Pair Corr
0.61	WHIAX	Ivy High Income	Pair Corr
0.63	IHIFX	Ivy High Income	Pair Corr
0.64	IVHIX	Ivy High Income	Pair Corr
0.61	RA	Brookfield Real Assets	Pair Corr
0.84	ANCIX	Ancora Microcap	Pair Corr
0.88	LGWIX	Ladenburg Growth	Pair Corr
0.84	DFMGX	Df Dent Midcap	Pair Corr
0.84	CGFFX	Growth Fund	Pair Corr
0.7	JRI	Nuveen Real Asset	Pair Corr
0.77	RNGHX	New Economy Fund	Pair Corr
0.86	MERDX	Meridian Growth	Pair Corr
0.93	TRLCX	Tiaa-cref Large-cap	Pair Corr
0.82	CSQ	Calamos Strategic Total	Pair Corr
0.76	FIKHX	Fidelity Advisor Tec	Pair Corr
0.8	VIGAX	Vanguard Growth Index	Pair Corr
0.77	WCPSX	Mobile Telecommunicatio	Pair Corr

Moving against Large Mutual Fund

0.32	CIFRX	Columbia Porate Income	Pair Corr
0.31	LIIAX	Columbia Porate Income	Pair Corr

Related Correlations Analysis

	FMIEX	LSBRX	HIINX	EXEYX	WTIBX
FMIEX		0.63	0.69	-0.16	0.68	FMIEX
LSBRX	0.63		0.51	0.07	0.47	LSBRX
HIINX	0.69	0.51		-0.54	0.76	HIINX
EXEYX	-0.16	0.07	-0.54		-0.63	EXEYX
WTIBX	0.68	0.47	0.76	-0.63		WTIBX
	FMIEX	LSBRX	HIINX	EXEYX	WTIBX

Click cells to compare fundamentals

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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

WTIBX	+ 0.76	HIINX
HIINX	+ 0.69	FMIEX
WTIBX	+ 0.68	FMIEX
LSBRX	+ 0.63	FMIEX
HIINX	+ 0.51	LSBRX
WTIBX	+ 0.47	LSBRX

High negative correlations

WTIBX	- 0.63	EXEYX
EXEYX	- 0.54	HIINX
EXEYX	- 0.16	FMIEX

Risk-Adjusted Indicators

There is a big difference between Large Mutual Fund performing well and Large 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 Large 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
FMIEX	0.39	(0.03)	(0.23)	0.04	0.43	(0.44)	0.81	(0.79)	2.12
LSBRX	0.17	0.01	(0.47)	1.21	0.08	(0.23)	0.43	(0.34)	1.10
HIINX	0.67	(0.11)	0.00	(0.08)	0.00	0.00	1.32	(1.64)	4.30
EXEYX	0.52	0.00	(0.04)	0.13	0.60	(0.55)	1.03	(1.12)	3.99
WTIBX	0.22	(0.01)	0.00	0.37	0.00	0.00	0.42	(0.63)	1.28

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