Franklin Small Correlations

Mutual Funds . USA . 
Fund . Franklin Small Cap
FSGRX Fund  USD 23.62  0.20  0.85%   
The current 90-days correlation between Franklin Small Cap and Franklin Mutual Beacon is 0.5 (i.e., Very weak diversification). The correlation of Franklin Small 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.

Franklin Small Correlation With Market

Very poor diversification

The correlation between Franklin Small Cap 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 Franklin Small Cap 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 Franklin Small Cap. 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 metropolitan statistical area.

Moving together with Franklin Mutual Fund

  0.61SAIFX Clearbridge Large CapPairCorr
  0.81SASMX Clearbridge Small CapPairCorr

Moving against Franklin Mutual Fund

  0.7TEMMX Templeton EmergingPairCorr
  0.66TEGBX Templeton Global BondPairCorr
  0.65TEFTX Templeton ForeignPairCorr
  0.64TEDMX Templeton DevelopingPairCorr
  0.64TEFRX Templeton ForeignPairCorr
  0.63TEMFX Templeton ForeignPairCorr
  0.55TEMIX Franklin Mutual EuropeanPairCorr
  0.69TEMZX Templeton EmergingPairCorr
  0.61FQEMX Franklin Templeton SmacsPairCorr
  0.57TEURX Franklin Mutual EuropeanPairCorr
  0.41LGGAX Clearbridge InternationalPairCorr
  0.39LGIEX Qs International EquityPairCorr
  0.63TFFAX Templeton ForeignPairCorr
  0.52WABAX Western Asset EPairCorr
  0.44WAFAX Western Asset InflationPairCorr
  0.43FQTIX Franklin Strategic SeriesPairCorr
  0.31WACPX Western Asset EPairCorr

Related Correlations Analysis

Click cells to compare fundamentals   Check Volatility   Backtest Portfolio

Risk-Adjusted Indicators

There is a big difference between Franklin Mutual Fund performing well and Franklin Small 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 Franklin Small'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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
TEBIX  0.54 (0.15) 0.00 (0.25) 0.00 
 0.00 
 0.83 
(1.05)
 6.52 
TEDMX  0.78 (0.05) 0.00 (0.21) 0.00 
 0.00 
 1.50 
(1.68)
 6.20 
TEDIX  0.62 (0.22) 0.00 (0.60) 0.00 
 0.00 
 0.85 
(1.05)
 10.42 
TEDSX  0.62 (0.22) 0.00 (0.56) 0.00 
 0.00 
 0.82 
(1.35)
 9.48 
TEDRX  0.62 (0.22) 0.00 (0.60) 0.00 
 0.00 
 0.84 
(1.08)
 10.33 
TEFRX  0.77 (0.17) 0.00 (0.54) 0.00 
 0.00 
 1.27 
(2.02)
 5.69 
TEFTX  0.76 (0.17) 0.00 (0.48) 0.00 
 0.00 
 1.37 
(1.97)
 5.54 
TEGBX  0.43 (0.19) 0.00 (6.08) 0.00 
 0.00 
 0.67 
(1.01)
 3.22 
TEGRX  0.57 (0.10) 0.00 (0.11) 0.00 
 0.00 
 0.99 
(0.94)
 4.35 
TEMFX  0.77 (0.18) 0.00 (0.56) 0.00 
 0.00 
 1.36 
(2.06)
 5.66 

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