Small Cap Correlations

Mutual Funds . USA . 
Fund . Small Cap Value
JSCAX Fund  USD 16.69  0.01  0.06%   
The current 90-days correlation between Small Cap Value and Regional Bank Fund 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

Poor diversification

The correlation between Small Cap Value and DJI is 0.6 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Small Cap Value and DJI in the same portfolio, assuming nothing else is changed.
  
Check out Risk vs Return Analysis to better understand how to build diversified portfolios, which includes a position in Small Cap Value. 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 nation.

Moving together with Small Mutual Fund

  0.77FRBAX Regional BankPairCorr
  0.78FRBCX Regional BankPairCorr
  0.62JQLMX Multimanager LifestylePairCorr
  0.78JQLBX Multimanager LifestylePairCorr
  0.77JQLAX Multimanager LifestylePairCorr
  0.81JQLGX Multimanager LifestylePairCorr
  0.86JRBFX Regional BankPairCorr
  0.78JRETX J Hancock IiPairCorr
  0.77JRGRX Regional BankPairCorr
  0.77JRLQX Retirement Living ThroughPairCorr
  0.77JRLUX Multi Index 2045PairCorr
  0.77JRLWX Retirement Living ThroughPairCorr
  0.77JRLVX Retirement Living Through Potential GrowthPairCorr
  0.77JRLZX Retirement Living ThroughPairCorr
  0.78JROUX J Hancock IiPairCorr
  0.77JRODX J Hancock IiPairCorr
  0.71JAAFX Jhancock Multi IndexPairCorr
  0.71JAAJX Jhancock Multi IndexPairCorr
  0.64JAAIX Alternative AssetPairCorr
  0.71JAAKX Jhancock Multi IndexPairCorr
  0.67JAAPX Alternative AssetPairCorr
  0.63JRTBX Retirement Living ThroughPairCorr
  0.64JAARX Alternative AssetPairCorr
  0.62JRTDX Multi Index 2025PairCorr
  0.7JRTGX Retirement Living ThroughPairCorr
  0.63JRTFX Retirement Living ThroughPairCorr
  0.63JAASX Alternative AssetPairCorr
  0.7JRTIX Multi Index 2030PairCorr
  0.73JAAVX Jhancock MultimanagerPairCorr
  0.74JRTKX Retirement Living ThroughPairCorr

Related Correlations Analysis

Click cells to compare fundamentals   Check Volatility   Backtest Portfolio

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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
FRBAX  1.28 (0.04) 0.00 (0.42) 0.00 
 0.00 
 2.76 
(3.03)
 17.30 
FRBCX  1.28 (0.04) 0.00 (0.53) 0.00 
 0.00 
 2.74 
(3.07)
 17.28 
JQLMX  0.25 (0.04) 0.00 (0.10) 0.00 
 0.00 
 0.49 
(0.56)
 1.99 
JQLBX  0.32 (0.03) 0.00 (0.05) 0.00 
 0.00 
 0.66 
(0.65)
 2.69 
JQLAX  0.49 (0.02) 0.00 (0.18) 0.00 
 0.00 
 0.94 
(0.92)
 4.37 
JQLCX  0.16 (0.04) 0.00 (0.20) 0.00 
 0.00 
 0.33 
(0.34)
 1.42 
JQLGX  0.42 (0.02) 0.00 (0.02) 0.00 
 0.00 
 0.75 
(0.76)
 3.64 
JRBFX  1.26 (0.05) 0.00 (0.01) 0.00 
 0.00 
 2.73 
(3.07)
 18.66 
JRETX  0.48  0.00 (0.01) 0.02  0.67 
(0.53)
 1.00 
(0.91)
 4.39 
JRGRX  1.28 (0.04) 0.00 (0.41) 0.00 
 0.00 
 2.76 
(3.07)
 17.25 

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