Small Cap Correlations

SCRYX Fund

USD 15.02 0.04 0.27%

The current 90-days correlation between Small Cap Core and Ab Global E is 0.69 (i.e., Poor 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 Core 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 Core 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 Small Cap Core. 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

0.9	SCAVX	Ab Small Cap	Pair Corr
0.85	SCCVX	Ab Small Cap	Pair Corr
0.86	SCRSX	Small Cap Core	Pair Corr
1.0	SCRZX	Small Cap Core	Pair Corr
0.98	SCYVX	Ab Small Cap	Pair Corr
0.81	APGZX	Ab Large Cap	Pair Corr
0.81	APGYX	Ab Large Cap	Pair Corr
0.81	APGAX	Ab Large Cap	Pair Corr
0.81	APGCX	Ab Large Cap	Pair Corr

Moving against Small Mutual Fund

0.54	ANACX	Ab Global Bond	Pair Corr
0.53	ANAGX	Ab Global Bond	Pair Corr
0.52	ANAIX	Ab Global Bond	Pair Corr
0.51	ANAZX	Ab Global Bond	Pair Corr
0.51	ANAYX	Ab Global Bond	Pair Corr
0.33	ANBIX	Ab Bond Inflation	Pair Corr
0.32	AMNCX	Ab Minnesota Portfolio	Pair Corr
0.32	AMNAX	Ab Minnesota Portfolio	Pair Corr
0.54	STHAX	Ab Sustainable Thematic	Pair Corr
0.53	STHYX	Ab Sustainable Thematic	Pair Corr
0.31	AOHCX	Ab Ohio Portfolio	Pair Corr
0.43	CIAGX	Ab Centrated Interna	Pair Corr
0.38	ARECX	Ab Global Real	Pair Corr
0.33	AREAX	Ab Global Real	Pair Corr

Related Correlations Analysis

	GCEAX	GCECX	GCEYX	AMNCX	AMNAX	AMTAX	AMTZX	AMTYX	AMTOX	ANAZX
GCEAX		0.87	0.86	-0.02	0.03	0.92	0.8	0.8	0.92	-0.05	GCEAX
GCECX	0.87		1.0	0.07	0.11	0.84	0.92	0.92	0.83	0.02	GCECX
GCEYX	0.86	1.0		0.04	0.07	0.84	0.92	0.92	0.83	-0.02	GCEYX
AMNCX	-0.02	0.07	0.04		0.99	0.01	0.11	0.11	0.01	0.87	AMNCX
AMNAX	0.03	0.11	0.07	0.99		0.06	0.15	0.15	0.06	0.88	AMNAX
AMTAX	0.92	0.84	0.84	0.01	0.06		0.87	0.87	1.0	-0.03	AMTAX
AMTZX	0.8	0.92	0.92	0.11	0.15	0.87		1.0	0.87	-0.01	AMTZX
AMTYX	0.8	0.92	0.92	0.11	0.15	0.87	1.0		0.87	-0.01	AMTYX
AMTOX	0.92	0.83	0.83	0.01	0.06	1.0	0.87	0.87		-0.03	AMTOX
ANAZX	-0.05	0.02	-0.02	0.87	0.88	-0.03	-0.01	-0.01	-0.03		ANAZX
	GCEAX	GCECX	GCEYX	AMNCX	AMNAX	AMTAX	AMTZX	AMTYX	AMTOX	ANAZX

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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

GCEYX	+ 1.0	GCECX
AMTOX	+ 1.0	AMTAX
AMTYX	+ 1.0	AMTZX
AMNAX	+ 0.99	AMNCX
AMTAX	+ 0.92	GCEAX
AMTOX	+ 0.92	GCEAX

High negative correlations

ANAZX	- 0.05	GCEAX
ANAZX	- 0.03	AMTOX
ANAZX	- 0.03	AMTAX
ANAZX	- 0.02	GCEYX
AMNCX	- 0.02	GCEAX
ANAZX	- 0.01	AMTYX

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
GCEAX	0.56	(0.07)	(0.14)	0.03	0.70	(0.58)	0.94	(1.24)	3.45
GCECX	0.54	0.04	(0.13)	2.13	0.58	(0.61)	0.95	(1.13)	3.44
GCEYX	0.55	(0.03)	(0.12)	0.08	0.58	(0.59)	0.98	(1.15)	3.44
AMNCX	0.14	0.00	(0.43)	0.00	0.18	(0.18)	0.31	(0.31)	1.15
AMNAX	0.13	(0.01)	(0.44)	(0.14)	0.18	(0.18)	0.31	(0.31)	1.15
AMTAX	0.46	(0.01)	(0.15)	0.11	0.55	(0.50)	0.98	(1.05)	2.33
AMTZX	0.44	0.05	(0.12)	1.09	0.46	(0.50)	0.99	(1.05)	2.26
AMTYX	0.43	0.05	(0.12)	0.76	0.45	(0.52)	0.98	(1.04)	2.33
AMTOX	0.46	(0.01)	(0.14)	0.11	0.54	(0.53)	1.00	(1.08)	2.38
ANAZX	0.19	0.00	(0.49)	0.66	0.20	(0.24)	0.29	(0.29)	1.01

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