Tiaa-cref Small-cap Correlations

TISBX Fund

USD 27.62 0.10 0.36%

The current 90-days correlation between Tiaa-cref Small-cap and Energy Basic Materials is 0.49 (i.e., Very weak diversification). The correlation of Tiaa-cref 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.

Tiaa-cref Small-cap Correlation With Market

Very poor diversification

The correlation between Tiaa Cref Small Cap Blend 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 Tiaa Cref Small Cap Blend 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 Tiaa Cref Small Cap Blend. 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 bureau of labor statistics.

Moving together with Tiaa-cref Mutual Fund

0.95	TEQWX	Tiaa Cref Equity	Pair Corr
0.96	TEWCX	Tiaa Cref Social	Pair Corr
0.8	TFITX	Tiaa Cref Lifecycle	Pair Corr
0.89	TGIHX	Tiaa Cref Growth	Pair Corr
0.96	TICRX	Tiaa Cref Social	Pair Corr
0.76	TIHHX	Tiaa Cref High	Pair Corr
0.76	TIHRX	Tiaa-cref High-yield	Pair Corr
0.89	TIGRX	Tiaa Cref Growth	Pair Corr
0.89	TIIRX	Tiaa Cref Growth	Pair Corr
0.9	TILRX	Tiaa-cref Large-cap	Pair Corr

Moving against Tiaa-cref Mutual Fund

0.62	TIBDX	Tiaa Cref Bond	Pair Corr
0.62	TIDPX	Tiaa Cref Bond	Pair Corr
0.6	TIBFX	Tiaa Cref Bond	Pair Corr
0.57	TGRLX	Tiaa Cref Green	Pair Corr
0.56	TGRKX	Tiaa Cref Green	Pair Corr
0.56	TGRNX	Tiaa Cref Green	Pair Corr
0.56	TGROX	Tiaa Cref Green	Pair Corr
0.55	TIERX	Tiaa Cref International	Pair Corr
0.5	TIIHX	Tiaa Cref Inflation	Pair Corr
0.48	TIIWX	Tiaa-cref Inflation-linked	Pair Corr

Related Correlations Analysis

	SBMBX	ALTEX	APWEX	CGAEX	XGNTX	SNPIX	GRHAX	HNRGX
SBMBX		0.42	0.6	0.46	0.58	-0.71	0.73	0.68	SBMBX
ALTEX	0.42		-0.29	0.9	0.68	0.23	0.03	-0.17	ALTEX
APWEX	0.6	-0.29		-0.27	0.0	-0.91	0.87	0.92	APWEX
CGAEX	0.46	0.9	-0.27		0.83	0.25	0.15	-0.24	CGAEX
XGNTX	0.58	0.68	0.0	0.83		0.06	0.44	-0.1	XGNTX
SNPIX	-0.71	0.23	-0.91	0.25	0.06		-0.72	-0.98	SNPIX
GRHAX	0.73	0.03	0.87	0.15	0.44	-0.72		0.72	GRHAX
HNRGX	0.68	-0.17	0.92	-0.24	-0.1	-0.98	0.72		HNRGX
	SBMBX	ALTEX	APWEX	CGAEX	XGNTX	SNPIX	GRHAX	HNRGX

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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

HNRGX	+ 0.92	APWEX
CGAEX	+ 0.9	ALTEX
GRHAX	+ 0.87	APWEX
XGNTX	+ 0.83	CGAEX
GRHAX	+ 0.73	SBMBX
HNRGX	+ 0.72	GRHAX

High negative correlations

HNRGX	- 0.98	SNPIX
SNPIX	- 0.91	APWEX
GRHAX	- 0.72	SNPIX
SNPIX	- 0.71	SBMBX
APWEX	- 0.29	ALTEX
CGAEX	- 0.27	APWEX

Risk-Adjusted Indicators

There is a big difference between Tiaa-cref Mutual Fund performing well and Tiaa-cref 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 Tiaa-cref 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
SBMBX	0.73	(0.08)	(0.11)	0.00	1.10	(0.68)	1.34	(1.63)	3.99
ALTEX	1.31	(0.17)	0.00	(0.03)	0.00	0.00	2.10	(2.74)	7.75
APWEX	0.88	0.07	0.05	0.20	1.00	(0.96)	1.83	(1.79)	5.85
CGAEX	0.74	(0.06)	(0.12)	(0.02)	1.06	(0.70)	1.46	(1.90)	4.70
XGNTX	0.54	(0.06)	0.00	(0.06)	0.00	0.00	1.23	(1.26)	3.30
SNPIX	0.90	0.00	0.00	0.13	0.00	0.00	2.11	(1.71)	6.81
GRHAX	1.06	0.04	0.02	0.18	1.32	(1.06)	2.47	(1.83)	6.17
HNRGX	0.88	0.04	0.00	0.17	1.08	(0.92)	1.80	(1.85)	5.91

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