Small Cap Correlations

GTSCX Fund

USD 32.59 0.07 0.22%

The current 90-days correlation between Small Cap Equity and Icm Small Pany is 0.76 (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

Poor diversification

The correlation between Small Cap Equity and DJI is 0.61 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Small Cap Equity 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 Equity. 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 world development indicators.

Moving together with Small Mutual Fund

0.83	RESGX	Responsible Esg Equity	Pair Corr
0.88	GQLVX	Quantitative U S	Pair Corr
0.65	GQSCX	Quantitative U S	Pair Corr
0.61	GTCEX	Strategic Equity Por	Pair Corr
1.0	GTCSX	Small Cap Equity	Pair Corr
0.77	GTLIX	Large Cap Core	Pair Corr
0.63	GTLLX	Large Cap Growth	Pair Corr
0.7	GTTMX	Total Market Portfolio	Pair Corr
0.77	VSMAX	Vanguard Small Cap	Pair Corr
0.77	VSCIX	Vanguard Small Cap	Pair Corr
0.77	VSCPX	Vanguard Small Cap	Pair Corr
0.77	NAESX	Vanguard Small Cap	Pair Corr
0.69	FSSNX	Fidelity Small Cap	Pair Corr
0.75	DFSTX	Us Small Cap	Pair Corr
0.71	FTHSX	Fuller Thaler Behavioral	Pair Corr
0.71	FTHNX	Fuller Thaler Behavioral	Pair Corr

Related Correlations Analysis

	ICSCX	ARSVX	QRSVX	BSMAX	HNTVX	WHGSX	BOSOX	WBSIX	WBSNX	SMVTX
ICSCX		0.39	0.82	0.79	0.9	0.35	0.71	0.86	0.86	0.38	ICSCX
ARSVX	0.39		0.65	0.65	0.51	0.74	0.8	0.57	0.57	0.45	ARSVX
QRSVX	0.82	0.65		0.89	0.92	0.62	0.78	0.94	0.94	0.23	QRSVX
BSMAX	0.79	0.65	0.89		0.84	0.51	0.72	0.94	0.94	0.52	BSMAX
HNTVX	0.9	0.51	0.92	0.84		0.56	0.68	0.88	0.88	0.16	HNTVX
WHGSX	0.35	0.74	0.62	0.51	0.56		0.56	0.5	0.5	0.02	WHGSX
BOSOX	0.71	0.8	0.78	0.72	0.68	0.56		0.73	0.73	0.55	BOSOX
WBSIX	0.86	0.57	0.94	0.94	0.88	0.5	0.73		1.0	0.39	WBSIX
WBSNX	0.86	0.57	0.94	0.94	0.88	0.5	0.73	1.0		0.39	WBSNX
SMVTX	0.38	0.45	0.23	0.52	0.16	0.02	0.55	0.39	0.39		SMVTX
	ICSCX	ARSVX	QRSVX	BSMAX	HNTVX	WHGSX	BOSOX	WBSIX	WBSNX	SMVTX

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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
ICSCX	0.74	(0.01)	0.00	0.05	0.98	(0.79)	1.79	(1.59)	4.79
ARSVX	0.80	(0.21)	0.00	(0.13)	0.00	0.00	1.45	(1.43)	12.49
QRSVX	0.71	(0.06)	(0.06)	0.00	0.88	(0.83)	1.81	(1.11)	4.85
BSMAX	0.88	(0.08)	(0.05)	0.00	1.19	(0.86)	1.71	(1.82)	4.82
HNTVX	0.82	(0.01)	0.00	0.05	0.96	(0.92)	1.88	(1.52)	4.61
WHGSX	0.85	(0.12)	0.00	(0.25)	0.00	0.00	2.10	(1.87)	8.93
BOSOX	0.73	(0.11)	0.00	(0.05)	0.00	0.00	1.77	(1.63)	7.64
WBSIX	1.05	(0.06)	(0.03)	0.02	1.33	(1.02)	2.45	(2.38)	5.99
WBSNX	1.05	(0.06)	(0.03)	0.02	1.37	(1.02)	2.48	(2.36)	6.00
SMVTX	0.97	(0.17)	0.00	(0.06)	0.00	0.00	1.69	(1.78)	14.40

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Small Cap Correlations

Small Cap Correlation With Market

Poor diversification

Moving together with Small Mutual Fund

Related Correlations Analysis

Risk-Adjusted Indicators

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