Large Cap Correlations

SLVCX Fund

USD 15.44 0.07 0.45%

The current 90-days correlation between Large Cap Value and Maryland Tax Free Bond is 0.01 (i.e., Significant diversification). The correlation of Large 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.

Large Cap Correlation With Market

Good diversification

The correlation between Large Cap Value and DJI is -0.1 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Large Cap Value 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 Large 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 world development indicators.

Moving together with Large Mutual Fund

0.83	SSCCX	Saratoga Small Capit	Pair Corr
0.61	SSCPX	Small Capitalization	Pair Corr
0.75	STPIX	Technology Munications	Pair Corr
0.62	SFPCX	Financial Services	Pair Corr
0.75	SLCGX	Large Capitalization	Pair Corr
0.97	SLCVX	Large Cap Value	Pair Corr
0.88	SLGYX	Large Capitalization	Pair Corr
0.98	SLVYX	Large Cap Value	Pair Corr
0.8	SMIPX	Mid Capitalization	Pair Corr

Moving against Large Mutual Fund

0.83	SBCCX	Moderately Servative	Pair Corr
0.81	SBMCX	Moderate Balanced	Pair Corr
0.8	SBMIX	Moderate Balanced	Pair Corr
0.79	SABIX	Aggressive Balanced	Pair Corr
0.79	SABCX	Salient Alternative Beta	Pair Corr
0.74	STPAX	Technology Munications	Pair Corr
0.68	SCAAX	Conservative Balanced	Pair Corr
0.68	SUMCX	Conservative Balanced	Pair Corr
0.67	SAMAX	Moderately Aggressive	Pair Corr
0.67	SAMCX	Salient Mlp Fund	Pair Corr
0.67	SAMIX	Moderately Aggressive	Pair Corr
0.67	SSCYX	Small Capitalization	Pair Corr
0.66	SABAX	Salient Alternative Beta	Pair Corr
0.65	STPCX	Technology Munications	Pair Corr
0.81	LUNAX	Conservative Balanced	Pair Corr
0.69	SMACX	Moderately Servative	Pair Corr
0.69	SMICX	Moderately Servative	Pair Corr
0.67	SMPAX	Moderate Balanced	Pair Corr
0.33	TREMX	T Rowe Price	Pair Corr
0.31	TTEEX	T Rowe Price	Pair Corr

Related Correlations Analysis

	TFBIX	MIIIX	DLTNX	TTRBX	PRFHX	ABIMX	TIMTX
TFBIX		0.76	0.82	0.75	0.95	1.0	0.99	TFBIX
MIIIX	0.76		0.97	0.89	0.78	0.74	0.73	MIIIX
DLTNX	0.82	0.97		0.91	0.83	0.81	0.8	DLTNX
TTRBX	0.75	0.89	0.91		0.77	0.74	0.72	TTRBX
PRFHX	0.95	0.78	0.83	0.77		0.96	0.95	PRFHX
ABIMX	1.0	0.74	0.81	0.74	0.96		0.99	ABIMX
TIMTX	0.99	0.73	0.8	0.72	0.95	0.99		TIMTX
	TFBIX	MIIIX	DLTNX	TTRBX	PRFHX	ABIMX	TIMTX

Risk-Adjusted Indicators

There is a big difference between Large Mutual Fund performing well and Large 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 Large 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
TFBIX	0.09	0.01	(0.41)	(6.10)	0.00	(0.15)	0.30	(0.20)	0.70
MIIIX	0.17	0.00	(0.36)	(0.25)	0.17	(0.20)	0.32	(0.31)	0.94
DLTNX	0.14	0.00	(0.40)	(0.15)	0.09	(0.21)	0.34	(0.23)	0.79
TTRBX	0.10	(0.01)	(0.56)	(0.13)	0.08	(0.13)	0.20	(0.20)	0.60
PRFHX	0.11	0.01	(0.38)	(3.28)	0.00	(0.15)	0.27	(0.18)	0.81
ABIMX	0.11	0.02	(0.30)	6.89	0.00	(0.18)	0.41	(0.21)	0.93
TIMTX	0.08	0.01	(0.49)	1.92	0.00	(0.12)	0.19	(0.09)	0.56

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