Small-cap Value Correlations

SVPIX Fund

USD 110.44 0.29 0.26%

The current 90-days correlation between Small Cap Value and Jpmorgan High Yield is 0.58 (i.e., Very weak diversification). The correlation of Small-cap Value 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 Value Correlation With Market

Good diversification

The correlation between Small Cap Value Profund and DJI is -0.11 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Small Cap Value Profund 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 Value Profund. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as various price indices.

Moving together with Small-cap Mutual Fund

0.98	VSIIX	Vanguard Small Cap	Pair Corr
0.98	VISVX	Vanguard Small Cap	Pair Corr
0.95	DFSVX	Us Small Cap	Pair Corr
0.96	DFFVX	Us Targeted Value	Pair Corr
0.7	UBVCX	Undiscovered Managers	Pair Corr
0.71	UBVAX	Undiscovered Managers	Pair Corr
0.72	UBVSX	Undiscovered Managers	Pair Corr
0.93	AVFIX	American Beacon Small	Pair Corr
0.75	RYATX	Nasdaq 100 Fund	Pair Corr
0.98	PVFAX	Paradigm Value	Pair Corr
0.65	INTC	Intel	Pair Corr
0.64	GE	GE Aerospace Earnings Call This Week	Pair Corr
0.68	XOM	Exxon Mobil Corp	Pair Corr
0.67	JNJ	Johnson Johnson	Pair Corr
0.77	HPQ	HP Inc	Pair Corr
0.88	DD	Dupont De Nemours	Pair Corr
0.9	BAC	Bank of America	Pair Corr

Moving against Small-cap Mutual Fund

0.33	SPMJX	Invesco Steelpath Mlp	Pair Corr
0.32	OSPPX	Oppenheimer Steelpath Mlp	Pair Corr
0.32	SPMPX	Invesco Steelpath Mlp	Pair Corr
0.32	MLPNX	Oppenheimer Steelpath Mlp	Pair Corr
0.32	MLPLX	Oppenheimer Steelpath Mlp	Pair Corr
0.58	KO	Coca Cola Earnings Call This Week	Pair Corr
0.43	DIS	Walt Disney	Pair Corr
0.38	BA	Boeing	Pair Corr
0.38	MSFT	Microsoft	Pair Corr

Related Correlations Analysis

	JYHRX	PYRLX	DMHIX	CHMCX	ACHFX	RTHAX	AHYMX
JYHRX		0.99	0.93	0.93	0.98	0.94	0.93	JYHRX
PYRLX	0.99		0.9	0.91	0.98	0.91	0.94	PYRLX
DMHIX	0.93	0.9		1.0	0.92	1.0	0.96	DMHIX
CHMCX	0.93	0.91	1.0		0.92	1.0	0.97	CHMCX
ACHFX	0.98	0.98	0.92	0.92		0.92	0.95	ACHFX
RTHAX	0.94	0.91	1.0	1.0	0.92		0.97	RTHAX
AHYMX	0.93	0.94	0.96	0.97	0.95	0.97		AHYMX
	JYHRX	PYRLX	DMHIX	CHMCX	ACHFX	RTHAX	AHYMX

Risk-Adjusted Indicators

There is a big difference between Small-cap Mutual Fund performing well and Small-cap Value 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 Value'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	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
JYHRX	0.09	0.02	(0.14)	1.39	(0.18)	0.30	(0.15)	0.61
PYRLX	0.10	0.02	(0.15)	1.45	(0.15)	0.24	(0.23)	0.71
DMHIX	0.19	0.09	0.22	(3.29)	(0.29)	0.62	(0.21)	1.25
CHMCX	0.17	0.08	0.17	(1.47)	(0.28)	0.56	(0.23)	1.02
ACHFX	0.13	0.03	(0.10)	0.63	(0.23)	0.35	(0.23)	1.04
RTHAX	0.13	0.07	0.17	(2.47)	(0.25)	0.52	(0.11)	0.95
AHYMX	0.13	0.04	(0.11)	(1.08)	(0.22)	0.34	(0.11)	0.79

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