Small Cap Correlations

VSSVX Fund

USD 11.31 0.01 0.09%

The current 90-days correlation between Small Cap Special and Mid Cap Index is 0.94 (i.e., Almost no 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

Good diversification

The correlation between Small Cap Special and DJI is -0.18 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Small Cap Special 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 Special. 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 unemployment.

Moving together with Small Mutual Fund

0.88	VSRDX	Valic Company I	Pair Corr
0.87	VSTIX	Stock Index Fund	Pair Corr
0.85	VCAAX	Asset Allocation	Pair Corr
0.69	VCBDX	Valic Company I	Pair Corr
0.62	VCBCX	Blue Chip Growth	Pair Corr
0.69	VCGAX	Growth Income	Pair Corr
0.63	VCGEX	Emerging Economies	Pair Corr
0.64	VCGSX	Government Securities	Pair Corr
0.69	VCFVX	Foreign Value	Pair Corr
0.82	VCIEX	International Equities	Pair Corr
0.72	VCIGX	Valic Company I	Pair Corr
0.8	VCNIX	Nasdaq 100 Index	Pair Corr
0.68	VCSOX	Global Social Awareness	Pair Corr
0.74	VCSLX	Small Cap Index	Pair Corr
0.68	VDAFX	Dynamic Allocation	Pair Corr
0.7	VVMCX	Valic Company I	Pair Corr
0.98	VVSGX	Valic Company I	Pair Corr
0.76	VVSCX	Valic Company I	Pair Corr
0.66	VGCLX	Valic Company I	Pair Corr
0.69	VLAGX	Valic Company I	Pair Corr
0.65	VLCGX	Large Capital Growth	Pair Corr
0.67	VLSMX	Valic Company I	Pair Corr
0.98	VSIIX	Vanguard Small Cap	Pair Corr
0.77	VISVX	Vanguard Small Cap	Pair Corr
0.98	DFSVX	Us Small Cap	Pair Corr
0.99	DFFVX	Us Targeted Value	Pair Corr
0.99	UBVCX	Undiscovered Managers	Pair Corr
0.99	UBVAX	Undiscovered Managers	Pair Corr
0.99	UBVSX	Undiscovered Managers	Pair Corr
0.98	AVFIX	American Beacon Small	Pair Corr
0.82	PFN	Pimco Income Strategy	Pair Corr
0.67	CIF	Mfs Intermediate High	Pair Corr

Moving against Small Mutual Fund

0.55	XNBHX	Neuberger Berman Int	Pair Corr
0.46	XDSMX	Dreyfus Strategic	Pair Corr

Related Correlations Analysis

	VMIDX	VVMCX	VMSGX	VVSGX	VGCLX	VGLSX	VGREX	VHYLX	VIOPX
VMIDX		0.76	0.95	0.97	0.71	0.87	0.32	0.91	0.89	VMIDX
VVMCX	0.76		0.78	0.69	0.89	0.73	0.37	0.75	0.72	VVMCX
VMSGX	0.95	0.78		0.89	0.76	0.91	0.22	0.95	0.88	VMSGX
VVSGX	0.97	0.69	0.89		0.67	0.85	0.36	0.88	0.87	VVSGX
VGCLX	0.71	0.89	0.76	0.67		0.83	0.39	0.79	0.79	VGCLX
VGLSX	0.87	0.73	0.91	0.85	0.83		0.21	0.97	0.94	VGLSX
VGREX	0.32	0.37	0.22	0.36	0.39	0.21		0.25	0.29	VGREX
VHYLX	0.91	0.75	0.95	0.88	0.79	0.97	0.25		0.91	VHYLX
VIOPX	0.89	0.72	0.88	0.87	0.79	0.94	0.29	0.91		VIOPX
	VMIDX	VVMCX	VMSGX	VVSGX	VGCLX	VGLSX	VGREX	VHYLX	VIOPX

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
VMIDX	0.66	0.16	0.02	(0.45)	0.62	(0.75)	1.30	(1.27)	3.58
VVMCX	0.66	0.13	0.01	(1.01)	0.61	(0.73)	1.31	(0.99)	3.36
VMSGX	0.67	0.16	0.01	(0.31)	0.54	(0.80)	1.47	(0.92)	2.97
VVSGX	0.80	0.19	0.03	(0.31)	0.82	(0.84)	1.83	(1.60)	4.32
VGCLX	0.22	0.03	(0.14)	0.21	0.00	(0.28)	0.51	(0.42)	1.25
VGLSX	0.29	0.10	(0.07)	(0.72)	0.00	(0.38)	0.75	(0.48)	1.62
VGREX	0.52	(0.02)	(0.08)	0.08	0.69	(0.51)	1.15	(1.14)	2.86
VHYLX	0.10	0.05	(0.38)	1.24	0.00	(0.17)	0.28	(0.14)	0.57
VIOPX	0.50	0.09	(0.06)	(0.44)	0.45	(0.60)	1.41	(0.97)	2.63

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