Value Fund Correlations

AVLIX Fund

USD 7.75 0.03 0.39%

The current 90-days correlation between Value Fund I and Oil Gas Ultrasector is 0.3 (i.e., Weak diversification). The correlation of Value Fund 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.

Value Fund Correlation With Market

Weak diversification

The correlation between Value Fund I and DJI is 0.39 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Value Fund I and DJI in the same portfolio, assuming nothing else is changed.

Check out Trending Equities to better understand how to build diversified portfolios, which includes a position in Value Fund I. 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 gross domestic product.

Moving together with Value Mutual Fund

0.99	AMDVX	Mid Cap Value	Pair Corr
0.74	AMGIX	Income Growth	Pair Corr
1.0	TWADX	Value Fund A	Pair Corr
0.99	AMVYX	Mid Cap Value	Pair Corr
0.99	AMVRX	Mid Cap Value	Pair Corr
0.99	AMVGX	Mid Cap Value	Pair Corr
0.99	TWEAX	Equity Income	Pair Corr
0.99	TWEIX	Equity Income	Pair Corr
0.93	TWGGX	Global Growth	Pair Corr
0.77	TWHIX	Heritage Fund Investor	Pair Corr
0.76	TWSAX	Strategic Allocation	Pair Corr
0.76	TWSMX	Strategic Allocation	Pair Corr
1.0	TWVLX	Value Fund Investor	Pair Corr

Related Correlations Analysis

	ENPSX	XEMOX	FRNRX	TREIX	ALTEX	ICBAX	SBMBX
ENPSX		0.49	0.89	-0.13	0.0	0.56	0.77	ENPSX
XEMOX	0.49		0.16	0.67	-0.44	0.91	-0.1	XEMOX
FRNRX	0.89	0.16		-0.5	0.37	0.34	0.96	FRNRX
TREIX	-0.13	0.67	-0.5		-0.55	0.48	-0.67	TREIX
ALTEX	0.0	-0.44	0.37	-0.55		-0.18	0.5	ALTEX
ICBAX	0.56	0.91	0.34	0.48	-0.18		0.09	ICBAX
SBMBX	0.77	-0.1	0.96	-0.67	0.5	0.09		SBMBX
	ENPSX	XEMOX	FRNRX	TREIX	ALTEX	ICBAX	SBMBX

Click cells to compare fundamentals

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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

SBMBX	+ 0.96	FRNRX
ICBAX	+ 0.91	XEMOX
FRNRX	+ 0.89	ENPSX
SBMBX	+ 0.77	ENPSX
TREIX	+ 0.67	XEMOX
ICBAX	+ 0.56	ENPSX

High negative correlations

SBMBX	- 0.67	TREIX
ALTEX	- 0.55	TREIX
TREIX	- 0.5	FRNRX
ALTEX	- 0.44	XEMOX
ICBAX	- 0.18	ALTEX
TREIX	- 0.13	ENPSX

Risk-Adjusted Indicators

There is a big difference between Value Mutual Fund performing well and Value Fund 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 Value Fund'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
ENPSX	1.31	(0.08)	0.00	(0.26)	0.00	0.00	2.58	(3.55)	9.91
XEMOX	0.90	0.08	0.04	0.26	1.18	(0.96)	2.29	(2.42)	6.88
FRNRX	0.75	(0.13)	0.00	(0.64)	0.00	0.00	1.16	(1.86)	5.21
TREIX	0.05	0.01	(0.10)	(0.76)	0.00	(0.10)	0.10	(0.10)	0.40
ALTEX	1.25	(0.11)	0.00	(2.03)	0.00	0.00	1.95	(2.18)	7.20
ICBAX	0.72	(0.01)	(0.03)	(0.02)	0.90	(0.83)	1.46	(1.10)	8.78
SBMBX	0.71	(0.16)	0.00	(1.02)	0.00	0.00	0.95	(1.83)	4.64

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