Large Company Correlations

ALVIX Fund

USD 11.12 0.13 1.18%

The current 90-days correlation between Large Pany Value and Baron Real Estate is 0.44 (i.e., Very weak diversification). The correlation of Large Company 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 Company Correlation With Market

Very poor diversification

The correlation between Large Pany Value and DJI is 0.86 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Large Pany Value 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 Large Pany 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 gross domestic product.

Moving together with Large Mutual Fund

0.87	AMDVX	Mid Cap Value	Pair Corr
0.97	AMEIX	Equity Growth	Pair Corr
1.0	AMGIX	Income Growth	Pair Corr
0.79	AMKIX	Emerging Markets	Pair Corr
0.83	TWACX	Short Term Government	Pair Corr
0.94	TWCCX	Ultra Fund C	Pair Corr
0.93	TWCAX	Select Fund A	Pair Corr
0.93	TWCIX	Select Fund Investor	Pair Corr
0.94	TWCGX	Growth Fund Investor	Pair Corr
0.82	TWARX	Short Term Government	Pair Corr
0.86	TWAVX	Short Term Government	Pair Corr
1.0	AMVYX	Mid Cap Value	Pair Corr
1.0	AMVRX	Mid Cap Value	Pair Corr
1.0	AMVGX	Mid Cap Value	Pair Corr
1.0	TWEAX	Equity Income	Pair Corr
1.0	TWEIX	Equity Income	Pair Corr
0.92	TWGAX	International Growth	Pair Corr
0.93	TWGIX	Growth Fund I	Pair Corr
0.96	TWGGX	Global Growth	Pair Corr
0.79	TWIEX	International Growth	Pair Corr
0.96	TWHIX	Heritage Fund Investor	Pair Corr
0.79	TWMIX	Emerging Markets	Pair Corr
0.95	TWRCX	Growth Fund C	Pair Corr
0.82	TWTCX	Intermediate Term Tax	Pair Corr
0.84	TWTIX	Intermediate Term Tax	Pair Corr
0.94	TWSCX	Strategic Allocation	Pair Corr
0.94	TWSAX	Strategic Allocation	Pair Corr
0.94	TWSMX	Strategic Allocation	Pair Corr
0.92	TWSIX	Select Fund I	Pair Corr
0.86	TWUSX	Short Term Government	Pair Corr
1.0	TWVLX	Value Fund Investor	Pair Corr
0.92	TWUAX	Ultra Fund A	Pair Corr
0.91	TWUIX	Ultra Fund I	Pair Corr
0.86	TWUOX	Short Term Government	Pair Corr
0.84	TWWOX	Intermediate Term Tax	Pair Corr
0.86	NPHIX	High Income Fund	Pair Corr
0.95	ANORX	Small Cap Growth	Pair Corr

Moving against Large Mutual Fund

0.34

TWCUX

Ultra Fund Investor

Pair Corr

Related Correlations Analysis

	TWVLX	GSHIX	ARTOX	IALAX	PGEOX	AADEX	PNSAX	SWMCX	TVIIX	BREIX
TWVLX		0.86	0.95	-0.42	-0.83	0.94	0.69	0.88	0.88	0.86	TWVLX
GSHIX	0.86		0.91	-0.23	-0.68	0.92	0.83	0.93	0.92	0.91	GSHIX
ARTOX	0.95	0.91		-0.33	-0.84	0.94	0.79	0.92	0.95	0.89	ARTOX
IALAX	-0.42	-0.23	-0.33		0.41	-0.31	-0.07	-0.23	-0.26	-0.13	IALAX
PGEOX	-0.83	-0.68	-0.84	0.41		-0.71	-0.54	-0.64	-0.69	-0.63	PGEOX
AADEX	0.94	0.92	0.94	-0.31	-0.71		0.78	0.96	0.93	0.92	AADEX
PNSAX	0.69	0.83	0.79	-0.07	-0.54	0.78		0.91	0.88	0.85	PNSAX
SWMCX	0.88	0.93	0.92	-0.23	-0.64	0.96	0.91		0.96	0.94	SWMCX
TVIIX	0.88	0.92	0.95	-0.26	-0.69	0.93	0.88	0.96		0.88	TVIIX
BREIX	0.86	0.91	0.89	-0.13	-0.63	0.92	0.85	0.94	0.88		BREIX
	TWVLX	GSHIX	ARTOX	IALAX	PGEOX	AADEX	PNSAX	SWMCX	TVIIX	BREIX

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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

SWMCX	+ 0.96	AADEX
TVIIX	+ 0.96	SWMCX
ARTOX	+ 0.95	TWVLX
TVIIX	+ 0.95	ARTOX
AADEX	+ 0.94	TWVLX
AADEX	+ 0.94	ARTOX

High negative correlations

PGEOX	- 0.84	ARTOX
PGEOX	- 0.83	TWVLX
AADEX	- 0.71	PGEOX
TVIIX	- 0.69	PGEOX
PGEOX	- 0.68	GSHIX
SWMCX	- 0.64	PGEOX

Risk-Adjusted Indicators

There is a big difference between Large Mutual Fund performing well and Large Company 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 Company'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
TWVLX	0.64	0.27	0.42	0.60	0.00	(0.93)	1.39	(0.84)	9.10
GSHIX	0.10	0.00	(0.30)	0.14	0.00	(0.25)	0.18	(0.18)	1.06
ARTOX	0.29	0.04	(0.02)	0.19	0.03	(0.36)	0.66	(0.49)	3.32
IALAX	1.48	(0.44)	0.00	(0.24)	0.00	0.00	2.65	(3.55)	7.73
PGEOX	0.48	(0.12)	0.00	(0.18)	0.00	0.00	0.82	(0.90)	7.10
AADEX	0.59	0.07	0.08	0.16	0.49	(0.67)	1.41	(1.07)	3.60
PNSAX	1.12	(0.04)	(0.01)	0.05	1.34	(1.26)	2.22	(2.54)	5.43
SWMCX	0.67	0.02	0.02	0.10	0.72	(0.72)	1.57	(1.44)	3.50
TVIIX	0.53	0.00	(0.02)	0.09	0.64	(0.57)	1.04	(1.17)	2.90
BREIX	0.73	0.02	0.02	0.10	0.80	(0.75)	1.64	(1.62)	5.20

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