Value Fund Correlations

AVUDX Fund

USD 8.37 0.01 0.12%

The current 90-days correlation between Value Fund R6 and Davis Government Bond is 0.04 (i.e., Significant 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

Almost no diversification

The correlation between Value Fund R6 and DJI is 0.91 (i.e., Almost no diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Value Fund R6 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 R6. 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 small area income & poverty estimates.

Moving together with Value Mutual Fund

0.86	AMEIX	Equity Growth	Pair Corr
0.76	AMKIX	Emerging Markets	Pair Corr
0.89	TWACX	Short Term Government	Pair Corr
0.79	TWCGX	Growth Fund Investor	Pair Corr
0.9	TWEAX	Equity Income	Pair Corr
0.91	TWEIX	Equity Income	Pair Corr
0.79	TWIEX	International Growth	Pair Corr
0.85	TWTIX	Intermediate Term Tax	Pair Corr
0.88	TWUOX	Short Term Government	Pair Corr
0.9	ANORX	Small Cap Growth	Pair Corr
0.9	ANTMX	Nt International Small	Pair Corr
0.9	AONIX	One Choice Portfolio	Pair Corr
0.71	APISX	Short Duration Inflation	Pair Corr
0.79	BCHIX	California High Yield	Pair Corr
0.87	ARGVX	One Choice 2060	Pair Corr
0.91	ARHVX	American Century Inv	Pair Corr
0.91	ARTOX	One Choice In	Pair Corr
0.86	BEQGX	Equity Growth	Pair Corr
0.89	ASMDX	Strategic Allocation:	Pair Corr
0.91	ASVIX	Small Cap Value	Pair Corr
0.65	ABHYX	High Yield Municipal	Pair Corr
0.75	ACECX	Emerging Markets	Pair Corr
0.68	ADDVX	Diversified Bond	Pair Corr
0.91	AEIYX	Equity Income	Pair Corr
0.91	AEIUX	Equity Income	Pair Corr
0.94	AGGWX	Global Gold Fund Steady Growth	Pair Corr
0.93	AHYVX	High Yield Fund	Pair Corr
0.68	CAYCX	California High Yield	Pair Corr
0.7	CAYAX	California High Yield	Pair Corr
0.99	VVIAX	Vanguard Value Index	Pair Corr
0.9	AWSHX	Washington Mutual	Pair Corr
0.9	WSHCX	Washington Mutual	Pair Corr
0.93	WSHFX	Washington Mutual	Pair Corr
0.92	FWWMX	American Funds Washington	Pair Corr
0.92	FWMMX	American Funds Washington	Pair Corr

Moving against Value Mutual Fund

0.51	AMRMX	American Mutual	Pair Corr
0.34	AIAVX	Inflation Adjusted Bond	Pair Corr

Related Correlations Analysis

	SSAGX	TWACX	TWUOX	UGSDX	NUSAX	USGFX	RFBAX
SSAGX		0.92	0.93	0.92	0.96	0.62	0.94	SSAGX
TWACX	0.92		0.92	0.77	0.87	0.75	0.92	TWACX
TWUOX	0.93	0.92		0.82	0.9	0.77	0.89	TWUOX
UGSDX	0.92	0.77	0.82		0.85	0.45	0.8	UGSDX
NUSAX	0.96	0.87	0.9	0.85		0.59	0.91	NUSAX
USGFX	0.62	0.75	0.77	0.45	0.59		0.62	USGFX
RFBAX	0.94	0.92	0.89	0.8	0.91	0.62		RFBAX
	SSAGX	TWACX	TWUOX	UGSDX	NUSAX	USGFX	RFBAX

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
SSAGX	0.05	0.00	0.00	0.00	0.00	0.00	0.10	(0.10)	0.51
TWACX	0.05	0.00	(0.53)	(0.15)	0.00	(0.14)	0.11	(0.11)	0.33
TWUOX	0.07	0.00	(0.51)	0.87	0.00	(0.14)	0.11	(0.11)	0.44
UGSDX	0.03	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.52
NUSAX	0.03	0.01	0.00	(1.40)	0.00	0.00	0.10	0.00	0.10
USGFX	0.13	(0.01)	(0.37)	(0.14)	0.15	(0.15)	0.25	(0.25)	0.66
RFBAX	0.06	0.00	(0.32)	0.00	0.00	(0.21)	0.19	(0.19)	0.58

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