Value Fund Correlations

AVUDX Fund

USD 8.18 0.04 0.49%

The current 90-days correlation between Value Fund R6 and Income Growth Fund is -0.04 (i.e., Good 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

Average diversification

The correlation between Value Fund R6 and DJI is 0.16 (i.e., Average 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

0.7	AMDVX	Mid Cap Value	Pair Corr
0.75	AMEIX	Equity Growth	Pair Corr
0.78	AMGIX	Income Growth	Pair Corr
0.8	TWADX	Value Fund A	Pair Corr
0.61	TWCAX	Select Fund A	Pair Corr
0.61	TWCIX	Select Fund Investor	Pair Corr
0.9	AMVYX	Mid Cap Value	Pair Corr
0.9	AMVRX	Mid Cap Value	Pair Corr
0.9	AMVGX	Mid Cap Value	Pair Corr
0.96	TWEAX	Equity Income	Pair Corr
0.75	TWEIX	Equity Income	Pair Corr
0.63	TWRCX	Growth Fund C	Pair Corr
0.69	TWSCX	Strategic Allocation	Pair Corr
0.68	TWSAX	Strategic Allocation	Pair Corr
0.66	TWSMX	Strategic Allocation	Pair Corr
0.77	TWSIX	Select Fund I	Pair Corr
0.8	TWVLX	Value Fund Investor	Pair Corr
0.75	TWUAX	Ultra Fund A	Pair Corr
0.74	TWUIX	Ultra Fund I	Pair Corr

Related Correlations Analysis

	BIGRX	BEQGX	BIIEX	GEMAX	ACFOX	VLIFX	PPIPX	SDLAX	RLITX	LISIX
BIGRX		0.92	0.44	0.15	0.03	0.04	0.68	0.6	0.47	-0.1	BIGRX
BEQGX	0.92		0.37	0.21	-0.18	0.06	0.74	0.68	0.6	-0.19	BEQGX
BIIEX	0.44	0.37		0.27	0.21	0.21	0.25	0.2	0.01	0.19	BIIEX
GEMAX	0.15	0.21	0.27		0.4	0.22	0.18	0.16	-0.09	0.63	GEMAX
ACFOX	0.03	-0.18	0.21	0.4		-0.07	-0.23	-0.25	-0.52	0.56	ACFOX
VLIFX	0.04	0.06	0.21	0.22	-0.07		0.07	0.01	0.09	0.6	VLIFX
PPIPX	0.68	0.74	0.25	0.18	-0.23	0.07		0.9	0.77	-0.13	PPIPX
SDLAX	0.6	0.68	0.2	0.16	-0.25	0.01	0.9		0.86	-0.18	SDLAX
RLITX	0.47	0.6	0.01	-0.09	-0.52	0.09	0.77	0.86		-0.27	RLITX
LISIX	-0.1	-0.19	0.19	0.63	0.56	0.6	-0.13	-0.18	-0.27		LISIX
	BIGRX	BEQGX	BIIEX	GEMAX	ACFOX	VLIFX	PPIPX	SDLAX	RLITX	LISIX

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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

BEQGX	+ 0.92	BIGRX
SDLAX	+ 0.9	PPIPX
RLITX	+ 0.86	SDLAX
RLITX	+ 0.77	PPIPX
PPIPX	+ 0.74	BEQGX
PPIPX	+ 0.68	BIGRX

High negative correlations

RLITX	- 0.52	ACFOX
LISIX	- 0.27	RLITX
SDLAX	- 0.25	ACFOX
PPIPX	- 0.23	ACFOX
LISIX	- 0.19	BEQGX
LISIX	- 0.18	SDLAX

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
BIGRX	0.67	(0.03)	0.00	(0.23)	0.00	0.00	1.11	(1.20)	9.84
BEQGX	0.80	(0.07)	0.00	(0.69)	0.00	0.00	1.35	(1.64)	11.94
BIIEX	0.53	0.02	(0.05)	0.22	0.74	(0.54)	1.12	(1.18)	4.05
GEMAX	0.70	0.00	(0.02)	0.07	0.93	(0.78)	1.38	(1.26)	4.71
ACFOX	1.06	0.22	0.10	1.10	1.23	(1.06)	2.25	(2.36)	11.33
VLIFX	0.61	(0.07)	(0.10)	(0.01)	0.80	(0.60)	1.08	(1.28)	3.31
PPIPX	0.34	(0.08)	0.00	(0.10)	0.00	0.00	0.52	(0.52)	6.08
SDLAX	0.77	(0.17)	0.00	(0.12)	0.00	0.00	1.13	(1.56)	11.73
RLITX	0.93	(0.34)	0.00	(0.56)	0.00	0.00	1.00	(1.13)	22.21
LISIX	0.55	(0.02)	(0.05)	0.05	0.65	(0.59)	0.95	(1.10)	2.94

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