Boston Partners Correlations

BPSIX Fund

USD 27.14 0.16 0.59%

The current 90-days correlation between Boston Partners Small and Boston Partners Small is 0.7 (i.e., Poor diversification). The correlation of Boston Partners 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.

Boston Partners Correlation With Market

Very poor diversification

The correlation between Boston Partners Small and DJI is 0.8 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Boston Partners Small 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 Boston Partners Small. 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 Boston Mutual Fund

0.82	OPTCX	Rbb Fund	Pair Corr
0.73	BPAVX	Boston Partners All	Pair Corr
0.85	BPAIX	Boston Partners All	Pair Corr
0.75	WPGTX	Wpg Partners Smallmicro	Pair Corr
0.82	BPGIX	Boston Partners Global	Pair Corr
0.82	BPIRX	Boston Partners Longshort	Pair Corr
0.7	BPLSX	Boston Partners Longshort	Pair Corr
0.91	BPRRX	Boston Partners Longshort	Pair Corr
0.92	BPSCX	Boston Partners Small	Pair Corr
0.96	VSIIX	Vanguard Small Cap	Pair Corr
0.96	VISVX	Vanguard Small Cap	Pair Corr
0.93	DFSVX	Us Small Cap	Pair Corr
0.95	DFFVX	Us Targeted Value	Pair Corr
0.92	UBVCX	Undiscovered Managers	Pair Corr
0.87	UBVAX	Undiscovered Managers	Pair Corr
0.93	UBVSX	Undiscovered Managers	Pair Corr
0.76	VSMCX	Invesco Small Cap	Pair Corr
0.76	PMPIX	Precious Metals Ultr Steady Growth	Pair Corr
0.74	PMPSX	Precious Metals Ultr Steady Growth	Pair Corr
0.73	FRGOX	Franklin Gold Precious	Pair Corr
0.74	MIDSX	Midas Fund Midas	Pair Corr
0.66	FKRCX	Franklin Gold Precious	Pair Corr
0.78	OCMAX	Ocm Mutual Fund	Pair Corr
0.77	SMVTX	Ridgeworth Ceredex Mid	Pair Corr
0.7	CITCX	American High Income	Pair Corr
0.68	VWENX	Vanguard Wellington	Pair Corr
0.62	RBERX	Rbc Bluebay Emerging	Pair Corr
0.61	NMIEX	Active M International	Pair Corr
0.71	PQTNX	Pimco Trends Managed	Pair Corr
0.84	ETEGX	Eaton Vance Small	Pair Corr
0.89	LRSOX	Lord Abbett Small	Pair Corr
0.78	RYHOX	Nasdaq 100 Fund	Pair Corr

Moving against Boston Mutual Fund

0.84	BELSX	Boston Partners Emerging	Pair Corr
0.59	BPGSX	Rbb Fund	Pair Corr

Related Correlations Analysis

	BPSCX	EGORX	WFLLX	MDLVX	AFVLX	HFEIX	IMIDX	MIMSX	HFETX	CHDEX
BPSCX		0.94	0.68	0.92	0.8	0.9	0.91	-0.87	0.87	-0.62	BPSCX
EGORX	0.94		0.68	0.92	0.78	0.92	0.84	-0.92	0.89	-0.73	EGORX
WFLLX	0.68	0.68		0.84	0.62	0.62	0.45	-0.61	0.57	-0.36	WFLLX
MDLVX	0.92	0.92	0.84		0.77	0.88	0.79	-0.83	0.88	-0.59	MDLVX
AFVLX	0.8	0.78	0.62	0.77		0.86	0.75	-0.55	0.78	-0.41	AFVLX
HFEIX	0.9	0.92	0.62	0.88	0.86		0.86	-0.8	0.95	-0.65	HFEIX
IMIDX	0.91	0.84	0.45	0.79	0.75	0.86		-0.76	0.83	-0.6	IMIDX
MIMSX	-0.87	-0.92	-0.61	-0.83	-0.55	-0.8	-0.76		-0.8	0.79	MIMSX
HFETX	0.87	0.89	0.57	0.88	0.78	0.95	0.83	-0.8		-0.65	HFETX
CHDEX	-0.62	-0.73	-0.36	-0.59	-0.41	-0.65	-0.6	0.79	-0.65		CHDEX
	BPSCX	EGORX	WFLLX	MDLVX	AFVLX	HFEIX	IMIDX	MIMSX	HFETX	CHDEX

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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

HFETX	+ 0.95	HFEIX
EGORX	+ 0.94	BPSCX
MDLVX	+ 0.92	BPSCX
MDLVX	+ 0.92	EGORX
HFEIX	+ 0.92	EGORX
IMIDX	+ 0.91	BPSCX

High negative correlations

MIMSX	- 0.92	EGORX
MIMSX	- 0.87	BPSCX
MIMSX	- 0.83	MDLVX
HFETX	- 0.8	MIMSX
MIMSX	- 0.8	HFEIX
MIMSX	- 0.76	IMIDX

Risk-Adjusted Indicators

There is a big difference between Boston Mutual Fund performing well and Boston Partners 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 Boston Partners' 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
BPSCX	0.86	0.12	0.11	0.20	0.77	(0.90)	2.21	(1.63)	7.92
EGORX	0.76	0.10	0.09	0.20	0.74	(0.86)	1.39	(1.43)	8.69
WFLLX	0.37	0.07	(0.01)	1.08	0.21	(0.62)	0.96	(0.70)	2.56
MDLVX	0.61	0.14	0.10	0.63	0.53	(0.69)	1.20	(0.99)	4.41
AFVLX	0.65	(0.02)	(0.02)	0.06	0.78	(0.66)	1.41	(1.23)	3.02
HFEIX	0.57	0.05	0.03	0.16	0.53	(0.63)	1.31	(0.93)	3.37
IMIDX	1.18	0.05	0.07	0.12	1.06	(1.40)	1.91	(1.92)	18.01
MIMSX	2.71	(1.51)	0.00	(0.45)	0.00	0.00	1.65	(1.65)	90.44
HFETX	0.57	0.07	(0.01)	0.52	0.59	(0.63)	1.30	(0.94)	3.36
CHDEX	0.70	(0.14)	0.00	(1.42)	0.00	0.00	0.91	(1.02)	13.27

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