Davenport Value Correlations

DVIPX Fund

USD 20.34 0.10 0.49%

The current 90-days correlation between Davenport Value Income and Aqr Managed Futures is 0.14 (i.e., Average diversification). The correlation of Davenport Value 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.

Davenport Value Correlation With Market

Very poor diversification

The correlation between Davenport Value Income and DJI is 0.89 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Davenport Value Income and DJI in the same portfolio, assuming nothing else is changed.

Check out Investing Opportunities to better understand how to build diversified portfolios, which includes a position in Davenport Value Income. 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 inflation.

Moving together with Davenport Mutual Fund

0.76	DSCPX	Davenport Small Cap	Pair Corr
0.73	DAVPX	Davenport E Fund	Pair Corr
0.77	DBALX	Davenport Balanced Income	Pair Corr
0.86	DEOPX	Davenport Equity Opp	Pair Corr
0.75	VVIAX	Vanguard Value Index	Pair Corr
0.74	AWSHX	Washington Mutual	Pair Corr
0.73	WSHCX	Washington Mutual	Pair Corr
0.72	WSHFX	Washington Mutual	Pair Corr
0.75	FWWMX	American Funds Washington	Pair Corr
0.75	FWMMX	American Funds Washington	Pair Corr
0.8	DODGX	Dodge Stock Fund	Pair Corr
0.72	AMFFX	American Mutual	Pair Corr
0.75	AMFCX	American Mutual	Pair Corr
0.9	SMAIX	Ultra Short Term	Pair Corr
0.7	GTCIX	International Portfolio	Pair Corr
0.92	VUBFX	Vanguard Ultra-short-term	Pair Corr
0.73	AVANX	Avantis International	Pair Corr
0.66	SVXCX	Smead International Value	Pair Corr
0.71	ECAMX	Eaton Vance Multi	Pair Corr
0.71	AYBLX	Pioneer Classic Balanced	Pair Corr
0.78	PTEZX	Prudential Qma Large	Pair Corr
0.76	PAIPX	Pimco Short Asset	Pair Corr
0.74	VVORX	Invesco Value Opport	Pair Corr
0.78	RSDIX	Rbc Short Duration	Pair Corr
0.67	CPXIX	Cohen Steers Prfrd	Pair Corr
0.86	SIVIX	State Street Institu	Pair Corr
0.92	MXKJX	Great West Goldman	Pair Corr

Moving against Davenport Mutual Fund

0.52	XNXJX	Nuveen New Jersey	Pair Corr
0.5	XDSMX	Dreyfus Strategic	Pair Corr
0.47	AMRMX	American Mutual	Pair Corr
0.68	XNBHX	Neuberger Berman Int	Pair Corr

Related Correlations Analysis

	MFTFX	ANBIX	ABNTX	RYIFX	FIFGX	AMFAX	QMHIX
MFTFX		0.54	0.53	0.96	0.71	0.99	0.83	MFTFX
ANBIX	0.54		0.99	0.45	0.35	0.47	0.29	ANBIX
ABNTX	0.53	0.99		0.44	0.35	0.46	0.28	ABNTX
RYIFX	0.96	0.45	0.44		0.74	0.97	0.84	RYIFX
FIFGX	0.71	0.35	0.35	0.74		0.73	0.79	FIFGX
AMFAX	0.99	0.47	0.46	0.97	0.73		0.86	AMFAX
QMHIX	0.83	0.29	0.28	0.84	0.79	0.86		QMHIX
	MFTFX	ANBIX	ABNTX	RYIFX	FIFGX	AMFAX	QMHIX

Risk-Adjusted Indicators

There is a big difference between Davenport Mutual Fund performing well and Davenport Value 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 Davenport Value'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
MFTFX	1.04	0.17	0.10	0.60	1.01	(1.21)	2.06	(1.78)	5.99
ANBIX	0.07	(0.01)	(0.66)	(0.52)	0.08	(0.11)	0.10	(0.10)	0.38
ABNTX	0.07	(0.01)	(0.60)	(0.52)	0.08	(0.11)	0.10	(0.10)	0.39
RYIFX	0.54	0.11	0.05	2.83	0.62	(0.57)	1.25	(1.24)	2.89
FIFGX	0.79	0.13	0.08	1.32	0.72	(0.89)	1.61	(1.35)	3.67
AMFAX	0.65	0.11	0.06	0.79	0.66	(0.72)	1.21	(1.19)	3.65
QMHIX	0.64	0.15	0.11	0.81	0.64	(0.71)	1.38	(1.32)	4.56

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