Large-cap Value Correlations

LVPIX Fund

USD 115.51 0.90 0.79%

The current 90-days correlation between Large Cap Value and Short Real Estate is -0.28 (i.e., Very good diversification). The correlation of Large-cap 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.

Large-cap Value Correlation With Market

Almost no diversification

The correlation between Large Cap Value Profund and DJI is 0.92 (i.e., Almost no diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Large Cap Value Profund and DJI in the same portfolio, assuming nothing else is changed.

Check out Correlation Analysis to better understand how to build diversified portfolios, which includes a position in Large Cap Value Profund. 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-cap Mutual Fund

0.83	TEPIX	Technology Ultrasector	Pair Corr
0.83	TEPSX	Technology Ultrasector	Pair Corr
0.88	LGPIX	Large Cap Growth	Pair Corr
0.88	LGPSX	Profunds Large Cap	Pair Corr
0.87	OTPIX	Nasdaq 100 Profund	Pair Corr
0.61	UJPIX	Ultrajapan Profund	Pair Corr
0.87	OTPSX	Nasdaq 100 Profund	Pair Corr
0.94	MLPSX	Mid Cap Value	Pair Corr
0.94	MLPIX	Mid Cap Value	Pair Corr
0.75	ENPSX	Oil Gas Ultrasector	Pair Corr
0.76	ENPIX	Oil Gas Ultrasector	Pair Corr
0.76	BTCFX	Bitcoin Strategy Profund	Pair Corr
0.77	PHPIX	Pharmaceuticals Ultrasector	Pair Corr
0.77	PHPSX	Pharmaceuticals Ultrasector	Pair Corr
0.88	INPIX	Internet Ultrasector	Pair Corr
0.88	INPSX	Internet Ultrasector	Pair Corr
0.94	ULPIX	Ultrabull Profund	Pair Corr
0.94	ULPSX	Ultrabull Profund	Pair Corr
0.86	WCPIX	Mobile Telecommunicatio	Pair Corr
0.86	WCPSX	Mobile Telecommunicatio	Pair Corr
0.85	CYPSX	Consumer Services	Pair Corr
0.85	CYPIX	Consumer Services	Pair Corr
0.85	SVPIX	Small Cap Value	Pair Corr
0.85	SVPSX	Small Cap Value	Pair Corr
0.76	RRPSX	Rising Rates Opportunity	Pair Corr
0.93	UMPSX	Ultramid Cap Profund	Pair Corr
0.93	UMPIX	Ultramid Cap Profund	Pair Corr

Moving against Large-cap Mutual Fund

0.93	UIPIX	Ultrashort Mid Cap	Pair Corr
0.93	UIPSX	Ultrashort Mid Cap	Pair Corr
0.93	BRPIX	Bear Profund Bear	Pair Corr
0.93	BRPSX	Bear Profund Bear	Pair Corr
0.75	GVPIX	Us Government Plus	Pair Corr
0.75	GVPSX	Us Government Plus	Pair Corr
0.72	UKPIX	Ultrashort Japan Profund	Pair Corr
0.71	UKPSX	Ultrashort Japan Profund	Pair Corr
0.75	FDPSX	Falling Dollar Profund	Pair Corr
0.75	FDPIX	Falling Dollar Profund	Pair Corr
0.52	UNPSX	Ultrainternational	Pair Corr
0.51	UNPIX	Ultrainternational	Pair Corr

Related Correlations Analysis

	SRPIX	SRPSX	UIPIX	UIPSX	TEPIX	TEPSX	LGPIX	LGPSX	BRPIX	BRPSX
SRPIX		1.0	-0.34	-0.34	0.29	0.28	0.33	0.32	-0.28	-0.28	SRPIX
SRPSX	1.0		-0.3	-0.3	0.24	0.24	0.28	0.28	-0.23	-0.23	SRPSX
UIPIX	-0.34	-0.3		1.0	-0.88	-0.88	-0.93	-0.93	0.96	0.96	UIPIX
UIPSX	-0.34	-0.3	1.0		-0.88	-0.88	-0.93	-0.93	0.96	0.96	UIPSX
TEPIX	0.29	0.24	-0.88	-0.88		1.0	0.96	0.97	-0.96	-0.96	TEPIX
TEPSX	0.28	0.24	-0.88	-0.88	1.0		0.96	0.96	-0.96	-0.96	TEPSX
LGPIX	0.33	0.28	-0.93	-0.93	0.96	0.96		1.0	-0.99	-0.99	LGPIX
LGPSX	0.32	0.28	-0.93	-0.93	0.97	0.96	1.0		-0.99	-0.99	LGPSX
BRPIX	-0.28	-0.23	0.96	0.96	-0.96	-0.96	-0.99	-0.99		1.0	BRPIX
BRPSX	-0.28	-0.23	0.96	0.96	-0.96	-0.96	-0.99	-0.99	1.0		BRPSX
	SRPIX	SRPSX	UIPIX	UIPSX	TEPIX	TEPSX	LGPIX	LGPSX	BRPIX	BRPSX

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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

SRPSX	+ 1.0	SRPIX
UIPSX	+ 1.0	UIPIX
TEPSX	+ 1.0	TEPIX
LGPSX	+ 1.0	LGPIX
BRPSX	+ 1.0	BRPIX
LGPSX	+ 0.97	TEPIX

High negative correlations

BRPSX	- 0.99	LGPSX
BRPIX	- 0.99	LGPSX
BRPSX	- 0.99	LGPIX
BRPIX	- 0.99	LGPIX
BRPSX	- 0.96	TEPSX
BRPIX	- 0.96	TEPSX

Risk-Adjusted Indicators

There is a big difference between Large-cap Mutual Fund performing well and Large-cap 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 Large-cap 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
SRPIX	0.71	(0.04)	0.00	0.85	0.00	0.00	1.26	(1.27)	4.28
SRPSX	0.71	(0.05)	0.00	1.29	0.00	0.00	1.33	(1.33)	4.27
UIPIX	1.44	0.01	0.00	0.12	0.00	0.00	2.46	(3.43)	13.58
UIPSX	1.44	0.01	0.00	0.12	0.00	0.00	2.46	(3.42)	13.58
TEPIX	1.50	(0.08)	0.00	0.07	2.23	(1.47)	2.84	(3.72)	9.83
TEPSX	1.50	(0.09)	0.00	0.07	2.23	(1.46)	2.81	(3.74)	9.85
LGPIX	0.73	(0.01)	(0.02)	0.11	1.01	(0.67)	1.55	(2.04)	5.24
LGPSX	0.73	(0.01)	(0.02)	0.10	1.02	(0.69)	1.55	(2.04)	5.23
BRPIX	0.55	0.01	0.00	0.10	0.00	0.00	1.31	(1.12)	4.80
BRPSX	0.55	0.01	0.00	0.11	0.00	0.00	1.27	(1.20)	4.62

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