Oshaughnessy Market Correlations

OFVIX Fund

USD 20.28 0.06 0.29%

The current 90-days correlation between Oshaughnessy Market and T Rowe Price is 0.5 (i.e., Very weak diversification). The correlation of Oshaughnessy Market 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.

Oshaughnessy Market Correlation With Market

Modest diversification

The correlation between Oshaughnessy Market Leaders and DJI is 0.26 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Oshaughnessy Market Leaders and DJI in the same portfolio, assuming nothing else is changed.

Check out Your Equity Center to better understand how to build diversified portfolios, which includes a position in Oshaughnessy Market Leaders. 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 Oshaughnessy Mutual Fund

0.82	VVIAX	Vanguard Value Index	Pair Corr
0.85	DOXGX	Dodge Cox Stock	Pair Corr
0.89	AFMFX	American Mutual	Pair Corr
0.89	FFMMX	American Funds American	Pair Corr
0.89	FFFMX	American Funds American	Pair Corr
0.89	AMRMX	American Mutual	Pair Corr
0.79	AMFFX	American Mutual	Pair Corr
0.89	AMFCX	American Mutual	Pair Corr
0.91	DODGX	Dodge Stock Fund	Pair Corr
0.88	VIVAX	Vanguard Value Index	Pair Corr
0.79	IFN	India Closed	Pair Corr
0.68	USA	Liberty All Star	Pair Corr
0.76	HPQ	HP Inc	Pair Corr
0.78	INTC	Intel Earnings Call Today	Pair Corr
0.68	DD	Dupont De Nemours Fiscal Year End 4th of February 2025	Pair Corr
0.81	TRV	The Travelers Companies	Pair Corr
0.9	AA	Alcoa Corp	Pair Corr

Moving against Oshaughnessy Mutual Fund

0.41	CII	Blackrock Enhanced	Pair Corr
0.33	PFE	Pfizer Inc Earnings Call This Week	Pair Corr

Related Correlations Analysis

	PRNHX	PMDAX	CHICX	BWDTX	DGITX	RGAHX	EQTKX
PRNHX		0.85	0.02	0.33	0.68	0.82	0.89	PRNHX
PMDAX	0.85		-0.37	-0.01	0.72	0.84	0.74	PMDAX
CHICX	0.02	-0.37		0.82	-0.22	-0.23	0.2	CHICX
BWDTX	0.33	-0.01	0.82		0.3	0.19	0.54	BWDTX
DGITX	0.68	0.72	-0.22	0.3		0.81	0.73	DGITX
RGAHX	0.82	0.84	-0.23	0.19	0.81		0.79	RGAHX
EQTKX	0.89	0.74	0.2	0.54	0.73	0.79		EQTKX
	PRNHX	PMDAX	CHICX	BWDTX	DGITX	RGAHX	EQTKX

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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

EQTKX	+ 0.89	PRNHX
PMDAX	+ 0.85	PRNHX
RGAHX	+ 0.84	PMDAX
RGAHX	+ 0.82	PRNHX
BWDTX	+ 0.82	CHICX
RGAHX	+ 0.81	DGITX

High negative correlations

CHICX	- 0.37	PMDAX
RGAHX	- 0.23	CHICX
DGITX	- 0.22	CHICX
BWDTX	- 0.01	PMDAX

Risk-Adjusted Indicators

There is a big difference between Oshaughnessy Mutual Fund performing well and Oshaughnessy Market 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 Oshaughnessy Market'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
PRNHX	0.86	0.04	0.02	0.10	1.20	(0.88)	1.80	(1.60)	7.56
PMDAX	0.82	(0.03)	0.00	(0.04)	0.00	0.00	1.50	(1.47)	7.95
CHICX	0.10	0.02	(0.01)	0.97	0.00	(0.33)	0.48	(0.16)	1.27
BWDTX	0.08	0.00	(0.18)	0.12	0.00	(0.14)	0.20	(0.10)	0.51
DGITX	0.38	(0.02)	0.00	(0.20)	0.00	0.00	0.77	(0.95)	3.58
RGAHX	0.86	(0.01)	(0.01)	0.00	2.32	(0.76)	1.35	(1.35)	13.90
EQTKX	0.46	0.02	0.01	0.10	0.65	(0.49)	0.87	(0.92)	4.30

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