Pzena International Correlations

PZIIX Fund

USD 11.74 0.06 0.51%

The current 90-days correlation between Pzena International Small and Pzena Emerging Markets is 0.55 (i.e., Very weak diversification). The correlation of Pzena International 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.

Pzena International Correlation With Market

Modest diversification

The correlation between Pzena International Small and DJI is 0.22 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Pzena International Small 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 Pzena International 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 Pzena Mutual Fund

0.9	PZINX	Pzena International Value	Pair Corr
1.0	PZVIX	Pzena International Small	Pair Corr
0.9	PZVNX	Pzena International Value	Pair Corr
0.96	DISVX	Dfa International Small	Pair Corr
0.96	DFVQX	Dfa International Vector	Pair Corr
0.94	FMNEX	Free Market International	Pair Corr
0.93	OANEX	Oakmark International	Pair Corr
0.93	OAZEX	Oakmark International	Pair Corr
0.93	OAKEX	Oakmark International	Pair Corr
0.93	OAYEX	Oakmark International	Pair Corr

Moving against Pzena Mutual Fund

0.67	LSHUX	Horizon Spin Off Downward Rally	Pair Corr
0.67	LSHEX	Kinetics Spin Off Downward Rally	Pair Corr
0.67	WWNPX	Kinetics Paradigm Downward Rally	Pair Corr
0.67	KNPCX	Kinetics Paradigm Downward Rally	Pair Corr
0.66	OSPPX	Oppenheimer Steelpath Mlp	Pair Corr
0.66	SPMPX	Invesco Steelpath Mlp	Pair Corr
0.66	SPMJX	Invesco Steelpath Mlp	Pair Corr
0.66	MLPNX	Oppenheimer Steelpath Mlp	Pair Corr
0.66	MLPLX	Oppenheimer Steelpath Mlp	Pair Corr
0.65	KSCOX	Kinetics Small Cap Steady Growth	Pair Corr
0.51	AIWEX	World Energy	Pair Corr
0.43	FSPGX	Fidelity Large Cap	Pair Corr
0.42	CISIX	Calvert Large Cap	Pair Corr
0.4	BSCXX	Northern Institutional	Pair Corr
0.37	ASVNX	Small Cap Value	Pair Corr
0.35	ANOIX	Small Cap Growth	Pair Corr
0.34	FCNTX	Fidelity Contrafund	Pair Corr

Related Correlations Analysis

	PZIIX	PZIEX	PZINX	PZISX	PZVEX	PZVSX	PZVMX	PZVNX
PZIIX		0.36	0.9	-0.28	0.37	-0.27	0.23	0.9	PZIIX
PZIEX	0.36		0.68	0.05	1.0	0.05	-0.06	0.67	PZIEX
PZINX	0.9	0.68		-0.23	0.68	-0.23	0.13	1.0	PZINX
PZISX	-0.28	0.05	-0.23		0.05	1.0	0.77	-0.23	PZISX
PZVEX	0.37	1.0	0.68	0.05		0.04	-0.06	0.67	PZVEX
PZVSX	-0.27	0.05	-0.23	1.0	0.04		0.77	-0.23	PZVSX
PZVMX	0.23	-0.06	0.13	0.77	-0.06	0.77		0.13	PZVMX
PZVNX	0.9	0.67	1.0	-0.23	0.67	-0.23	0.13		PZVNX
	PZIIX	PZIEX	PZINX	PZISX	PZVEX	PZVSX	PZVMX	PZVNX

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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

PZVEX	+ 1.0	PZIEX
PZVNX	+ 1.0	PZINX
PZVSX	+ 1.0	PZISX
PZINX	+ 0.9	PZIIX
PZVNX	+ 0.9	PZIIX
PZVMX	+ 0.77	PZISX

High negative correlations

PZISX	- 0.28	PZIIX
PZVSX	- 0.27	PZIIX
PZVNX	- 0.23	PZVSX
PZVNX	- 0.23	PZISX
PZVSX	- 0.23	PZINX
PZISX	- 0.23	PZINX

Risk-Adjusted Indicators

There is a big difference between Pzena Mutual Fund performing well and Pzena International 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 Pzena International'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
PZIIX	0.67	(0.10)	0.00	(0.28)	0.00	0.00	1.39	(1.30)	4.58
PZIEX	0.79	0.00	(0.10)	0.11	0.98	(0.93)	1.74	(1.65)	7.04
PZINX	0.65	(0.09)	0.00	(0.26)	0.00	0.00	1.71	(1.41)	3.92
PZISX	1.07	(0.07)	0.00	0.08	1.01	(1.24)	2.39	(1.57)	8.49
PZVEX	0.80	0.00	(0.10)	0.11	0.99	(0.93)	1.82	(1.66)	7.01
PZVSX	1.07	(0.07)	0.00	0.08	1.03	(1.23)	2.35	(1.55)	8.38
PZVMX	0.76	(0.11)	(0.10)	0.03	0.82	(0.83)	1.35	(1.38)	5.44
PZVNX	0.63	(0.09)	0.00	(0.30)	0.00	0.00	1.62	(1.42)	3.86

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