Value Fund Correlations

TWVLX Fund

USD 8.69 0.01 0.11%

The current 90-days correlation between Value Fund Investor and Vanguard Small Cap Value is 0.88 (i.e., Very poor diversification). The correlation of Value Fund 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.

Value Fund Correlation With Market

Good diversification

The correlation between Value Fund Investor and DJI is -0.12 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Value Fund Investor and DJI in the same portfolio, assuming nothing else is changed.

Check out World Market Map to better understand how to build diversified portfolios, which includes a position in Value Fund Investor. 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 bureau of economic analysis.

Moving together with Value Mutual Fund

0.94	AMDVX	Mid Cap Value	Pair Corr
0.91	AMEIX	Equity Growth	Pair Corr
0.96	AMGIX	Income Growth	Pair Corr
1.0	TWADX	Value Fund A	Pair Corr
0.83	TWCCX	Ultra Fund C	Pair Corr
0.79	TWCAX	Select Fund A	Pair Corr
0.84	TWCIX	Select Fund Investor	Pair Corr
0.82	TWCGX	Growth Fund Investor	Pair Corr
0.83	AMVYX	Mid Cap Value	Pair Corr
0.82	AMVRX	Mid Cap Value	Pair Corr
0.77	TWBIX	Balanced Fund Investor	Pair Corr
0.83	AMVGX	Mid Cap Value	Pair Corr
0.91	TWEAX	Equity Income	Pair Corr
0.83	TWEIX	Equity Income	Pair Corr
0.83	TWCUX	Ultra Fund Investor	Pair Corr
0.82	TWGIX	Growth Fund I	Pair Corr
0.61	TWGGX	Global Growth	Pair Corr
0.91	TWHIX	Heritage Fund Investor	Pair Corr
0.77	TWRCX	Growth Fund C	Pair Corr
0.67	TWSCX	Strategic Allocation	Pair Corr
0.9	TWSAX	Strategic Allocation:	Pair Corr
0.87	TWSMX	Strategic Allocation	Pair Corr
0.79	TWSIX	Select Fund I	Pair Corr
0.79	TWUAX	Ultra Fund A	Pair Corr
0.79	TWUIX	Ultra Fund I	Pair Corr
0.68	NPHIX	High Income Fund	Pair Corr

Moving against Value Mutual Fund

0.66	CDBCX	Diversified Bond	Pair Corr
0.51	TWGAX	International Growth	Pair Corr
0.51	TWIEX	International Growth	Pair Corr
0.35	TWTCX	Intermediate Term Tax	Pair Corr
0.34	TWACX	Short Term Government	Pair Corr
0.32	TWAVX	Short Term Government	Pair Corr
0.31	TWARX	Short Term Government	Pair Corr
0.6	ANVRX	American Century Non	Pair Corr
0.59	ANTUX	Nt Non Intrinsic	Pair Corr
0.59	ANVLX	American Century Non	Pair Corr
0.59	ANVHX	American Century Non	Pair Corr
0.38	ANTSX	Nt International Small	Pair Corr
0.35	ANTMX	Nt International Small	Pair Corr

Related Correlations Analysis

	VSIAX	VMVAX	VSMAX	VEMAX
VSIAX		0.9	1.0	0.5	VSIAX
VMVAX	0.9		0.91	0.63	VMVAX
VSMAX	1.0	0.91		0.5	VSMAX
VEMAX	0.5	0.63	0.5		VEMAX
	VSIAX	VMVAX	VSMAX	VEMAX

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Risk-Adjusted Indicators

There is a big difference between Value Mutual Fund performing well and Value Fund 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 Value Fund'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
VSIAX	0.74	0.10	0.02	49.81	0.68	(0.80)	1.69	(1.34)	5.75
VMVAX	0.53	0.04	0.03	0.14	0.35	(0.60)	1.08	(0.88)	3.06
VSMAX	0.76	0.12	0.04	4.67	0.77	(0.85)	1.75	(1.25)	5.36
VEMAX	0.74	0.03	(0.07)	(0.20)	0.88	(0.80)	1.57	(1.68)	4.60

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