Relative Value Correlations

Mutual Funds . USA . 
Fund . The Relative Value
VFLEX Fund  USD 27.52  0.01  0.04%   
The current 90-days correlation between Relative Value and Vanguard Total Bond is 0.09 (i.e., Significant diversification). The correlation of Relative 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.

Relative Value Correlation With Market

Almost no diversification

The correlation between The Relative Value 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 The Relative Value 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 The Relative Value. 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 housing.

Moving together with Relative Mutual Fund

  0.77VTSAX Vanguard Total StockPairCorr
  0.7VFIAX Vanguard 500 IndexPairCorr
  0.74VTSMX Vanguard Total StockPairCorr
  0.74VITSX Vanguard Total StockPairCorr
  0.74VSMPX Vanguard Total StockPairCorr
  0.77VSTSX Vanguard Total StockPairCorr
  0.95VTIAX Vanguard Total InterPairCorr
  0.7VFINX Vanguard 500 IndexPairCorr
  0.74VFFSX Vanguard 500 IndexPairCorr
  0.67VBTLX Vanguard Total BondPairCorr
  0.89NHS Neuberger Berman HighPairCorr
  0.96PHYEX Pgim High YieldPairCorr
  0.75BHSRX Blackrock Health SciencesPairCorr
  0.95SRJCX Jpmorgan SmartretirementPairCorr
  0.93BDSKX Blackrock Advantage SmallPairCorr
  0.82CUSEX Capital Group EquityPairCorr
  0.93DMYBX Dreyfus Short IntermPairCorr
  0.96WMCVX Wasatch Small CapPairCorr
  0.89GCEPX Goldman Sachs CleanPairCorr
  0.9EMDZX Prudential EmergingPairCorr
  0.97FFFHX Fidelity Freedom 2050PairCorr
  0.96JDINX Janus OverseasPairCorr
  0.93FAXTX American Funds 2065PairCorr
  0.86VEXPX Vanguard ExplorerPairCorr
  0.83ANFFX New Economy FundPairCorr
  0.94IRSNX Voya Target RetirementPairCorr
  0.91CVKFX Pioneer Disciplined ValuePairCorr
  0.76FDBLX Federated BondPairCorr
  0.92RLEMX Lazard Emerging MarketsPairCorr
  0.85SDLAX Siit Dynamic AssetPairCorr
  0.87OGIIX Oppenheimer GlobalPairCorr
  0.96DNVYX Davis New YorkPairCorr
  0.94LHYOX Lord Abbett HighPairCorr
  0.85SBCCX Moderately ServativePairCorr
  0.91OGMNX Oppenheimer Gold Spec Steady GrowthPairCorr
  0.96FLSJX Franklin Lifesmart 2050PairCorr
  0.95INUTX Columbia DividendPairCorr
  0.92VPCCX Vanguard PrimecapPairCorr
  0.97PRRCX Pioneer Flexible OppPairCorr
  0.94BALFX American BalancedPairCorr

Related Correlations Analysis


Risk-Adjusted Indicators

There is a big difference between Relative Mutual Fund performing well and Relative 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 Relative 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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
VTSAX  0.57  0.09 (0.05)(0.55) 0.70 
(0.61)
 1.11 
(1.28)
 3.73 
VFIAX  0.53  0.00 (0.04) 0.11  0.61 
(0.57)
 0.99 
(1.16)
 3.61 
VTSMX  0.55  0.00 (0.03) 0.12  0.60 
(0.62)
 1.11 
(1.14)
 3.74 
VITSX  0.55  0.00 (0.03) 0.12  0.60 
(0.62)
 1.11 
(1.13)
 3.73 
VSMPX  0.55  0.00 (0.03) 0.12  0.61 
(0.62)
 1.11 
(1.14)
 3.73 
VSTSX  0.57  0.09 (0.05)(0.55) 0.70 
(0.61)
 1.11 
(1.28)
 3.74 
VTIAX  0.55  0.19  0.20  0.43  0.14 
(0.66)
 1.47 
(1.18)
 4.10 
VFINX  0.53  0.00 (0.04) 0.11  0.62 
(0.56)
 1.06 
(1.16)
 3.61 
VFFSX  0.55  0.08 (0.06)(0.47) 0.69 
(0.56)
 0.99 
(1.23)
 3.61 
VBTLX  0.14  0.01 (0.46) 0.21  0.00 
(0.18)
 0.31 
(0.31)
 0.62 

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