Relative Value Correlations

VFLEX Fund

USD 27.63 0.01 0.04%

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

Very poor diversification

The correlation between The Relative Value and DJI is 0.8 (i.e., Very poor 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 american community survey.

Moving together with Relative Mutual Fund

0.66	VTSAX	Vanguard Total Stock	Pair Corr
0.65	VFIAX	Vanguard 500 Index	Pair Corr
0.68	VTSMX	Vanguard Total Stock	Pair Corr
0.66	VSTSX	Vanguard Total Stock	Pair Corr
0.68	VITSX	Vanguard Total Stock	Pair Corr
0.68	VSMPX	Vanguard Total Stock	Pair Corr
0.8	VTIAX	Vanguard Total Inter	Pair Corr
0.65	VFINX	Vanguard 500 Index	Pair Corr
0.63	VFFSX	Vanguard 500 Index	Pair Corr
0.87	DD	Dupont De Nemours	Pair Corr
0.95	MRK	Merck Company Earnings Call This Week	Pair Corr
0.91	WMT	Walmart Common Stock	Pair Corr
0.76	XOM	Exxon Mobil Corp Earnings Call This Week	Pair Corr
0.66	BA	Boeing	Pair Corr

Moving against Relative Mutual Fund

0.83	HPQ	HP Inc	Pair Corr
0.66	T	ATT Inc Earnings Call Today	Pair Corr
0.53	PG	Procter Gamble	Pair Corr

Related Correlations Analysis

	IGNAX	PSPFX	FRNRX	HNRGX	SMAPX	ALEFX
IGNAX		0.96	1.0	0.89	0.79	0.84	IGNAX
PSPFX	0.96		0.95	0.86	0.79	0.86	PSPFX
FRNRX	1.0	0.95		0.91	0.8	0.84	FRNRX
HNRGX	0.89	0.86	0.91		0.86	0.76	HNRGX
SMAPX	0.79	0.79	0.8	0.86		0.75	SMAPX
ALEFX	0.84	0.86	0.84	0.76	0.75		ALEFX
	IGNAX	PSPFX	FRNRX	HNRGX	SMAPX	ALEFX

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 Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
IGNAX	0.87	0.28	0.20	0.98	0.82	(0.98)	1.85	(1.80)	4.62
PSPFX	1.23	0.39	0.24	0.55	1.01	(1.44)	3.16	(2.28)	7.00
FRNRX	0.81	0.29	0.24	0.85	0.67	(0.96)	1.75	(1.53)	4.29
HNRGX	0.91	0.21	0.15	0.57	0.87	(1.03)	2.19	(1.48)	5.75
SMAPX	0.64	0.11	0.04	(1.09)	0.69	(0.68)	1.33	(1.29)	3.86
ALEFX	0.95	0.32	0.32	0.74	0.32	(1.20)	1.41	(1.06)	19.46

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