Value Fund Correlations

WVAIX Fund

USD 57.44 0.77 1.36%

The current 90-days correlation between Value Fund Value and T Rowe Price is 0.28 (i.e., Modest 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

Weak diversification

The correlation between Value Fund Value and DJI is 0.31 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Value Fund Value and DJI in the same portfolio, assuming nothing else is changed.

Check out Your Current Watchlist to better understand how to build diversified portfolios, which includes a position in Value Fund 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 gross domestic product.

Moving together with Value Mutual Fund

0.99	WBALX	Balanced Fund Balanced	Pair Corr
0.97	WBAIX	Weitz Balanced	Pair Corr
1.0	WVALX	Value Fund Value	Pair Corr
1.0	WPOIX	Partners Iii Opportunity	Pair Corr
0.99	WPOPX	Partners Iii Opportunity	Pair Corr
1.0	WPVLX	Partners Value	Pair Corr
1.0	WPVIX	Partners Value	Pair Corr
0.63	LIFEX	Domini Sustainable	Pair Corr
0.78	NBMOX	Neuberger Berman Small	Pair Corr

Moving against Value Mutual Fund

0.64	SAFEX	Weitz Ultra Short	Pair Corr
0.53	WEFIX	Short Duration Income	Pair Corr
0.5	WSHNX	Short Duration Income	Pair Corr
0.65	GEIUX	Goldman Sachs Enhanced	Pair Corr
0.49	CSOIX	Credit Suisse Strategic	Pair Corr
0.45	LDLTX	Lord Abbett Short	Pair Corr
0.38	FBGRX	Fidelity Blue Chip	Pair Corr
0.37	UVPSX	Ultrashort Emerging Downward Rally	Pair Corr
0.74	AQMIX	Aqr Managed Futures	Pair Corr
0.72	PNDIX	Pender Real Estate	Pair Corr

Related Correlations Analysis

	TRBCX	LMUSX	PBLIX	GMLGX	HBACX	GGRYX	DFUSX
TRBCX		0.56	0.33	0.51	0.7	0.4	0.91	TRBCX
LMUSX	0.56		0.85	0.91	0.9	0.87	0.8	LMUSX
PBLIX	0.33	0.85		0.81	0.88	0.99	0.64	PBLIX
GMLGX	0.51	0.91	0.81		0.82	0.81	0.72	GMLGX
HBACX	0.7	0.9	0.88	0.82		0.92	0.89	HBACX
GGRYX	0.4	0.87	0.99	0.81	0.92		0.7	GGRYX
DFUSX	0.91	0.8	0.64	0.72	0.89	0.7		DFUSX
	TRBCX	LMUSX	PBLIX	GMLGX	HBACX	GGRYX	DFUSX

Click cells to compare fundamentals

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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
TRBCX	0.89	0.07	0.01	0.31	1.06	(0.94)	1.78	(2.18)	5.70
LMUSX	0.74	0.00	(0.03)	0.09	1.19	(0.70)	1.27	(1.59)	6.30
PBLIX	0.51	(0.02)	(0.09)	0.04	0.75	(0.50)	1.06	(1.24)	3.61
GMLGX	0.71	(0.01)	(0.05)	0.06	1.27	(0.67)	1.22	(1.47)	7.56
HBACX	0.37	0.01	(0.10)	0.12	0.55	(0.37)	0.79	(0.70)	2.93
GGRYX	0.42	(0.02)	(0.12)	0.03	0.58	(0.46)	0.86	(0.76)	3.17
DFUSX	0.61	0.03	(0.03)	0.18	0.85	(0.62)	1.24	(1.46)	5.45

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