Boston Partners Correlations

BPSIX Fund

USD 26.40 0.69 2.68%

The current 90-days correlation between Boston Partners Small and Boston Partners Small is 1.0 (i.e., No risk reduction). The correlation of Boston Partners 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.

Boston Partners Correlation With Market

Poor diversification

The correlation between Boston Partners Small and DJI is 0.78 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Boston Partners Small and DJI in the same portfolio, assuming nothing else is changed.

Check out Trending Equities to better understand how to build diversified portfolios, which includes a position in Boston Partners 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 Boston Mutual Fund

0.68	WPGTX	Wpg Partners Smallmicro	Pair Corr
1.0	BPSCX	Boston Partners Small	Pair Corr
0.8	VSIIX	Vanguard Small Cap	Pair Corr
0.8	VISVX	Vanguard Small Cap	Pair Corr
0.91	DFSVX	Us Small Cap	Pair Corr
0.93	DFFVX	Us Targeted Value	Pair Corr
0.96	UBVCX	Undiscovered Managers	Pair Corr
0.9	UBVAX	Undiscovered Managers	Pair Corr
0.96	UBVSX	Undiscovered Managers	Pair Corr
0.93	AVFIX	American Beacon Small	Pair Corr

Moving against Boston Mutual Fund

0.74	BELSX	Boston Partners Emerging	Pair Corr
0.4	OPTCX	Rbb Fund	Pair Corr
0.6	TWACX	Short Term Government	Pair Corr
0.6	ENYIX	Eaton Vance New	Pair Corr
0.58	LHIAX	Columbia High Yield	Pair Corr
0.49	VFFSX	Vanguard 500 Index	Pair Corr
0.45	ODVIX	Oppenheimer Developing	Pair Corr
0.43	VTSAX	Vanguard Total Stock	Pair Corr
0.43	VSMPX	Vanguard Total Stock	Pair Corr
0.43	VSTSX	Vanguard Total Stock	Pair Corr
0.43	HABDX	Harbor Bond Fund	Pair Corr
0.37	VFIAX	Vanguard 500 Index	Pair Corr
0.37	VGTSX	Vanguard Total Inter	Pair Corr
0.37	VTIAX	Vanguard Total Inter	Pair Corr
0.36	VFINX	Vanguard 500 Index	Pair Corr

Related Correlations Analysis

	BPSCX	EGORX	WFLLX	MDLVX	AFVLX	HFEIX	IMIDX	MIMSX	HFETX	CHDEX
BPSCX		0.15	-0.77	-0.54	-0.07	-0.43	0.71	0.82	-0.42	-0.44	BPSCX
EGORX	0.15		0.36	0.6	0.76	0.59	0.58	0.59	0.59	0.29	EGORX
WFLLX	-0.77	0.36		0.77	0.52	0.73	-0.25	-0.36	0.73	0.5	WFLLX
MDLVX	-0.54	0.6	0.77		0.74	0.73	-0.13	-0.13	0.72	0.67	MDLVX
AFVLX	-0.07	0.76	0.52	0.74		0.74	0.43	0.36	0.74	0.51	AFVLX
HFEIX	-0.43	0.59	0.73	0.73	0.74		0.18	0.12	1.0	0.51	HFEIX
IMIDX	0.71	0.58	-0.25	-0.13	0.43	0.18		0.9	0.18	-0.16	IMIDX
MIMSX	0.82	0.59	-0.36	-0.13	0.36	0.12	0.9		0.12	-0.19	MIMSX
HFETX	-0.42	0.59	0.73	0.72	0.74	1.0	0.18	0.12		0.51	HFETX
CHDEX	-0.44	0.29	0.5	0.67	0.51	0.51	-0.16	-0.19	0.51		CHDEX
	BPSCX	EGORX	WFLLX	MDLVX	AFVLX	HFEIX	IMIDX	MIMSX	HFETX	CHDEX

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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

HFETX	+ 1.0	HFEIX
MIMSX	+ 0.9	IMIDX
MIMSX	+ 0.82	BPSCX
MDLVX	+ 0.77	WFLLX
AFVLX	+ 0.76	EGORX
AFVLX	+ 0.74	MDLVX

High negative correlations

WFLLX	- 0.77	BPSCX
MDLVX	- 0.54	BPSCX
CHDEX	- 0.44	BPSCX
HFEIX	- 0.43	BPSCX
HFETX	- 0.42	BPSCX
MIMSX	- 0.36	WFLLX

Risk-Adjusted Indicators

There is a big difference between Boston Mutual Fund performing well and Boston Partners 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 Boston Partners' 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
BPSCX	0.77	(0.10)	0.00	(0.05)	0.00	0.00	1.91	(1.63)	6.18
EGORX	0.58	(0.02)	(0.03)	0.01	0.91	(0.53)	1.15	(1.41)	4.15
WFLLX	0.37	0.08	0.06	(0.51)	0.21	(0.62)	0.96	(0.70)	2.56
MDLVX	0.47	0.03	(0.01)	(0.59)	0.56	(0.52)	1.02	(1.01)	3.60
AFVLX	0.56	(0.01)	(0.06)	0.17	0.81	(0.53)	0.91	(1.23)	4.22
HFEIX	0.65	(0.03)	(0.05)	(0.01)	0.81	(0.64)	1.11	(1.43)	3.38
IMIDX	0.82	(0.11)	0.00	(0.07)	0.00	0.00	1.43	(1.85)	4.69
MIMSX	0.65	(0.06)	0.00	(0.02)	0.00	0.00	1.45	(1.32)	4.81
HFETX	0.65	(0.03)	(0.06)	(0.01)	0.81	(0.64)	1.11	(1.42)	3.37
CHDEX	0.43	0.02	(0.05)	(0.46)	0.45	(0.55)	0.91	(0.82)	2.58

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