Fam Value Correlations

FAMWX Fund

USD 105.18 2.06 2.00%

The current 90-days correlation between Fam Value Fund and Qs Small Capitalization is 0.79 (i.e., Poor diversification). The correlation of Fam 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.

Fam Value Correlation With Market

Very poor diversification

The correlation between Fam Value Fund and DJI is 0.81 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Fam Value Fund and DJI in the same portfolio, assuming nothing else is changed.

Check out Investing Opportunities to better understand how to build diversified portfolios, which includes a position in Fam Value Fund. 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 interest.

Moving together with Fam Mutual Fund

0.83	FAMFX	Fam Small Cap	Pair Corr
0.94	FAMEX	Fam Equity Income	Pair Corr
0.87	FAMDX	Fam Small Cap	Pair Corr
0.9	FAMVX	Fam Value Fund	Pair Corr

Moving against Fam Mutual Fund

0.74	VSEMX	Vanguard Extended Market	Pair Corr
0.66	SMPSX	Semiconductor Ultrasector	Pair Corr
0.58	SMPIX	Semiconductor Ultrasector	Pair Corr
0.56	RSNRX	Victory Global Natural	Pair Corr
0.52	RSNYX	Victory Global Natural	Pair Corr
0.72	PRSAX	T Rowe Price	Pair Corr
0.69	DABMX	Dreyfus Yield Enhancement	Pair Corr
0.66	DVCTX	Delaware Tax Free	Pair Corr
0.62	DRRIX	Dreyfus Global Real	Pair Corr
0.56	RNECX	Rationalrgn Hedged Equity	Pair Corr
0.54	RAMHX	American Balanced	Pair Corr
0.53	MDBYX	Massmutual Premier	Pair Corr
0.53	FTBAX	Fa529 Tl Pt	Pair Corr
0.46	RGNCX	Victory Global Natural	Pair Corr
0.44	SEACX	Steward Select Bond	Pair Corr
0.43	CSXAX	Calvert Large Cap	Pair Corr
0.32	RAATX	American Funds 2010	Pair Corr
0.32	SASDX	Saat Aggressive Strategy	Pair Corr
0.31	SEFCX	Sit International Equity	Pair Corr
0.76	CMGUX	Cmg Ultra Short	Pair Corr
0.76	PFANX	Pimco Capital Sec	Pair Corr

Related Correlations Analysis

	LMBMX	PHTYX	TVOYX	NESGX	QUAIX	QLSGX	QSERX
LMBMX		0.81	0.43	0.63	0.85	0.91	0.95	LMBMX
PHTYX	0.81		0.17	0.72	0.59	0.76	0.77	PHTYX
TVOYX	0.43	0.17		-0.17	0.48	0.28	0.28	TVOYX
NESGX	0.63	0.72	-0.17		0.62	0.77	0.74	NESGX
QUAIX	0.85	0.59	0.48	0.62		0.93	0.88	QUAIX
QLSGX	0.91	0.76	0.28	0.77	0.93		0.97	QLSGX
QSERX	0.95	0.77	0.28	0.74	0.88	0.97		QSERX
	LMBMX	PHTYX	TVOYX	NESGX	QUAIX	QLSGX	QSERX

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

QSERX	+ 0.97	QLSGX
QSERX	+ 0.95	LMBMX
QLSGX	+ 0.93	QUAIX
QLSGX	+ 0.91	LMBMX
QSERX	+ 0.88	QUAIX
QUAIX	+ 0.85	LMBMX

High negative correlations

NESGX

- 0.17

TVOYX

Risk-Adjusted Indicators

There is a big difference between Fam Mutual Fund performing well and Fam 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 Fam 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
LMBMX	0.93	0.02	0.03	0.06	1.07	(1.00)	2.20	(1.89)	5.49
PHTYX	0.47	0.02	0.01	0.07	0.64	(0.47)	1.02	(1.00)	3.22
TVOYX	0.80	(0.01)	0.00	0.05	0.87	(0.92)	1.80	(1.40)	4.51
NESGX	1.56	0.02	(0.02)	(0.14)	2.12	(1.64)	3.08	(3.84)	10.97
QUAIX	1.12	(0.02)	0.01	0.04	1.56	(1.07)	2.51	(2.38)	7.26
QLSGX	1.05	0.00	0.02	0.05	1.38	(1.08)	2.47	(2.53)	6.39
QSERX	0.96	0.00	0.02	0.05	1.23	(1.02)	2.28	(2.18)	5.80

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