Lsv Value Correlations

LSVEX Fund

USD 29.44 0.20 0.68%

The current 90-days correlation between Lsv Value Equity and Lsv Global Managed is 0.84 (i.e., Very poor diversification). The correlation of Lsv 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.

Lsv Value Correlation With Market

Very poor diversification

The correlation between Lsv Value Equity and DJI is 0.83 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Lsv Value Equity and DJI in the same portfolio, assuming nothing else is changed.

Check out Correlation Analysis to better understand how to build diversified portfolios, which includes a position in Lsv Value Equity. 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 world development indicators.

Moving together with Lsv Mutual Fund

0.61	LSVGX	Lsv Global Value	Pair Corr
0.64	LSVQX	Lsv Small Cap	Pair Corr
0.74	LSVVX	Lsv Servative Value	Pair Corr
0.73	LSVZX	Lsv Emerging Markets	Pair Corr
0.73	LVAEX	Lsv Value Equity	Pair Corr
0.71	LVAGX	Lsv Global Value	Pair Corr
0.97	LVAVX	Lsv Servative Value	Pair Corr
0.75	FWWMX	American Funds Washington	Pair Corr
0.75	FWMMX	American Funds Washington	Pair Corr
0.7	AWSHX	Washington Mutual	Pair Corr
0.7	WSHCX	Washington Mutual	Pair Corr
0.75	WSHFX	Washington Mutual	Pair Corr
0.74	VVIAX	Vanguard Value Index	Pair Corr
0.75	RWMAX	Washington Mutual	Pair Corr
0.7	CWMAX	Washington Mutual	Pair Corr
0.7	RWMGX	Washington Mutual	Pair Corr
0.7	CWMCX	Washington Mutual	Pair Corr
0.69	DABLX	Dreyfus Yield Enhancement	Pair Corr
0.7	FLIFX	Fidelity Freedom Index	Pair Corr
0.66	PDOFX	Prudential Day One	Pair Corr
0.67	ABALX	American Balanced	Pair Corr
0.67	BELSX	Boston Partners Emerging	Pair Corr
0.68	RMGYX	Multi Asset Growth	Pair Corr
0.75	JLKOX	Retirement Living Through	Pair Corr
0.67	FSAMX	Strategic Advisers Potential Growth	Pair Corr
0.64	XDMBX	Dreyfus Municipal Bond	Pair Corr
0.71	VWINX	Vanguard Wellesley Income	Pair Corr
0.65	PCNTX	Putnam Convertible	Pair Corr
0.72	CENCX	American Funds Lege	Pair Corr
0.74	VDADX	Vanguard Dividend	Pair Corr

Related Correlations Analysis

	LSVFX	LSVGX	LSVEX	LSVMX	LSVQX	LSVVX	LSVZX	LVAEX	LVAFX
LSVFX		0.77	0.57	0.97	0.58	0.88	0.2	0.92	1.0	LSVFX
LSVGX	0.77		0.61	0.75	0.31	0.92	0.5	0.87	0.76	LSVGX
LSVEX	0.57	0.61		0.6	0.64	0.74	0.73	0.73	0.56	LSVEX
LSVMX	0.97	0.75	0.6		0.68	0.87	0.13	0.95	0.97	LSVMX
LSVQX	0.58	0.31	0.64	0.68		0.47	0.0	0.61	0.58	LSVQX
LSVVX	0.88	0.92	0.74	0.87	0.47		0.52	0.98	0.87	LSVVX
LSVZX	0.2	0.5	0.73	0.13	0.0	0.52		0.37	0.18	LSVZX
LVAEX	0.92	0.87	0.73	0.95	0.61	0.98	0.37		0.91	LVAEX
LVAFX	1.0	0.76	0.56	0.97	0.58	0.87	0.18	0.91		LVAFX
	LSVFX	LSVGX	LSVEX	LSVMX	LSVQX	LSVVX	LSVZX	LVAEX	LVAFX

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

LVAFX	+ 1.0	LSVFX
LVAEX	+ 0.98	LSVVX
LSVMX	+ 0.97	LSVFX
LVAFX	+ 0.97	LSVMX
LVAEX	+ 0.95	LSVMX
LVAEX	+ 0.92	LSVFX

High negative correlations

LSVZX

- 0.0

LSVQX

Risk-Adjusted Indicators

There is a big difference between Lsv Mutual Fund performing well and Lsv 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 Lsv 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
LSVFX	0.36	0.00	(0.09)	0.09	0.33	(0.44)	0.88	(0.77)	2.49
LSVGX	0.46	0.14	0.05	(1.03)	0.39	(0.56)	1.25	(0.70)	4.44
LSVEX	0.52	(0.02)	(0.02)	0.08	0.53	(0.65)	1.34	(0.75)	4.66
LSVMX	0.43	(0.02)	(0.08)	0.07	0.46	(0.48)	1.16	(0.78)	2.92
LSVQX	0.72	(0.07)	(0.04)	0.04	0.78	(0.91)	1.82	(1.23)	6.53
LSVVX	0.45	0.02	0.03	0.12	0.34	(0.60)	1.15	(0.66)	4.17
LSVZX	0.55	0.10	0.07	0.29	0.52	(0.63)	1.20	(0.73)	3.53
LVAEX	0.51	(0.01)	(0.01)	0.09	0.49	(0.66)	1.32	(0.79)	4.62
LVAFX	0.35	0.00	(0.09)	0.09	0.34	(0.42)	0.88	(0.84)	2.48

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