Pzena International Correlations

PZINX Fund

USD 12.16 0.04 0.33%

The current 90-days correlation between Pzena International Value and Transamerica Intermediate Muni is -0.07 (i.e., Good diversification). The correlation of Pzena International 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.

Pzena International Correlation With Market

Weak diversification

The correlation between Pzena International Value and DJI is 0.32 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Pzena International Value and DJI in the same portfolio, assuming nothing else is changed.

Check out Your Equity Center to better understand how to build diversified portfolios, which includes a position in Pzena International 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 board of governors.

Moving together with Pzena Mutual Fund

0.66	PZIIX	Pzena International Small	Pair Corr
0.67	PZIEX	Pzena Emerging Markets	Pair Corr
0.73	PZIMX	Pzena Mid Cap	Pair Corr
0.68	PZISX	Pzena Small Cap	Pair Corr
0.66	PZVIX	Pzena International Small	Pair Corr
0.66	PZVEX	Pzena Emerging Markets	Pair Corr
0.69	PZVSX	Pzena Small Cap	Pair Corr
0.73	PZVMX	Pzena Mid Cap	Pair Corr
0.84	DOXFX	Dodge Cox International	Pair Corr
0.99	OANIX	Oakmark International	Pair Corr
0.63	DODFX	Dodge International Stock	Pair Corr
0.65	OAKIX	Oakmark International	Pair Corr
0.99	OAYIX	Oakmark International	Pair Corr
0.86	OAZIX	Oakmark International	Pair Corr
0.97	FINVX	Fidelity Series Inte	Pair Corr
0.99	VTRIX	Vanguard International	Pair Corr
0.84	RRIGX	T Rowe Price	Pair Corr
0.62	PFN	Pimco Income Strategy	Pair Corr
0.65	NXJ	Nuveen New Jersey	Pair Corr
0.97	RAGIX	Riverfront Asset All	Pair Corr
0.65	FTXNX	Fuller Thaler Behavioral	Pair Corr
0.97	MCTRX	Mainstay Income Builder	Pair Corr
0.69	CRDUX	Blackrock Credit Str	Pair Corr
0.97	TSNAX	Touchstone Sands Capital	Pair Corr
0.71	AUUYX	Ab Select Equity	Pair Corr
0.83	PKAIX	Pimco Rae Fundamental	Pair Corr
0.69	QUAZX	Ab Small Cap	Pair Corr
0.82	TDFAX	Transamerica Dividend	Pair Corr
0.75	FLRAX	Nuveen Large Cap	Pair Corr

Moving against Pzena Mutual Fund

0.56	XNBHX	Neuberger Berman Int	Pair Corr
0.48	XDSMX	Dreyfus Strategic	Pair Corr
0.31	XPPRX	Voya Prime Rate	Pair Corr

Related Correlations Analysis

	TIMTX	SSAGX	SMAAX	JHSFX	ATOAX	AUNCX	OWMBX
TIMTX		0.75	0.9	0.88	0.82	0.86	0.86	TIMTX
SSAGX	0.75		0.93	0.95	0.95	0.77	0.94	SSAGX
SMAAX	0.9	0.93		0.99	0.96	0.89	0.98	SMAAX
JHSFX	0.88	0.95	0.99		0.97	0.86	0.98	JHSFX
ATOAX	0.82	0.95	0.96	0.97		0.82	0.94	ATOAX
AUNCX	0.86	0.77	0.89	0.86	0.82		0.89	AUNCX
OWMBX	0.86	0.94	0.98	0.98	0.94	0.89		OWMBX
	TIMTX	SSAGX	SMAAX	JHSFX	ATOAX	AUNCX	OWMBX

Click cells to compare fundamentals

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Risk-Adjusted Indicators

There is a big difference between Pzena Mutual Fund performing well and Pzena International 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 Pzena International'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	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
TIMTX	0.14	0.02	(0.53)	(0.63)	(0.19)	0.29	(0.29)	1.17
SSAGX	0.06	0.01	(1.17)	0.49	(0.18)	0.10	(0.10)	0.61
SMAAX	0.11	0.04	(0.50)	(4.33)	(0.17)	0.30	(0.10)	0.92
JHSFX	0.10	0.03	(0.74)	19.85	(0.16)	0.30	(0.10)	0.70
ATOAX	0.02	0.00	0.00	0.42	0.00	0.00	0.00	0.30
AUNCX	0.13	0.02	(0.52)	1.16	(0.16)	0.28	(0.19)	1.15
OWMBX	0.08	0.02	(0.76)	1.53	(0.12)	0.18	(0.18)	0.44

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