Pzena International Correlations

PZINX Fund

USD 11.60 0.25 2.20%

The current 90-days correlation between Pzena International Value and Pzena International Small is 0.96 (i.e., Almost no 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

Modest diversification

The correlation between Pzena International Value and DJI is 0.29 (i.e., Modest 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

0.93	PZIIX	Pzena International Small	Pair Corr
0.94	PZIEX	Pzena Emerging Markets	Pair Corr
0.93	PZVIX	Pzena International Small	Pair Corr
0.94	PZVEX	Pzena Emerging Markets	Pair Corr
1.0	PZVNX	Pzena International Value	Pair Corr
0.94	DOXFX	Dodge Cox International	Pair Corr
0.93	OANIX	Oakmark International	Pair Corr
0.77	DODFX	Dodge International Stock	Pair Corr
0.93	OAKIX	Oakmark International	Pair Corr
0.93	OAYIX	Oakmark International	Pair Corr
0.93	OAZIX	Oakmark International	Pair Corr
0.82	FINVX	Fidelity Series Inte	Pair Corr
0.91	VTRIX	Vanguard International	Pair Corr
0.87	RRIGX	T Rowe Price	Pair Corr
0.91	TIEUX	International Equity	Pair Corr
0.83	FIVLX	Fidelity International	Pair Corr
0.87	GCITX	Goldman Sachs Intern	Pair Corr

Moving against Pzena Mutual Fund

0.33

RYCWX

Inverse Dow 2x

Pair Corr

Related Correlations Analysis

	PZIIX	PZIEX	PZINX	PZIMX	PZISX	PZVIX	PZVEX	PZVSX	PZVMX	PZVNX
PZIIX		0.9	0.93	0.37	0.27	1.0	0.9	0.27	0.37	0.93	PZIIX
PZIEX	0.9		0.94	0.57	0.46	0.9	1.0	0.45	0.57	0.94	PZIEX
PZINX	0.93	0.94		0.4	0.27	0.93	0.94	0.27	0.4	1.0	PZINX
PZIMX	0.37	0.57	0.4		0.97	0.38	0.58	0.97	1.0	0.4	PZIMX
PZISX	0.27	0.46	0.27	0.97		0.27	0.47	1.0	0.97	0.28	PZISX
PZVIX	1.0	0.9	0.93	0.38	0.27		0.9	0.27	0.38	0.93	PZVIX
PZVEX	0.9	1.0	0.94	0.58	0.47	0.9		0.46	0.58	0.94	PZVEX
PZVSX	0.27	0.45	0.27	0.97	1.0	0.27	0.46		0.97	0.27	PZVSX
PZVMX	0.37	0.57	0.4	1.0	0.97	0.38	0.58	0.97		0.4	PZVMX
PZVNX	0.93	0.94	1.0	0.4	0.28	0.93	0.94	0.27	0.4		PZVNX
	PZIIX	PZIEX	PZINX	PZIMX	PZISX	PZVIX	PZVEX	PZVSX	PZVMX	PZVNX

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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	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
PZIIX	0.96	0.15	0.12	0.53	1.45	(1.05)	2.37	(1.97)	8.00
PZIEX	0.75	0.09	0.09	1.84	1.32	(0.77)	1.64	(1.57)	7.94
PZINX	1.06	0.15	0.10	0.44	1.58	(1.05)	2.65	(2.06)	9.22
PZIMX	1.26	(0.07)	0.00	0.55	0.00	0.00	2.29	(2.30)	13.51
PZISX	1.61	(0.18)	0.00	1.08	0.00	0.00	2.75	(3.78)	15.28
PZVIX	0.96	0.15	0.12	0.53	1.45	(1.02)	2.38	(1.98)	8.03
PZVEX	0.74	0.08	0.09	1.52	1.36	(0.79)	1.61	(1.58)	7.98
PZVSX	1.61	(0.18)	0.00	1.12	0.00	0.00	2.69	(3.72)	15.32
PZVMX	1.27	(0.07)	0.00	0.56	0.00	0.00	2.34	(2.26)	13.55
PZVNX	1.06	0.14	0.10	0.44	1.58	(1.05)	2.65	(2.06)	9.13

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