Value Fund Correlations

Mutual Funds . USA . 
Fund . Value Fund Value
UIVAX Fund  USD 19.93  0.10  0.50%   
The current 90-days correlation between Value Fund Value and Vanguard Value Index is 0.99 (i.e., No risk reduction). The correlation of Value Fund 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.

Value Fund Correlation With Market

Almost no diversification

The correlation between Value Fund Value and DJI is 0.97 (i.e., Almost no diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Value Fund Value and DJI in the same portfolio, assuming nothing else is changed.
  
Check out World Market Map to better understand how to build diversified portfolios, which includes a position in Value Fund 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 nation.

Moving together with Value Mutual Fund

  0.96UICGX Capital GrowthPairCorr
  0.95UIEMX Emerging MarketsPairCorr
  0.94UIHIX High Income FundPairCorr
  0.91UIIFX International FundPairCorr
  0.98UIGIX Growth IncomePairCorr
  0.95UIGRX Growth Fund GrowthPairCorr
  0.99UIISX Income StockPairCorr
  0.81UISBX Short Term BondPairCorr
  0.99UISCX Small Cap StockPairCorr
  0.96UIWGX World GrowthPairCorr
  0.61URIFX Income Fund IncomePairCorr
  0.94URHIX High Income FundPairCorr
  0.95URNQX Nasdaq 100 IndexPairCorr
  0.81URSBX Short Term BondPairCorr
  0.85URUSX Ultra Short TermPairCorr
  0.97USPRX Sp 500 IndexPairCorr
  0.94UTMAX Target Managed AllocationPairCorr
  0.87UUSIX Ultra Short TermPairCorr
  0.96UGOFX Global Managed VolatilityPairCorr
  0.94UIAGX Aggressive GrowthPairCorr
  0.99VVIAX Vanguard Value IndexPairCorr
  1.0DOXGX Dodge Cox StockPairCorr
  0.98AFMFX American MutualPairCorr
  0.98FFMMX American Funds AmericanPairCorr
  0.98FFFMX American Funds AmericanPairCorr
  0.99AMRMX American MutualPairCorr
  0.98AMFFX American MutualPairCorr
  0.98AMFCX American MutualPairCorr
  1.0DODGX Dodge Stock FundPairCorr
  0.99VIVAX Vanguard Value IndexPairCorr
  0.84FSMMX Fs Multi StrategyPairCorr
  0.91BTMPX Ishares Msci EafePairCorr
  0.91BTMKX Blackrock InternationalPairCorr

Related Correlations Analysis

Click cells to compare fundamentals   Check Volatility   Backtest Portfolio

Risk-Adjusted Indicators

There is a big difference between Value Mutual Fund performing well and Value Fund 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 Value Fund'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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
VVIAX  0.89 (0.03)(0.02) 0.07  1.52 
(0.86)
 1.56 
(1.87)
 9.18 
DOXGX  0.90 (0.02)(0.01) 0.08  1.61 
(0.86)
 1.64 
(1.65)
 10.68 
AFMFX  0.80  0.02  0.00  0.13  1.44 
(0.81)
 1.54 
(1.78)
 9.18 
FFMMX  0.80  0.02  0.00  0.13  1.44 
(0.81)
 1.52 
(1.76)
 9.19 
FFFMX  0.80  0.02  0.00  0.13  1.44 
(0.81)
 1.56 
(1.79)
 9.15 
AMRMX  0.80  0.01  0.00  0.12  1.42 
(0.83)
 1.55 
(1.79)
 9.17 
AMFFX  0.80  0.02  0.00  0.13  1.44 
(0.81)
 1.53 
(1.77)
 9.12 
AMFCX  0.80  0.02  0.00  0.12  1.44 
(0.81)
 1.53 
(1.79)
 9.15 
DODGX  0.90 (0.02)(0.01) 0.08  1.61 
(0.86)
 1.64 
(1.65)
 10.68 
VIVAX  0.89 (0.03)(0.02) 0.07  1.55 
(0.84)
 1.56 
(1.87)
 9.19 

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