Lsv Value Correlations

LSVEX Fund

USD 28.00 0.29 1.03%

The current 90-days correlation between Lsv Value Equity and Nova Fund Class is -0.18 (i.e., Good 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

Almost no diversification

The correlation between Lsv Value Equity and DJI is 0.92 (i.e., Almost no 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 income.

Moving together with Lsv Mutual Fund

0.96	LSVFX	Lsv Global Managed	Pair Corr
0.97	LSVGX	Lsv Global Value	Pair Corr
0.99	LSVQX	Lsv Small Cap	Pair Corr
0.94	LSVZX	Lsv Emerging Markets	Pair Corr
1.0	LVAEX	Lsv Value Equity	Pair Corr
0.99	LVAQX	Lsv Small Cap	Pair Corr
0.99	VVIAX	Vanguard Value Index	Pair Corr
0.99	DOXGX	Dodge Cox Stock	Pair Corr
0.95	AFMFX	American Mutual	Pair Corr
0.98	FFMMX	American Funds American	Pair Corr
0.98	FFFMX	American Funds American	Pair Corr
0.95	AMRMX	American Mutual	Pair Corr
0.95	AMFFX	American Mutual	Pair Corr
0.95	AMFCX	American Mutual	Pair Corr
0.99	DODGX	Dodge Stock Fund	Pair Corr
0.99	VIVAX	Vanguard Value Index	Pair Corr
0.93	PFN	Pimco Income Strategy	Pair Corr
0.95	CIF	Mfs Intermediate High	Pair Corr
0.92	PCF	Putnam High Income	Pair Corr
0.89	MEQAX	International Value	Pair Corr
0.97	TEGIX	Mid Cap Growth	Pair Corr
0.91	VDIGX	Vanguard Dividend Growth	Pair Corr
0.92	MQGIX	Mfs International Growth	Pair Corr

Moving against Lsv Mutual Fund

0.57	XNBHX	Neuberger Berman Int	Pair Corr
0.5	XDSMX	Dreyfus Strategic	Pair Corr

Related Correlations Analysis

	RYANX	SEDAX	DBELX	ARDBX	TBLDX	ASTIX
RYANX		0.95	0.93	0.97	1.0	1.0	RYANX
SEDAX	0.95		0.99	0.98	0.96	0.95	SEDAX
DBELX	0.93	0.99		0.97	0.95	0.93	DBELX
ARDBX	0.97	0.98	0.97		0.97	0.96	ARDBX
TBLDX	1.0	0.96	0.95	0.97		1.0	TBLDX
ASTIX	1.0	0.95	0.93	0.96	1.0		ASTIX
	RYANX	SEDAX	DBELX	ARDBX	TBLDX	ASTIX

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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
RYANX	0.93	0.48	0.15	(1.27)	0.73	(1.09)	3.05	(1.26)	7.33
SEDAX	0.18	0.07	(0.61)	0.88	0.00	(0.27)	0.45	(0.33)	1.25
DBELX	0.22	0.08	(0.43)	1.39	0.00	(0.32)	0.46	(0.33)	1.75
ARDBX	0.44	0.11	(0.07)	0.56	0.00	(0.55)	1.23	(0.81)	2.52
TBLDX	0.28	0.14	(0.23)	(2.03)	0.00	(0.35)	0.99	(0.57)	2.03
ASTIX	0.33	0.16	(0.21)	(1.13)	0.15	(0.41)	0.87	(0.46)	2.70

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