Lsv Value Correlations

LSVEX Fund

USD 26.54 0.15 0.57%

The current 90-days correlation between Lsv Value Equity and Goldman Sachs Small is 0.38 (i.e., Weak 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 weak diversification

The correlation between Lsv Value Equity and DJI is 0.42 (i.e., Very weak 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 consumer price index.

Moving together with Lsv Mutual Fund

0.81	LSVFX	Lsv Global Managed	Pair Corr
0.96	LSVMX	Lsv Managed Volatility	Pair Corr
0.65	LSVQX	Lsv Small Cap	Pair Corr
0.91	LSVVX	Lsv Servative Value	Pair Corr
1.0	LVAEX	Lsv Value Equity	Pair Corr
0.81	LVAFX	Lsv Global Managed	Pair Corr
0.96	LVAMX	Lsv Managed Volatility	Pair Corr
0.65	LVAQX	Lsv Small Cap	Pair Corr
0.91	LVAVX	Lsv Servative Value	Pair Corr
0.62	CIMCX	Income Fund	Pair Corr

Moving against Lsv Mutual Fund

0.37	USPSX	Profunds Ultrashort	Pair Corr
0.37	USPIX	Profunds Ultrashort	Pair Corr
0.32	UIPIX	Ultrashort Mid Cap	Pair Corr

Related Correlations Analysis

	GSXPX	DRSVX	MAVKX	HFMDX	AVCNX	PCSVX	MXLSX
GSXPX		0.69	0.63	0.79	0.72	0.88	0.78	GSXPX
DRSVX	0.69		0.83	0.8	0.77	0.9	0.95	DRSVX
MAVKX	0.63	0.83		0.86	0.9	0.79	0.92	MAVKX
HFMDX	0.79	0.8	0.86		0.83	0.84	0.9	HFMDX
AVCNX	0.72	0.77	0.9	0.83		0.78	0.86	AVCNX
PCSVX	0.88	0.9	0.79	0.84	0.78		0.92	PCSVX
MXLSX	0.78	0.95	0.92	0.9	0.86	0.92		MXLSX
	GSXPX	DRSVX	MAVKX	HFMDX	AVCNX	PCSVX	MXLSX

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
GSXPX	0.93	(0.09)	0.00	(0.02)	0.00	0.00	2.08	(2.04)	5.79
DRSVX	0.78	(0.09)	0.00	(0.03)	0.00	0.00	1.80	(1.42)	4.51
MAVKX	0.76	(0.02)	(0.01)	0.04	0.92	(0.82)	1.75	(1.48)	5.50
HFMDX	1.00	(0.05)	(0.02)	0.02	1.46	(0.93)	1.95	(2.48)	5.29
AVCNX	0.93	0.05	0.05	0.10	1.01	(1.03)	2.49	(1.57)	6.99
PCSVX	0.81	(0.10)	0.00	(0.03)	0.00	0.00	1.72	(1.32)	6.88
MXLSX	0.74	(0.06)	(0.05)	0.00	1.05	(0.73)	1.56	(1.49)	4.09

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