Avantis Us Correlations

ALCEX Fund

15.37 0.05 0.33%

The current 90-days correlation between Avantis Large Cap and Aqr Long Short Equity is 0.55 (i.e., Very weak diversification). The correlation of Avantis Us 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.

Avantis Us Correlation With Market

Almost no diversification

The correlation between Avantis Large Cap and DJI is 0.93 (i.e., Almost no diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Avantis Large Cap and DJI in the same portfolio, assuming nothing else is changed.

Check out Trending Equities to better understand how to build diversified portfolios, which includes a position in Avantis Large Cap. 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 Avantis Mutual Fund

0.98	AVCNX	American Century Etf	Pair Corr
1.0	AVLVX	American Century Etf	Pair Corr
0.98	AVUVX	Avantis Small Cap	Pair Corr
1.0	AVUSX	Avantis Equity	Pair Corr
1.0	AVUNX	Avantis Equity	Pair Corr
0.96	VVIAX	Vanguard Value Index	Pair Corr
0.98	DOXGX	Dodge Cox Stock	Pair Corr
0.88	AFMFX	American Mutual	Pair Corr
0.88	FFMMX	American Funds American	Pair Corr
0.88	FFFMX	American Funds American	Pair Corr
0.87	AMRMX	American Mutual	Pair Corr
0.87	AMFFX	American Mutual	Pair Corr
0.86	AMFCX	American Mutual	Pair Corr
0.98	DODGX	Dodge Stock Fund	Pair Corr
0.96	VIVAX	Vanguard Value Index	Pair Corr
0.98	VTSAX	Vanguard Total Stock	Pair Corr
0.97	VFIAX	Vanguard 500 Index	Pair Corr
0.98	VTSMX	Vanguard Total Stock	Pair Corr
0.98	VSMPX	Vanguard Total Stock	Pair Corr
0.98	VSTSX	Vanguard Total Stock	Pair Corr
0.98	VITSX	Vanguard Total Stock	Pair Corr
0.97	VFINX	Vanguard 500 Index	Pair Corr
0.97	VFFSX	Vanguard 500 Index	Pair Corr
0.93	LCGNX	William Blair Large	Pair Corr
0.92	BDJ	Blackrock Enhanced Equity	Pair Corr
0.8	TSGHX	Tiaa Cref Lifestyle	Pair Corr
0.95	WWLAX	Westwood Largecap Value	Pair Corr

Moving against Avantis Mutual Fund

0.71	AVBNX	American Century Etf	Pair Corr
0.7	AVIGX	American Century Etf	Pair Corr
0.59	AVGNX	Avantis Short Term	Pair Corr
0.59	AVSFX	Avantis Short Term	Pair Corr
0.5	AVDEX	Avantis International	Pair Corr
0.49	AVDNX	Avantis International	Pair Corr
0.32	AVDVX	Avantis International	Pair Corr
0.31	AVANX	Avantis International	Pair Corr

Related Correlations Analysis

	QLENX	RSDIX	GDICX	ASCLX	LCSAX	GTLSX	SUSAX
QLENX		-0.2	-0.44	0.86	-0.82	0.93	0.71	QLENX
RSDIX	-0.2		0.89	-0.24	0.4	-0.17	0.2	RSDIX
GDICX	-0.44	0.89		-0.48	0.72	-0.41	-0.21	GDICX
ASCLX	0.86	-0.24	-0.48		-0.79	0.82	0.76	ASCLX
LCSAX	-0.82	0.4	0.72	-0.79		-0.72	-0.74	LCSAX
GTLSX	0.93	-0.17	-0.41	0.82	-0.72		0.68	GTLSX
SUSAX	0.71	0.2	-0.21	0.76	-0.74	0.68		SUSAX
	QLENX	RSDIX	GDICX	ASCLX	LCSAX	GTLSX	SUSAX

Click cells to compare fundamentals

Check Volatility

Backtest Portfolio

Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

GTLSX	+ 0.93	QLENX
GDICX	+ 0.89	RSDIX
ASCLX	+ 0.86	QLENX
GTLSX	+ 0.82	ASCLX
SUSAX	+ 0.76	ASCLX
LCSAX	+ 0.72	GDICX

High negative correlations

LCSAX	- 0.82	QLENX
LCSAX	- 0.79	ASCLX
SUSAX	- 0.74	LCSAX
GTLSX	- 0.72	LCSAX
ASCLX	- 0.48	GDICX
GDICX	- 0.44	QLENX

Risk-Adjusted Indicators

There is a big difference between Avantis Mutual Fund performing well and Avantis Us 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 Avantis Us' 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
QLENX	0.33	0.05	(0.09)	0.27	0.20	(0.40)	0.76	(0.57)	2.17
RSDIX	0.08	0.01	(0.90)	(0.03)	0.00	(0.16)	0.21	(0.10)	0.72
GDICX	0.08	0.00	(0.70)	(0.39)	0.05	(0.13)	0.21	(0.10)	0.82
ASCLX	0.37	0.00	(0.09)	0.13	0.35	(0.41)	0.77	(0.93)	2.91
LCSAX	0.25	(0.06)	0.00	(1.72)	0.00	0.00	0.33	(0.54)	1.48
GTLSX	0.31	0.00	(0.21)	0.14	0.22	(0.38)	0.71	(0.50)	2.57
SUSAX	0.06	0.01	(1.13)	(0.61)	0.00	(0.15)	0.10	(0.10)	0.51

Macroaxis helps investors of all levels and skills to maximize the upside of all their holdings and minimize the risk associated with market volatility, economic swings, and company-specific events. View terms and conditions

Feedback Blog

Made with optimal in San Francisco

2024 Macroaxis LLC