Value Fund Correlations
| AVLIX Fund | USD 8.18 0.09 1.11% |
The current 90-days correlation between Value Fund I and Mid Cap Value is 0.98 (i.e., Almost no diversification). 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
Poor diversification
The correlation between Value Fund I and DJI is 0.64 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Value Fund I and DJI in the same portfolio, assuming nothing else is changed.
Value |
Moving together with Value Mutual Fund
| 0.99 | AMDVX | Mid Cap Value | PairCorr |
| 0.85 | AMGIX | Income Growth | PairCorr |
| 0.76 | CDBCX | Diversified Bond | PairCorr |
| 1.0 | TWADX | Value Fund A | PairCorr |
| 0.72 | TWCCX | Ultra Fund C | PairCorr |
| 0.72 | TWCAX | Select Fund A | PairCorr |
| 0.71 | TWCIX | Select Fund Investor | PairCorr |
| 0.75 | TWCGX | Growth Fund Investor | PairCorr |
| 0.99 | AMVYX | Mid Cap Value | PairCorr |
| 0.99 | AMVRX | Mid Cap Value | PairCorr |
| 0.76 | TWBIX | Balanced Fund Investor | PairCorr |
| 0.99 | AMVGX | Mid Cap Value | PairCorr |
| 1.0 | TWEAX | Equity Income | PairCorr |
| 1.0 | TWEIX | Equity Income | PairCorr |
| 0.74 | TWGIX | Growth Fund I | PairCorr |
| 0.97 | TWGGX | Global Growth | PairCorr |
| 0.91 | TWHIX | Heritage Fund Investor | PairCorr |
| 0.78 | TWRCX | Growth Fund C | PairCorr |
| 0.81 | TWTCX | Intermediate Term Tax | PairCorr |
| 0.77 | TWTIX | Intermediate Term Tax | PairCorr |
| 0.88 | TWSCX | Strategic Allocation | PairCorr |
| 0.88 | TWSAX | Strategic Allocation | PairCorr |
| 0.89 | TWSMX | Strategic Allocation | PairCorr |
| 0.7 | TWSIX | Select Fund I | PairCorr |
| 1.0 | TWVLX | Value Fund Investor | PairCorr |
| 0.66 | TWUAX | Ultra Fund A | PairCorr |
| 0.64 | TWUIX | Ultra Fund I | PairCorr |
| 0.77 | TWWOX | Intermediate Term Tax | PairCorr |
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 Deviation | Jensen Alpha | Sortino Ratio | Treynor Ratio | Semi Deviation | Expected Shortfall | Potential Upside | Value @Risk | Maximum Drawdown | ||
|---|---|---|---|---|---|---|---|---|---|---|
| AMDVX | 0.67 | (0.13) | 0.00 | (0.15) | 0.00 | 1.11 | 7.12 | |||
| AMEIX | 0.66 | (0.06) | 0.00 | (0.14) | 0.00 | 1.19 | 3.95 | |||
| AMGIX | 0.53 | (0.07) | 0.00 | (0.14) | 0.00 | 1.00 | 2.94 | |||
| AMKIX | 0.67 | 0.00 | 0.02 | (0.01) | 0.98 | 1.27 | 3.52 | |||
| ADRVX | 0.24 | 0.00 | 0.07 | (0.01) | 0.26 | 0.45 | 1.45 | |||
| ADRRX | 1.60 | (0.50) | 0.00 | (0.19) | 0.00 | 1.64 | 34.04 | |||
| ADSIX | 1.55 | (0.46) | 0.00 | (0.19) | 0.00 | 1.67 | 31.49 | |||
| ADVYX | 0.24 | 0.01 | 0.08 | 0.04 | 0.26 | 0.45 | 1.45 | |||
| ADVRX | 0.24 | 0.00 | 0.06 | 0.00 | 0.27 | 0.55 | 1.45 |