Boston Partners Correlations
| BPAVX Fund | USD 31.14 0.07 0.22% |
The current 90-days correlation between Boston Partners All and Large Cap E is 0.94 (i.e., Almost no diversification). The correlation of Boston Partners 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.
Boston Partners Correlation With Market
Very poor diversification
The correlation between Boston Partners All Cap and DJI is 0.8 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Boston Partners All Cap and DJI in the same portfolio, assuming nothing else is changed.
Boston |
Moving together with Boston Mutual Fund
| 0.61 | BELSX | Boston Partners Emerging | PairCorr |
| 1.0 | BPAIX | Boston Partners All | PairCorr |
| 0.95 | BPIRX | Boston Partners Longshort | PairCorr |
| 0.93 | BPLEX | Boston Partners Longshort | PairCorr |
| 0.93 | BPLSX | Boston Partners Longshort | PairCorr |
| 0.94 | BPRRX | Boston Partners Longshort | PairCorr |
| 0.64 | BPSIX | Boston Partners Small | PairCorr |
| 0.99 | VVIAX | Vanguard Value Index | PairCorr |
| 0.91 | DOXGX | Dodge Cox Stock | PairCorr |
| 0.96 | AFMFX | American Mutual | PairCorr |
| 0.96 | FFMMX | American Funds American | PairCorr |
| 0.96 | FFFMX | American Funds American | PairCorr |
| 0.96 | AMRMX | American Mutual | PairCorr |
| 0.81 | AMFFX | American Mutual | PairCorr |
| 0.96 | AMFCX | American Mutual | PairCorr |
| 0.96 | DODGX | Dodge Stock Fund | PairCorr |
| 0.99 | VIVAX | Vanguard Value Index | PairCorr |
| 0.91 | FTYPX | Fidelity Freedom Index | PairCorr |
| 0.89 | FFBTX | Fidelity Freedom Blend | PairCorr |
| 0.89 | GQLOX | Gmo Quality Fund | PairCorr |
| 0.68 | GHVIX | Gmo High Yield | PairCorr |
| 0.66 | TISLX | Transamerica Funds | PairCorr |
| 0.65 | SFGCX | Guggenheim World Equity | PairCorr |
Related Correlations Analysis
| 0.86 | 0.83 | 0.69 | 0.78 | GTLOX | ||
| 0.86 | 0.73 | 0.69 | 0.88 | PARWX | ||
| 0.83 | 0.73 | 0.22 | 0.83 | HFMDX | ||
| 0.69 | 0.69 | 0.22 | 0.42 | BPAIX | ||
| 0.78 | 0.88 | 0.83 | 0.42 | PARMX | ||
| Click cells to compare fundamentals | Check Volatility | Backtest Portfolio |
Risk-Adjusted Indicators
There is a big difference between Boston Mutual Fund performing well and Boston Partners 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 Boston Partners' 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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| GTLOX | 0.74 | (0.06) | 0.00 | (0.06) | 0.00 | 1.24 | 3.39 | |||
| PARWX | 0.73 | (0.07) | 0.00 | 0.32 | 0.00 | 1.32 | 3.61 | |||
| HFMDX | 0.99 | (0.18) | 0.00 | 0.83 | 0.00 | 1.69 | 4.28 | |||
| BPAIX | 0.64 | 0.02 | 0.02 | 0.03 | 0.86 | 1.30 | 2.92 | |||
| PARMX | 0.80 | (0.16) | 0.00 | 0.60 | 0.00 | 1.50 | 3.90 |