Davenport Core Correlations

DAVPX Fund

USD 35.31 0.03 0.09%

The current 90-days correlation between Davenport E Fund and Davenport Value Income is 0.67 (i.e., Poor diversification). The correlation of Davenport Core 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.

Davenport Core Correlation With Market

Poor diversification

The correlation between Davenport E Fund and DJI is 0.74 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Davenport E Fund and DJI in the same portfolio, assuming nothing else is changed.

Check out Investing Opportunities to better understand how to build diversified portfolios, which includes a position in Davenport E Fund. 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 american community survey.

Moving together with Davenport Mutual Fund

0.85	DSCPX	Davenport Small Cap	Pair Corr
0.74	DBUYX	Davenport Insider Buying	Pair Corr
0.95	DEOPX	Davenport Equity Opp	Pair Corr
0.78	VTSAX	Vanguard Total Stock	Pair Corr
0.96	VFIAX	Vanguard 500 Index	Pair Corr
0.78	VTSMX	Vanguard Total Stock	Pair Corr
0.95	VITSX	Vanguard Total Stock	Pair Corr
0.78	VSMPX	Vanguard Total Stock	Pair Corr
0.78	VSTSX	Vanguard Total Stock	Pair Corr
0.79	VFINX	Vanguard 500 Index	Pair Corr
0.79	VFFSX	Vanguard 500 Index	Pair Corr
0.94	VINIX	Vanguard Institutional	Pair Corr
0.94	VIIIX	Vanguard Institutional	Pair Corr
0.77	FTYPX	Fidelity Freedom Index	Pair Corr
0.74	FFBTX	Fidelity Freedom Blend	Pair Corr
0.66	GCAVX	Gmo Small Cap	Pair Corr
0.88	GQLOX	Gmo Quality Fund	Pair Corr
0.76	GMCQX	Gmo Equity Allocation	Pair Corr
0.61	HWACX	Hotchkis Wiley Value	Pair Corr
0.73	PGLSX	Global Multi Strategy	Pair Corr

Moving against Davenport Mutual Fund

0.55	GAAVX	Gmo Alternative Allo	Pair Corr
0.33	GABFX	Gmo Asset Allocation	Pair Corr

Related Correlations Analysis

	DVIPX	DEOPX	DSCPX	DAVPX	DBALX	DBUYX	FLDZX	MNDVUX	NAWCX
DVIPX		0.26	0.01	0.43	0.99	-0.04	0.63	0.81	0.84	DVIPX
DEOPX	0.26		0.95	0.95	0.18	0.86	-0.49	0.59	-0.25	DEOPX
DSCPX	0.01	0.95		0.85	-0.07	0.92	-0.7	0.39	-0.5	DSCPX
DAVPX	0.43	0.95	0.85		0.36	0.74	-0.3	0.69	-0.06	DAVPX
DBALX	0.99	0.18	-0.07	0.36		-0.15	0.7	0.75	0.88	DBALX
DBUYX	-0.04	0.86	0.92	0.74	-0.15		-0.69	0.39	-0.54	DBUYX
FLDZX	0.63	-0.49	-0.7	-0.3	0.7	-0.69		0.21	0.91	FLDZX
MNDVUX	0.81	0.59	0.39	0.69	0.75	0.39	0.21		0.47	MNDVUX
NAWCX	0.84	-0.25	-0.5	-0.06	0.88	-0.54	0.91	0.47		NAWCX
	DVIPX	DEOPX	DSCPX	DAVPX	DBALX	DBUYX	FLDZX	MNDVUX	NAWCX

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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

DBALX	+ 0.99	DVIPX
DSCPX	+ 0.95	DEOPX
DAVPX	+ 0.95	DEOPX
DBUYX	+ 0.92	DSCPX
NAWCX	+ 0.91	FLDZX
NAWCX	+ 0.88	DBALX

High negative correlations

FLDZX	- 0.7	DSCPX
FLDZX	- 0.69	DBUYX
NAWCX	- 0.54	DBUYX
NAWCX	- 0.5	DSCPX
FLDZX	- 0.49	DEOPX
FLDZX	- 0.3	DAVPX

Risk-Adjusted Indicators

There is a big difference between Davenport Mutual Fund performing well and Davenport Core 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 Davenport Core'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
DVIPX	0.63	0.03	0.07	(0.01)	0.85	(0.65)	1.13	(1.40)	3.04
DEOPX	0.89	(0.08)	0.00	(0.16)	0.00	0.00	1.54	(2.09)	4.37
DSCPX	0.87	(0.15)	0.00	(0.24)	0.00	0.00	1.45	(1.88)	4.29
DAVPX	0.77	(0.04)	0.00	(0.11)	0.00	0.00	1.39	(1.79)	4.61
DBALX	0.37	0.01	0.11	(0.02)	0.51	(0.39)	0.68	(0.97)	1.87
DBUYX	0.68	(0.10)	0.00	(0.21)	0.00	0.00	1.10	(1.46)	3.45
FLDZX	0.08	0.01	0.55	0.63	0.00	(0.17)	0.22	(0.11)	0.67
MNDVUX	0.66	0.08	0.12	0.06	0.82	(0.66)	1.23	(1.22)	3.65
NAWCX	0.53	0.09	0.17	0.11	0.62	(0.57)	1.06	(0.94)	2.33

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