Vy Umbia Correlations

ICVPX Fund

USD 16.37 0.08 0.49%

The current 90-days correlation between Vy Umbia Small and Transamerica Asset Allocation is 0.08 (i.e., Significant diversification). The correlation of Vy Umbia 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.

Vy Umbia Correlation With Market

Poor diversification

The correlation between Vy Umbia Small and DJI is 0.73 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Vy Umbia Small and DJI in the same portfolio, assuming nothing else is changed.

Check out Risk vs Return Analysis to better understand how to build diversified portfolios, which includes a position in Vy Umbia Small. 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 ICVPX Mutual Fund

0.93	VSIIX	Vanguard Small Cap	Pair Corr
0.93	VISVX	Vanguard Small Cap	Pair Corr
0.92	DFSVX	Us Small Cap	Pair Corr
0.91	DFFVX	Us Targeted Value	Pair Corr
0.9	UBVCX	Undiscovered Managers	Pair Corr
0.9	UBVAX	Undiscovered Managers	Pair Corr
0.91	UBVSX	Undiscovered Managers	Pair Corr
0.83	AVFIX	American Beacon Small	Pair Corr
0.74	WRHIX	Ivy High Income	Pair Corr
0.71	WHIAX	Ivy High Income	Pair Corr
0.73	IHIFX	Ivy High Income	Pair Corr
0.74	IVHIX	Ivy High Income	Pair Corr
0.64	TRV	The Travelers Companies	Pair Corr
0.79	CVX	Chevron Corp Fiscal Year End 7th of February 2025	Pair Corr
0.8	AA	Alcoa Corp	Pair Corr
0.61	BAC	Bank of America	Pair Corr

Moving against ICVPX Mutual Fund

0.52

PFE

Pfizer Inc Fiscal Year End 4th of February 2025

Pair Corr

Related Correlations Analysis

	TAAKX	RGELX	DHGCX	SDGIX	TIMXX	RHSAX	LMUSX	OPTCX
TAAKX		0.91	0.66	0.61	0.0	0.89	0.79	0.09	TAAKX
RGELX	0.91		0.71	0.69	0.0	0.94	0.92	0.32	RGELX
DHGCX	0.66	0.71		0.99	0.0	0.63	0.63	0.29	DHGCX
SDGIX	0.61	0.69	0.99		0.0	0.59	0.64	0.4	SDGIX
TIMXX	0.0	0.0	0.0	0.0		0.0	0.0	0.0	TIMXX
RHSAX	0.89	0.94	0.63	0.59	0.0		0.8	0.18	RHSAX
LMUSX	0.79	0.92	0.63	0.64	0.0	0.8		0.55	LMUSX
OPTCX	0.09	0.32	0.29	0.4	0.0	0.18	0.55		OPTCX
	TAAKX	RGELX	DHGCX	SDGIX	TIMXX	RHSAX	LMUSX	OPTCX

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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

SDGIX	+ 0.99	DHGCX
RHSAX	+ 0.94	RGELX
LMUSX	+ 0.92	RGELX
RGELX	+ 0.91	TAAKX
RHSAX	+ 0.89	TAAKX
LMUSX	+ 0.8	RHSAX

High negative correlations

OPTCX	- 0.0	TIMXX
LMUSX	- 0.0	TIMXX
RHSAX	- 0.0	TIMXX
TIMXX	- 0.0	SDGIX
TIMXX	- 0.0	DHGCX
TIMXX	- 0.0	RGELX

Risk-Adjusted Indicators

There is a big difference between ICVPX Mutual Fund performing well and Vy Umbia 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 Vy Umbia'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
TAAKX	0.61	(0.06)	0.00	(0.15)	0.00	0.00	1.01	(1.47)	6.84
RGELX	0.56	(0.04)	0.00	(0.11)	0.00	0.00	1.03	(1.69)	4.33
DHGCX	0.16	(0.02)	0.00	(0.25)	0.00	0.00	0.36	(0.36)	0.99
SDGIX	0.16	(0.01)	0.00	(0.18)	0.00	0.00	0.35	(0.30)	0.94
TIMXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
RHSAX	1.03	(0.07)	0.00	(0.10)	0.00	0.00	2.22	(3.23)	9.80
LMUSX	0.71	0.01	0.00	0.03	1.16	(0.67)	1.27	(1.50)	6.30
OPTCX	0.14	0.02	0.01	0.47	0.00	(0.20)	0.31	(0.31)	1.35

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