Oshaughnessy Market Correlations

OFVIX Fund

USD 19.61 0.23 1.19%

The current 90-days correlation between Oshaughnessy Market and Intermediate Bond Fund is 0.21 (i.e., Modest diversification). The correlation of Oshaughnessy Market 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.

Oshaughnessy Market Correlation With Market

Very weak diversification

The correlation between Oshaughnessy Market Leaders and DJI is 0.41 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Oshaughnessy Market Leaders and DJI in the same portfolio, assuming nothing else is changed.

Check out Your Equity Center to better understand how to build diversified portfolios, which includes a position in Oshaughnessy Market Leaders. 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 gross domestic product.

Moving together with Oshaughnessy Mutual Fund

0.68	VVIAX	Vanguard Value Index	Pair Corr
0.74	AFMFX	American Mutual	Pair Corr
0.74	FFMMX	American Funds American	Pair Corr
0.74	FFFMX	American Funds American	Pair Corr
0.74	AMRMX	American Mutual	Pair Corr
0.74	AMFFX	American Mutual	Pair Corr
0.75	AMFCX	American Mutual	Pair Corr
0.75	DODGX	Dodge Stock Fund	Pair Corr
0.68	VIVAX	Vanguard Value Index	Pair Corr

Moving against Oshaughnessy Mutual Fund

0.32	JSOSX	Jpmorgan Strategic Income	Pair Corr
0.62	UIPIX	Ultrashort Mid Cap	Pair Corr

Related Correlations Analysis

	CBOCX	NUSAX	DLTNX	JAFLX	CRANX
CBOCX		0.72	0.98	0.96	0.98	CBOCX
NUSAX	0.72		0.66	0.59	0.64	NUSAX
DLTNX	0.98	0.66		0.99	1.0	DLTNX
JAFLX	0.96	0.59	0.99		0.99	JAFLX
CRANX	0.98	0.64	1.0	0.99		CRANX
	CBOCX	NUSAX	DLTNX	JAFLX	CRANX

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Risk-Adjusted Indicators

There is a big difference between Oshaughnessy Mutual Fund performing well and Oshaughnessy Market 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 Oshaughnessy Market'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	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
CBOCX	0.17	0.49	0.13	0.16	(0.20)	0.40	(0.32)	0.81
NUSAX	0.03	0.00	0.00	0.00	0.00	0.10	0.00	0.19
DLTNX	0.23	0.37	(0.02)	0.22	(0.33)	0.57	(0.35)	1.40
JAFLX	0.25	0.32	(0.18)	0.28	(0.32)	0.61	(0.41)	1.44
CRANX	0.19	0.40	(0.10)	0.20	(0.24)	0.43	(0.32)	1.08

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