Pzena Mid Correlations

PZIMX Fund

USD 15.09 0.09 0.60%

The current 90-days correlation between Pzena Mid Cap and Blackrock Moderate Prepared is 0.22 (i.e., Modest diversification). The correlation of Pzena Mid 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.

Pzena Mid Correlation With Market

Modest diversification

The correlation between Pzena Mid Cap and DJI is 0.2 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Pzena Mid Cap 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 Pzena Mid Cap. 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 population.

Moving together with Pzena Mutual Fund

0.89	PZISX	Pzena Small Cap	Pair Corr
0.89	PZVSX	Pzena Small Cap	Pair Corr
1.0	PZVMX	Pzena Mid Cap	Pair Corr
0.65	VMVIX	Vanguard Mid Cap	Pair Corr
0.65	JMVYX	Jpmorgan Mid Cap	Pair Corr
0.63	RMQAX	Monthly Rebalance Upward Rally	Pair Corr
0.63	RMQHX	Monthly Rebalance Upward Rally	Pair Corr
0.63	RMQCX	Monthly Rebalance Upward Rally	Pair Corr
0.62	MMDEX	Praxis Growth Index	Pair Corr
0.64	SCQGX	Deutsche Large Cap	Pair Corr
0.67	RNNEX	New Economy Fund	Pair Corr
0.69	JHTRX	Jpmorgan Hedged Equity	Pair Corr
0.66	VTSAX	Vanguard Total Stock	Pair Corr
0.67	QMHIX	Aqr Managed Futures	Pair Corr
0.76	VPRAX	Voya T Rowe	Pair Corr
0.82	GTAIX	Power Global Tactical	Pair Corr

Related Correlations Analysis

	BIMPX	QCEQRX	WBRMEX	SAWMX	SCGCX	TCTZX	FRTCX	EXBAX
BIMPX		0.55	0.5	0.71	0.66	0.88	0.86	0.54	BIMPX
QCEQRX	0.55		0.97	0.82	0.97	0.6	0.53	-0.09	QCEQRX
WBRMEX	0.5	0.97		0.81	0.95	0.61	0.55	-0.07	WBRMEX
SAWMX	0.71	0.82	0.81		0.87	0.68	0.65	0.23	SAWMX
SCGCX	0.66	0.97	0.95	0.87		0.73	0.68	0.08	SCGCX
TCTZX	0.88	0.6	0.61	0.68	0.73		0.98	0.53	TCTZX
FRTCX	0.86	0.53	0.55	0.65	0.68	0.98		0.57	FRTCX
EXBAX	0.54	-0.09	-0.07	0.23	0.08	0.53	0.57		EXBAX
	BIMPX	QCEQRX	WBRMEX	SAWMX	SCGCX	TCTZX	FRTCX	EXBAX

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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

FRTCX	+ 0.98	TCTZX
WBRMEX	+ 0.97	QCEQRX
SCGCX	+ 0.97	QCEQRX
SCGCX	+ 0.95	WBRMEX
TCTZX	+ 0.88	BIMPX
SCGCX	+ 0.87	SAWMX

High negative correlations

EXBAX	- 0.09	QCEQRX
EXBAX	- 0.07	WBRMEX

Risk-Adjusted Indicators

There is a big difference between Pzena Mutual Fund performing well and Pzena Mid 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 Pzena Mid'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
BIMPX	0.24	0.02	(0.20)	0.48	0.15	(0.36)	0.68	(0.52)	1.58
QCEQRX	0.50	0.05	0.06	0.16	0.43	(0.56)	0.98	(0.93)	4.11
WBRMEX	0.66	0.05	0.09	0.13	0.41	(0.73)	1.68	(1.00)	5.20
SAWMX	0.31	0.04	(0.13)	0.61	0.17	(0.42)	0.67	(0.49)	1.80
SCGCX	0.39	0.01	(0.06)	0.11	0.31	(0.47)	0.87	(0.71)	2.67
TCTZX	0.25	(0.01)	(0.23)	0.04	0.26	(0.27)	0.60	(0.48)	1.33
FRTCX	0.20	(0.01)	(0.29)	0.03	0.20	(0.24)	0.38	(0.38)	1.14
EXBAX	0.33	(0.07)	0.00	(0.67)	0.00	0.00	0.41	(0.60)	1.49

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