Pzena International Correlations

PZINX Fund

USD 10.99 0.06 0.54%

The current 90-days correlation between Pzena International Value and Morningstar Defensive Bond is 0.27 (i.e., Modest diversification). The correlation of Pzena International 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 International Correlation With Market

Average diversification

The correlation between Pzena International Value and DJI is 0.1 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Pzena International Value 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 International Value. 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 board of governors.

Moving together with Pzena Mutual Fund

0.89	PZIIX	Pzena International Small	Pair Corr
0.65	PZIEX	Pzena Emerging Markets	Pair Corr
0.89	PZVIX	Pzena International Small	Pair Corr
0.65	PZVEX	Pzena Emerging Markets	Pair Corr
1.0	PZVNX	Pzena International Value	Pair Corr
0.91	DOXFX	Dodge Cox International	Pair Corr
0.92	OANIX	Oakmark International	Pair Corr
0.98	DODFX	Dodge International Stock	Pair Corr
0.96	OAKIX	Oakmark International	Pair Corr
0.92	OAYIX	Oakmark International Potential Growth	Pair Corr
0.92	OAZIX	Oakmark International	Pair Corr
0.89	FINVX	Fidelity Series Inte	Pair Corr
0.93	VTRIX	Vanguard International	Pair Corr
0.92	RRIGX	T Rowe Price	Pair Corr
0.61	NXJ	Nuveen New Jersey	Pair Corr

Moving against Pzena Mutual Fund

0.52	PZISX	Pzena Small Cap	Pair Corr
0.52	PZVSX	Pzena Small Cap	Pair Corr
0.64	SPPIX	Short Precious Metals	Pair Corr
0.58	CMGIX	Blackrock Mid Cap	Pair Corr
0.54	XPPRX	Voya Prime Rate	Pair Corr
0.54	VTSMX	Vanguard Total Stock	Pair Corr
0.53	JGRJX	Jpmorgan Growth Advantage	Pair Corr
0.52	GCEQX	Green Century Equity	Pair Corr
0.51	GAB	Gabelli Equity Trust	Pair Corr
0.51	VFFSX	Vanguard 500 Index	Pair Corr
0.51	ANOIX	Small Cap Growth	Pair Corr
0.5	VFIAX	Vanguard 500 Index	Pair Corr
0.49	RGAFX	Growth Fund	Pair Corr
0.47	XNKGX	Nuveen Georgia Quality	Pair Corr
0.43	JGLTX	Global Technology	Pair Corr
0.4	PCF	Putnam High Income	Pair Corr

Related Correlations Analysis

	MSTBX	ANAGX	PHDTX	DHGCX	TPYYX	AFB	CFNLX
MSTBX		0.95	-0.28	0.88	0.43	0.8	0.78	MSTBX
ANAGX	0.95		-0.23	0.94	0.46	0.82	0.86	ANAGX
PHDTX	-0.28	-0.23		-0.06	0.33	-0.16	0.17	PHDTX
DHGCX	0.88	0.94	-0.06		0.48	0.77	0.88	DHGCX
TPYYX	0.43	0.46	0.33	0.48		0.46	0.6	TPYYX
AFB	0.8	0.82	-0.16	0.77	0.46		0.82	AFB
CFNLX	0.78	0.86	0.17	0.88	0.6	0.82		CFNLX
	MSTBX	ANAGX	PHDTX	DHGCX	TPYYX	AFB	CFNLX

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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

ANAGX	+ 0.95	MSTBX
DHGCX	+ 0.94	ANAGX
DHGCX	+ 0.88	MSTBX
CFNLX	+ 0.88	DHGCX
CFNLX	+ 0.86	ANAGX
AFB	+ 0.82	ANAGX

High negative correlations

PHDTX	- 0.28	MSTBX
PHDTX	- 0.23	ANAGX
AFB	- 0.16	PHDTX
DHGCX	- 0.06	PHDTX

Risk-Adjusted Indicators

There is a big difference between Pzena Mutual Fund performing well and Pzena International 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 International'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	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
MSTBX	0.09	(0.02)	0.00	(0.75)	0.00	0.20	(0.21)	0.72
ANAGX	0.17	(0.03)	0.00	(9.16)	0.00	0.29	(0.29)	1.01
PHDTX	0.09	0.03	(0.45)	0.54	(0.14)	0.22	(0.11)	0.56
DHGCX	0.15	(0.02)	0.00	(0.39)	0.00	0.31	(0.25)	0.96
TPYYX	0.77	(0.04)	0.00	(0.16)	0.00	1.21	(1.30)	5.39
AFB	0.50	(0.01)	0.00	0.35	0.00	0.90	(0.95)	2.79
CFNLX	0.12	(0.01)	0.00	0.19	0.00	0.22	(0.32)	1.13

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