Pzena International Correlations

PZVIX Fund

USD 12.14 0.02 0.16%

The current 90-days correlation between Pzena International Small and Pzena International Small is 1.0 (i.e., No risk reduction). 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 Small and DJI is 0.14 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Pzena International Small 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 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 gross domestic product.

Moving together with Pzena Mutual Fund

1.0	PZIIX	Pzena International Small	Pair Corr
0.89	PZINX	Pzena International Value	Pair Corr
0.89	PZVNX	Pzena International Value	Pair Corr
0.87	DISVX	Dfa International Small	Pair Corr
0.95	DFVQX	Dfa International Vector	Pair Corr
0.94	FMNEX	Free Market International	Pair Corr
0.84	OANEX	Oakmark International	Pair Corr
0.84	OAZEX	Oakmark International	Pair Corr
0.84	OAYEX	Oakmark International	Pair Corr
0.85	OAKEX	Oakmark International	Pair Corr
0.8	NHS	Neuberger Berman High	Pair Corr

Moving against Pzena Mutual Fund

0.36	PZISX	Pzena Small Cap	Pair Corr
0.36	PZVSX	Pzena Small Cap	Pair Corr
0.67	TORIX	Tortoise Mlp Pipeline	Pair Corr
0.51	VEXMX	Vanguard Extended Market	Pair Corr
0.5	ITYYX	Invesco Technology	Pair Corr
0.5	AMGCX	Alger Midcap Growth	Pair Corr
0.47	GMRIX	Nationwide Small Cap	Pair Corr
0.47	DIGGX	Invesco Discovery	Pair Corr
0.46	FFEFX	Nuveen Dividend Value	Pair Corr
0.45	PEO	Adams Natural Resources	Pair Corr
0.43	VFIAX	Vanguard 500 Index	Pair Corr
0.37	MMDEX	Praxis Growth Index	Pair Corr
0.35	VWNAX	Vanguard Windsor	Pair Corr
0.34	GTAIX	Power Global Tactical	Pair Corr
0.34	BPTUX	Baron Partners Steady Growth	Pair Corr
0.55	OSPPX	Oppenheimer Steelpath Mlp	Pair Corr
0.53	PLIBX	Plumb Balanced	Pair Corr
0.51	JHTRX	Jpmorgan Hedged Equity	Pair Corr
0.5	VMFXX	Vanguard Federal Money	Pair Corr

Related Correlations Analysis

	PZIIX	PZIEX	PZINX	PZIMX	PZISX	PZVIX	PZVEX	PZVSX	PZVMX	PZVNX
PZIIX		0.37	0.89	-0.03	-0.35	1.0	0.37	-0.35	-0.02	0.89	PZIIX
PZIEX	0.37		0.65	-0.19	-0.23	0.37	1.0	-0.23	-0.19	0.65	PZIEX
PZINX	0.89	0.65		-0.25	-0.52	0.89	0.65	-0.52	-0.24	1.0	PZINX
PZIMX	-0.03	-0.19	-0.25		0.89	-0.04	-0.2	0.89	1.0	-0.25	PZIMX
PZISX	-0.35	-0.23	-0.52	0.89		-0.36	-0.23	1.0	0.88	-0.53	PZISX
PZVIX	1.0	0.37	0.89	-0.04	-0.36		0.37	-0.36	-0.03	0.89	PZVIX
PZVEX	0.37	1.0	0.65	-0.2	-0.23	0.37		-0.23	-0.19	0.65	PZVEX
PZVSX	-0.35	-0.23	-0.52	0.89	1.0	-0.36	-0.23		0.88	-0.53	PZVSX
PZVMX	-0.02	-0.19	-0.24	1.0	0.88	-0.03	-0.19	0.88		-0.25	PZVMX
PZVNX	0.89	0.65	1.0	-0.25	-0.53	0.89	0.65	-0.53	-0.25		PZVNX
	PZIIX	PZIEX	PZINX	PZIMX	PZISX	PZVIX	PZVEX	PZVSX	PZVMX	PZVNX

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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

PZVIX	+ 1.0	PZIIX
PZVEX	+ 1.0	PZIEX
PZVNX	+ 1.0	PZINX
PZVMX	+ 1.0	PZIMX
PZVSX	+ 1.0	PZISX
PZINX	+ 0.89	PZIIX

High negative correlations

PZVNX	- 0.53	PZVSX
PZVNX	- 0.53	PZISX
PZVSX	- 0.52	PZINX
PZISX	- 0.52	PZINX
PZVSX	- 0.36	PZVIX
PZVIX	- 0.36	PZISX

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	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
PZIIX	0.66	0.01	(0.08)	0.17	0.80	(0.68)	1.44	(1.30)	4.58
PZIEX	0.75	0.08	(0.03)	(1.03)	0.89	(0.85)	1.74	(1.65)	7.04
PZINX	0.65	0.01	(0.10)	0.17	0.77	(0.75)	1.43	(1.41)	3.92
PZIMX	0.72	0.06	(0.06)	(0.65)	0.74	(0.78)	1.41	(1.33)	5.56
PZISX	1.00	0.18	0.08	2.51	0.86	(1.13)	2.16	(1.53)	8.63
PZVIX	0.66	0.01	(0.08)	0.18	0.81	(0.68)	1.45	(1.31)	4.69
PZVEX	0.75	0.08	(0.03)	(0.94)	0.91	(0.83)	1.82	(1.66)	7.01
PZVSX	0.99	0.17	0.08	2.34	0.85	(1.12)	2.12	(1.52)	8.53
PZVMX	0.72	0.06	(0.06)	(0.68)	0.73	(0.81)	1.35	(1.37)	5.55
PZVNX	0.65	0.01	(0.10)	0.17	0.76	(0.74)	1.44	(1.42)	3.86

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