Pzena Small Correlations

PZVSX Fund

USD 12.68 0.35 2.69%

The current 90-days correlation between Pzena Small Cap and Principal Lifetime Hybrid is 0.76 (i.e., Poor diversification). The correlation of Pzena Small 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 Small Correlation With Market

Very weak diversification

The correlation between Pzena Small Cap and DJI is 0.42 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Pzena Small 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 Small 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 state.

Moving together with Pzena Mutual Fund

0.8	PZIIX	Pzena International Small	Pair Corr
0.97	PZIMX	Pzena Mid Cap	Pair Corr
1.0	PZISX	Pzena Small Cap	Pair Corr
0.8	PZVIX	Pzena International Small	Pair Corr
0.98	PZVMX	Pzena Mid Cap	Pair Corr
0.91	VSIIX	Vanguard Small Cap	Pair Corr
0.91	VISVX	Vanguard Small Cap	Pair Corr
0.94	DFSVX	Us Small Cap	Pair Corr
0.92	DFFVX	Us Targeted Value	Pair Corr
0.91	UBVCX	Undiscovered Managers	Pair Corr
0.91	UBVAX	Undiscovered Managers	Pair Corr
0.91	UBVSX	Undiscovered Managers	Pair Corr
0.96	AVFIX	American Beacon Small	Pair Corr

Moving against Pzena Mutual Fund

0.76	USIPX	Ubs Ultra Short	Pair Corr
0.69	RYAQX	Inverse Government Long	Pair Corr
0.66	JUCCX	Janus Global Unconst	Pair Corr
0.5	UMNIX	Lazard Short Duration	Pair Corr
0.49	FGB	First Trust Specialty	Pair Corr
0.49	QGLDX	Gold Bullion	Pair Corr
0.78	DFEQX	Dfa Short Term	Pair Corr
0.73	BBBMX	Bbh Limited Duration	Pair Corr
0.69	JUCAX	Janus Global Unconst	Pair Corr
0.63	RMMGX	Short Term Bond	Pair Corr
0.58	NFFCX	Nuveen Symphony Floating	Pair Corr
0.53	EVCGX	Eaton Vance Greater	Pair Corr

Related Correlations Analysis

	PLKTX	LIGFX	DLTZX	PRDAX	PGBAX	ACDOX
PLKTX		0.9	0.26	0.86	0.63	0.65	PLKTX
LIGFX	0.9		0.57	0.85	0.82	0.8	LIGFX
DLTZX	0.26	0.57		0.26	0.82	0.57	DLTZX
PRDAX	0.86	0.85	0.26		0.64	0.71	PRDAX
PGBAX	0.63	0.82	0.82	0.64		0.84	PGBAX
ACDOX	0.65	0.8	0.57	0.71	0.84		ACDOX
	PLKTX	LIGFX	DLTZX	PRDAX	PGBAX	ACDOX

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Risk-Adjusted Indicators

There is a big difference between Pzena Mutual Fund performing well and Pzena Small 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 Small'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
PLKTX	0.57	0.00	0.00	(0.06)	0.00	0.00	1.06	(1.34)	3.50
LIGFX	0.29	0.02	0.14	0.00	0.39	(0.30)	0.55	(0.50)	1.91
DLTZX	0.09	0.02	0.46	(0.66)	0.00	(0.18)	0.26	(0.13)	0.64
PRDAX	0.41	(0.03)	0.00	0.81	0.00	0.00	0.87	(0.77)	2.56
PGBAX	0.15	0.01	0.42	(0.43)	0.00	(0.19)	0.34	(0.25)	0.93
ACDOX	0.25	0.04	0.29	0.42	0.17	(0.33)	0.55	(0.44)	1.66

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