Royce Dividend Correlations

RDVIX Fund

USD 5.65 0.03 0.53%

The current 90-days correlation between Royce Dividend Value and Wealthbuilder Conservative Allocation is 0.57 (i.e., Very weak diversification). The correlation of Royce Dividend 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.

Royce Dividend Correlation With Market

Poor diversification

The correlation between Royce Dividend Value and DJI is 0.74 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Royce Dividend 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 Royce Dividend 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 gross domestic product.

Moving together with Royce Mutual Fund

0.95	RPFFX	Royce Premier	Pair Corr
0.71	RSEFX	Royce Special Equity	Pair Corr
0.97	RVPHX	Royce Smaller Companies	Pair Corr
0.87	RVVHX	Royce Small Cap	Pair Corr
1.0	RYDVX	Royce Dividend Value	Pair Corr
0.94	RYOFX	Royce Opportunity	Pair Corr
0.92	RYOTX	Royce Micro Cap	Pair Corr
0.92	RYPFX	Royce Pennsylvania Mutual	Pair Corr
0.95	RYPRX	Royce Premier	Pair Corr
0.94	RYPNX	Royce Opportunity	Pair Corr
0.71	RYSEX	Royce Special Equity	Pair Corr
0.99	RYTFX	Royce Total Return	Pair Corr
0.99	RYTRX	Royce Total Return	Pair Corr
0.87	RYVFX	Royce Small Cap	Pair Corr
0.97	RYVPX	Royce Smaller Companies	Pair Corr
0.92	RMCFX	Royce Micro Cap	Pair Corr
0.93	PENNX	Royce Pennsylvania Mutual	Pair Corr
0.94	VIMAX	Vanguard Mid Cap	Pair Corr
0.94	VIMSX	Vanguard Mid Cap	Pair Corr
0.94	VMCPX	Vanguard Mid Cap	Pair Corr
0.94	VMCIX	Vanguard Mid Cap	Pair Corr
0.96	VEXAX	Vanguard Extended Market	Pair Corr
0.96	VEMPX	Vanguard Extended Market	Pair Corr
0.96	VIEIX	Vanguard Extended Market	Pair Corr
0.96	VSEMX	Vanguard Extended Market	Pair Corr
0.96	VEXMX	Vanguard Extended Market	Pair Corr
0.96	FSMAX	Fidelity Extended Market	Pair Corr

Moving against Royce Mutual Fund

0.59	CIHCX	Cullen International High	Pair Corr
0.46	EPDPX	Europac International	Pair Corr

Related Correlations Analysis

	WCAFX	ACBPX	EIIMX	PQCNX	FHCOX	QDARX	HIIDX
WCAFX		0.91	0.89	0.9	0.68	0.7	0.88	WCAFX
ACBPX	0.91		0.96	1.0	0.87	0.88	0.88	ACBPX
EIIMX	0.89	0.96		0.96	0.85	0.88	0.94	EIIMX
PQCNX	0.9	1.0	0.96		0.86	0.87	0.87	PQCNX
FHCOX	0.68	0.87	0.85	0.86		0.97	0.81	FHCOX
QDARX	0.7	0.88	0.88	0.87	0.97		0.85	QDARX
HIIDX	0.88	0.88	0.94	0.87	0.81	0.85		HIIDX
	WCAFX	ACBPX	EIIMX	PQCNX	FHCOX	QDARX	HIIDX

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Risk-Adjusted Indicators

There is a big difference between Royce Mutual Fund performing well and Royce Dividend 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 Royce Dividend'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
WCAFX	0.25	0.00	0.13	(0.05)	0.35	(0.29)	0.57	(0.46)	1.62
ACBPX	0.24	0.02	0.27	0.34	0.20	(0.30)	0.56	(0.44)	1.23
EIIMX	0.31	0.03	0.23	0.38	0.28	(0.39)	0.63	(0.62)	1.91
PQCNX	0.25	0.02	0.25	0.35	0.22	(0.30)	0.59	(0.47)	1.43
FHCOX	0.05	0.01	0.00	0.92	0.00	0.00	0.10	(0.10)	0.51
QDARX	0.08	0.04	0.89	1.36	0.00	(0.13)	0.25	(0.08)	0.49
HIIDX	0.63	0.08	0.12	0.08	0.82	(0.65)	1.27	(0.97)	5.23

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