Royce Value Correlations

RVT Stock

USD 14.49 0.08 0.55%

The current 90-days correlation between Royce Value Closed and Royce Global Value is 0.71 (i.e., Poor diversification). The correlation of Royce Value 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 Value Correlation With Market

Very weak diversification

The correlation between Royce Value Closed and DJI is 0.5 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Royce Value Closed 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 Value Closed. Also, note that the market value of any company could be closely tied with the direction of predictive economic indicators such as signals in real.

Moving together with Royce Stock

0.92	ECPG	Encore Capital Group	Pair Corr
0.96	AXP	American Express	Pair Corr
0.67	CNF	CNFinance Holdings	Pair Corr
0.73	COF	Capital One Financial	Pair Corr
0.76	DFS	Discover Financial	Pair Corr
0.95	SYF	Synchrony Financial	Pair Corr
0.66	PFSI	PennyMac Finl Svcs	Pair Corr
0.77	PYPL	PayPal Holdings	Pair Corr
0.8	ALLY	Ally Financial	Pair Corr
0.91	SOFI	SoFi Technologies	Pair Corr
0.64	BITF	Bitfarms	Pair Corr
0.65	UPST	Upstart Holdings	Pair Corr
0.68	C	Citigroup	Pair Corr
0.78	AX	Axos Financial	Pair Corr
0.91	BN	Brookfield Corp	Pair Corr
0.88	BX	Blackstone Group	Pair Corr
0.74	BY	Byline Bancorp	Pair Corr
0.95	CG	Carlyle Group	Pair Corr
0.84	CM	Canadian Imperial Bank	Pair Corr

Moving against Royce Stock

0.84	RENEW	Cartesian Growth	Pair Corr
0.81	CB	Chubb	Pair Corr
0.65	DB	Deutsche Bank AG	Pair Corr
0.65	LU	Lufax Holding	Pair Corr
0.64	HG	Hamilton Insurance Group,	Pair Corr
0.53	LX	Lexinfintech Holdings	Pair Corr

Related Correlations Analysis

	RGT	NMCO	BCAT	KTF	HQL	THW	THQ	BTO	RFMZ	CXH
RGT		0.2	0.66	0.43	0.71	0.13	0.08	0.86	0.58	0.21	RGT
NMCO	0.2		0.69	0.72	0.56	0.91	0.89	0.14	0.85	0.89	NMCO
BCAT	0.66	0.69		0.56	0.72	0.64	0.6	0.56	0.82	0.56	BCAT
KTF	0.43	0.72	0.56		0.54	0.53	0.49	0.21	0.75	0.84	KTF
HQL	0.71	0.56	0.72	0.54		0.6	0.58	0.72	0.78	0.46	HQL
THW	0.13	0.91	0.64	0.53	0.6		0.99	0.14	0.76	0.73	THW
THQ	0.08	0.89	0.6	0.49	0.58	0.99		0.11	0.71	0.7	THQ
BTO	0.86	0.14	0.56	0.21	0.72	0.14	0.11		0.54	0.12	BTO
RFMZ	0.58	0.85	0.82	0.75	0.78	0.76	0.71	0.54		0.78	RFMZ
CXH	0.21	0.89	0.56	0.84	0.46	0.73	0.7	0.12	0.78		CXH
	RGT	NMCO	BCAT	KTF	HQL	THW	THQ	BTO	RFMZ	CXH

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Risk-Adjusted Indicators

There is a big difference between Royce Stock performing well and Royce Value Company 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 Value'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
RGT	0.75	(0.06)	0.00	(0.17)	0.00	0.00	1.35	(1.74)	5.72
NMCO	0.46	0.03	0.12	0.08	0.58	(0.49)	0.92	(0.99)	2.69
BCAT	0.62	(0.03)	0.00	(0.13)	0.00	0.00	1.14	(1.46)	4.22
KTF	0.36	(0.04)	0.00	(0.53)	0.00	0.00	0.75	(0.95)	2.76
HQL	0.91	0.01	0.00	(0.05)	0.00	0.00	2.07	(1.73)	5.35
THW	0.64	0.11	0.17	0.19	0.72	(0.68)	1.40	(1.76)	3.96
THQ	0.86	0.17	0.20	0.18	0.86	(0.99)	1.92	(1.41)	4.40
BTO	1.05	(0.06)	0.00	(0.13)	0.00	0.00	2.30	(2.35)	6.87
RFMZ	0.52	0.00	0.00	(0.08)	0.00	0.00	1.13	(1.33)	3.16
CXH	0.38	0.00	0.00	(0.11)	0.00	0.00	0.76	(1.00)	2.37

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