Value Fund Correlations
| TWADX Fund | USD 7.99 0.01 0.12% |
The current 90-days correlation between Value Fund A and Transamerica High Yield is 0.35 (i.e., Weak diversification). The correlation of Value Fund 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.
Value Fund Correlation With Market
Poor diversification
The correlation between Value Fund A and DJI is 0.66 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Value Fund A and DJI in the same portfolio, assuming nothing else is changed.
Value |
Moving together with Value Mutual Fund
| 0.86 | AMDVX | Mid Cap Value | PairCorr |
| 0.86 | AMVYX | Mid Cap Value | PairCorr |
| 0.98 | AMVRX | Mid Cap Value | PairCorr |
| 0.85 | AMVGX | Mid Cap Value | PairCorr |
| 0.99 | TWEAX | Equity Income | PairCorr |
| 0.88 | TWEIX | Equity Income | PairCorr |
| 0.79 | TWGGX | Global Growth | PairCorr |
| 0.61 | TWTCX | Intermediate Term Tax | PairCorr |
| 0.62 | TWSCX | Strategic Allocation | PairCorr |
| 0.64 | TWSMX | Strategic Allocation | PairCorr |
| 0.9 | TWVLX | Value Fund Investor | PairCorr |
Related Correlations Analysis
| Click cells to compare fundamentals | Check Volatility | Backtest Portfolio |
Risk-Adjusted Indicators
There is a big difference between Value Mutual Fund performing well and Value Fund 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 Value Fund'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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| TAHFX | 0.15 | 0.00 | 0.00 | (0.11) | 0.00 | 0.49 | 1.24 | |||
| AQRRX | 0.50 | 0.00 | 0.11 | (0.05) | 0.66 | 0.90 | 3.50 | |||
| PHDTX | 0.11 | 0.00 | 0.33 | (0.16) | 0.10 | 0.22 | 0.79 | |||
| MAHIX | 0.11 | 0.01 | 0.44 | 0.03 | 0.05 | 0.20 | 0.81 | |||
| GHVIX | 0.16 | (0.01) | 0.31 | 0.10 | 0.18 | 0.24 | 1.01 | |||
| SGYAX | 0.16 | 0.01 | 0.31 | 0.03 | 0.13 | 0.56 | 1.57 | |||
| BXHCX | 0.13 | (0.01) | 0.00 | 0.28 | 0.00 | 0.37 | 1.00 |