Value Fund Correlations

TWVLX Fund

USD 7.97 0.04 0.50%

The current 90-days correlation between Value Fund Investor and International Growth Fund is 0.33 (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 Investor and DJI is 0.67 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Value Fund Investor and DJI in the same portfolio, assuming nothing else is changed.

Check out World Market Map to better understand how to build diversified portfolios, which includes a position in Value Fund Investor. 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 bureau of economic analysis.

Moving together with Value Mutual Fund

0.97	AMDVX	Mid Cap Value	Pair Corr
1.0	TWADX	Value Fund A	Pair Corr
0.97	AMVYX	Mid Cap Value	Pair Corr
0.96	AMVRX	Mid Cap Value	Pair Corr
0.96	AMVGX	Mid Cap Value	Pair Corr
0.98	TWEAX	Equity Income	Pair Corr
0.98	TWEIX	Equity Income	Pair Corr
0.7	TWGAX	International Growth	Pair Corr
0.83	TWGGX	Global Growth	Pair Corr
0.7	TWIEX	International Growth	Pair Corr
0.62	TWSMX	Strategic Allocation:	Pair Corr
0.63	NPHIX	High Income Fund	Pair Corr

Related Correlations Analysis

	TWIEX	TWCGX	TWEIX	TWCUX	TWSAX
TWIEX		-0.14	0.73	-0.2	0.4	TWIEX
TWCGX	-0.14		-0.02	0.98	0.71	TWCGX
TWEIX	0.73	-0.02		-0.19	0.47	TWEIX
TWCUX	-0.2	0.98	-0.19		0.62	TWCUX
TWSAX	0.4	0.71	0.47	0.62		TWSAX
	TWIEX	TWCGX	TWEIX	TWCUX	TWSAX

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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

TWCUX	+ 0.98	TWCGX
TWEIX	+ 0.73	TWIEX
TWSAX	+ 0.71	TWCGX
TWSAX	+ 0.62	TWCUX
TWSAX	+ 0.47	TWEIX
TWSAX	+ 0.4	TWIEX

High negative correlations

TWCUX	- 0.2	TWIEX
TWCUX	- 0.19	TWEIX
TWCGX	- 0.14	TWIEX
TWEIX	- 0.02	TWCGX

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
TWIEX	0.77	0.06	0.06	0.02	1.19	(0.71)	1.30	(1.69)	5.96
TWCGX	1.19	(0.18)	0.00	(0.21)	0.00	0.00	1.81	(3.28)	6.88
TWEIX	0.63	(0.05)	0.00	(0.13)	0.00	0.00	0.95	(1.36)	8.14
TWCUX	1.09	(0.12)	0.00	(0.19)	0.00	0.00	1.88	(2.70)	6.65
TWSAX	0.63	(0.08)	0.00	(0.20)	0.00	0.00	1.02	(1.39)	4.00

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