Ab Value Correlations

Mutual Funds . USA . 
Fund . Ab Value Fund
ABVCX Fund  USD 17.79  0.10  0.57%   
The current 90-days correlation between Ab Value Fund and Ab Global E is 0.94 (i.e., Almost no diversification). The correlation of Ab 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.

Ab Value Correlation With Market

Almost no diversification

The correlation between Ab Value Fund and DJI is 0.97 (i.e., Almost no diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Ab Value Fund and DJI in the same portfolio, assuming nothing else is changed.
  
Check out Trending Equities to better understand how to build diversified portfolios, which includes a position in Ab Value Fund. 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 main economic indicators.

Moving together with ABVCX Mutual Fund

  0.9GCEAX Ab Global EPairCorr
  0.9GCECX Ab Global EPairCorr
  0.9GCEYX Ab Global EPairCorr
  0.84AMTAX Ab All MarketPairCorr
  0.9AMTZX Ab All MarketPairCorr
  0.9AMTYX Ab All MarketPairCorr
  0.9AMTOX Ab All MarketPairCorr
  0.78STEYX International StrategicPairCorr
  0.78STEZX International StrategicPairCorr
  0.78STESX International StrategicPairCorr
  0.63STHYX Ab Sustainable ThematicPairCorr
  0.95SCAVX Ab Small CapPairCorr
  0.95SCCVX Ab Small CapPairCorr
  0.94SCRSX Small Cap CorePairCorr
  0.94SCRYX Small Cap CorePairCorr
  0.94SCRZX Small Cap CorePairCorr
  0.95SCYVX Ab Small CapPairCorr
  0.84APGZX Ab Large CapPairCorr
  0.84APGYX Ab Large CapPairCorr
  0.81APGAX Ab Large CapPairCorr
  0.84APGCX Ab Large CapPairCorr
  0.91SUTAX Ab Sustainable ThematicPairCorr
  0.91SUTCX Ab Sustainable ThematicPairCorr
  0.91SUTZX Ab Sustainable ThematicPairCorr
  0.91APWIX Ab Servative WealthPairCorr
  0.87CHCLX Ab Discovery GrowthPairCorr
  0.91CHCIX Ab Discovery GrowthPairCorr
  0.91CHCCX Ab Discovery GrowthPairCorr
  0.91CHCYX Ab Discovery GrowthPairCorr

Related Correlations Analysis

Click cells to compare fundamentals   Check Volatility   Backtest Portfolio

Risk-Adjusted Indicators

There is a big difference between ABVCX Mutual Fund performing well and Ab Value 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 Ab 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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
GCEAX  0.95  0.06  0.03  0.11  1.59 
(0.90)
 2.13 
(1.70)
 9.70 
GCECX  0.94  0.06  0.03  0.11  1.62 
(0.91)
 2.12 
(1.68)
 9.71 
GCEYX  0.95  0.06  0.03  0.12  1.54 
(0.91)
 2.13 
(1.67)
 9.75 
AMTAX  0.63  0.05  0.00 (2.90) 1.18 
(0.65)
 1.22 
(1.35)
 6.43 
AMTZX  0.63  0.02  0.00  0.08  1.22 
(0.64)
 1.24 
(1.37)
 6.55 
AMTYX  0.63  0.02  0.00  0.08  1.21 
(0.66)
 1.27 
(1.35)
 6.46 
AMTOX  0.64  0.02  0.00  0.08  1.23 
(0.65)
 1.23 
(1.39)
 6.49 
ANAZX  0.20  0.02 (0.08)(1.58) 0.14 
(0.27)
 0.44 
(0.44)
 1.30 
ANAYX  0.19  0.02 (0.08)(1.05) 0.16 
(0.22)
 0.44 
(0.43)
 1.16 
ANAGX  0.19  0.02 (0.07)(1.27) 0.17 
(0.23)
 0.44 
(0.44)
 1.31 

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