Boston Partners Correlations

BPSCX Fund

USD 24.55 0.06 0.24%

Current 90-days correlation between Boston Partners Small and Henderson European Focus is 0.26 (i.e., Modest diversification).The correlation of Boston Partners is a statistical measure of how it moves in relation to other instruments. The correlation coefficient ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5.

Boston Partners vs Market Correlation

Very poor diversification

Across the chosen horizon, BPSCX and DJI show a correlation of 0.8 and fall into the Very poor diversification bucket. In portfolio terms, the overlap visualization shows how much shared movement remains after both positions are combined.

Use Trending Equities to better understand diversified portfolio construction. Additional portfolio transparency improves capital positioning. This includes a position in Boston Partners Small across the allocation. 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 services.

Moving together with Boston Mutual Fund

0.62	OPTCX	Rbb Fund	Pair Corr
0.97	BPAVX	Boston Partners All	Pair Corr
0.97	BPAIX	Boston Partners All	Pair Corr
0.95	WPGTX	Wpg Partners Smallmicro	Pair Corr
0.84	WPGSX	Rbb Fund	Pair Corr
0.96	BPGIX	Boston Partners Global	Pair Corr
0.97	BPIRX	Boston Partners Longshort	Pair Corr
0.95	BPLSX	Boston Partners Longshort	Pair Corr
0.91	BPSIX	Boston Partners Small	Pair Corr
0.83	VSIIX	Vanguard Small Cap	Pair Corr
0.83	VISVX	Vanguard Small Cap	Pair Corr
0.78	DFSVX	Us Small Cap	Pair Corr
0.81	DFFVX	Us Targeted Value	Pair Corr
0.88	VSMCX	Invesco Small Cap	Pair Corr
0.86	VSCAX	Invesco Small Cap	Pair Corr
0.95	UBVSX	Undiscovered Managers	Pair Corr
0.96	UBVCX	Undiscovered Managers	Pair Corr
0.93	FSMMX	Fs Multi Strategy	Pair Corr
0.79	BTMPX	Ishares Msci Eafe	Pair Corr
0.79	BTMKX	Blackrock International	Pair Corr
0.79	MDIIX	Blackrock Intern Index	Pair Corr
0.77	PQIRX	Pioneer Equity Income	Pair Corr
0.67	SRCCX	California Municipal	Pair Corr
0.8	FMTZX	Franklin Moderate	Pair Corr
0.72	BGFRX	William Blair Growth	Pair Corr
0.83	EPDIX	Europac International	Pair Corr
0.9	VSFAX	Federated Clover Small	Pair Corr
0.8	VSPVX	Vanguard Sp 500	Pair Corr
0.9	EKBAX	Wells Fargo Diversified	Pair Corr
0.87	ATGYX	Aquila Three Peaks	Pair Corr
0.79	LIKPX	Blackrock Lifepath Index	Pair Corr
0.95	TREPX	Tiaa Cref International	Pair Corr

Related Correlations Analysis

	BPSIX	EGORX	WFLLX	HFETX	MIMSX	AFVLX	PCKAX	PSCSX	GWEIX	HFEIX
BPSIX		0.5	0.86	0.78	-0.64	0.86	0.95	0.94	0.9	0.78	BPSIX
EGORX	0.5		0.22	0.7	-0.26	0.78	0.64	0.64	0.45	0.7	EGORX
WFLLX	0.86	0.22		0.62	-0.62	0.65	0.77	0.77	0.82	0.62	WFLLX
HFETX	0.78	0.7	0.62		-0.63	0.79	0.82	0.81	0.79	1.0	HFETX
MIMSX	-0.64	-0.26	-0.62	-0.63		-0.46	-0.51	-0.51	-0.88	-0.63	MIMSX
AFVLX	0.86	0.78	0.65	0.79	-0.46		0.87	0.87	0.75	0.79	AFVLX
PCKAX	0.95	0.64	0.77	0.82	-0.51	0.87		1.0	0.84	0.82	PCKAX
PSCSX	0.94	0.64	0.77	0.81	-0.51	0.87	1.0		0.84	0.81	PSCSX
GWEIX	0.9	0.45	0.82	0.79	-0.88	0.75	0.84	0.84		0.79	GWEIX
HFEIX	0.78	0.7	0.62	1.0	-0.63	0.79	0.82	0.81	0.79		HFEIX
	BPSIX	EGORX	WFLLX	HFETX	MIMSX	AFVLX	PCKAX	PSCSX	GWEIX	HFEIX

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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

HFEIX	+ 1.0	HFETX
PSCSX	+ 1.0	PCKAX
PCKAX	+ 0.95	BPSIX
PSCSX	+ 0.94	BPSIX
GWEIX	+ 0.9	BPSIX
PCKAX	+ 0.87	AFVLX

High negative correlations

GWEIX	- 0.88	MIMSX
MIMSX	- 0.64	BPSIX
HFEIX	- 0.63	MIMSX
MIMSX	- 0.63	HFETX
MIMSX	- 0.62	WFLLX
PSCSX	- 0.51	MIMSX

Risk-Adjusted Indicators

There is a big difference between Boston Mutual Fund performing well and Boston Partners 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 Boston Partners' 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
BPSIX	0.75	0.05	0.06	0.05	0.85	-0.79	1.95	-1.59	4.47
EGORX	0.62	-0.03	0.00	-0.04	0.00	0.00	1.08	-1.42	4.65
WFLLX	0.37	0.08	0.13	1.00	0.21	-0.62	0.96	-0.70	2.56
HFETX	0.76	-0.02	0.00	-0.03	0.00	0.00	1.49	-2.07	5.38
MIMSX	2.70	-1.32	0.00	-0.54	0.00	0.00	1.65	-1.63	89.94
AFVLX	0.61	0.00	0.00	0.00	0.82	-0.62	1.15	-1.48	4.28
PCKAX	0.90	0.03	0.02	0.02	1.10	-0.97	1.63	-1.88	5.78
PSCSX	0.92	0.01	0.01	0.01	1.16	-0.94	1.65	-1.88	5.81
GWEIX	0.88	0.11	0.10	0.12	0.95	-0.95	1.64	-1.68	9.45
HFEIX	0.76	-0.02	0.00	-0.03	0.00	0.00	1.51	-2.08	5.40

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