Disciplined Value Correlations

MDFSX Fund

USD 7.87 0.03 0.38%

The current 90-days correlation between Disciplined Value Series and Disciplined Value Series is 1.0 (i.e., No risk reduction). The correlation of Disciplined 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.

Disciplined Value Correlation With Market

Very weak diversification

The correlation between Disciplined Value Series 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 Disciplined Value Series and DJI in the same portfolio, assuming nothing else is changed.

Check out Correlation Analysis to better understand how to build diversified portfolios, which includes a position in Disciplined Value Series. 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 Disciplined Mutual Fund

0.69	MNBAX	Pro Blend Extended	Pair Corr
0.78	MNCRX	Pro Blend Servative	Pair Corr
1.0	MNDFX	Disciplined Value Series	Pair Corr
0.78	MNHCX	Pro Blend Maximum	Pair Corr
0.79	MNHIX	Pro Blend Maximum	Pair Corr
0.63	EXBAX	Pro Blend Moderate	Pair Corr
0.61	EXCPX	Unconstrained Bond Series	Pair Corr
0.77	EXDAX	Pro Blend Servative	Pair Corr
0.68	EXEYX	Equity Series Class	Pair Corr
0.79	EXHAX	Pro Blend Maximum	Pair Corr
0.73	VVIAX	Vanguard Value Index	Pair Corr
0.71	WSHFX	Washington Mutual	Pair Corr
0.72	FWWMX	American Funds Washington	Pair Corr
0.72	FWMMX	American Funds Washington	Pair Corr
0.76	AMFFX	American Mutual	Pair Corr
0.75	AMFCX	American Mutual	Pair Corr
0.69	LSBDX	Loomis Sayles Bond	Pair Corr

Moving against Disciplined Mutual Fund

0.56	CESGX	Coho Relative Value	Pair Corr
0.54	UIPIX	Ultrashort Mid Cap Steady Growth	Pair Corr
0.47	USPSX	Profunds Ultrashort Steady Growth	Pair Corr
0.46	USPIX	Profunds Ultrashort Steady Growth	Pair Corr
0.39	TCTGX	Transamerica Cleartrack	Pair Corr
0.39	TCSUX	Cleartrack 2020 Class	Pair Corr
0.38	TDKTX	Cleartrack 2015 Class	Pair Corr
0.38	TCTJX	Transamerica Cleartrack	Pair Corr
0.32	PDI	Pimco Dynamic Income	Pair Corr

Related Correlations Analysis

	MNDFX	GTCEX	HFLGX	ECEOX	DTLVX	CILGX	LZCOX	GCINX	GCIFX	AOTIX
MNDFX		0.76	0.66	0.5	0.71	0.82	0.6	0.21	0.23	0.24	MNDFX
GTCEX	0.76		0.82	0.61	0.91	0.86	0.82	0.44	0.45	0.46	GTCEX
HFLGX	0.66	0.82		0.41	0.92	0.71	0.84	0.39	0.41	0.21	HFLGX
ECEOX	0.5	0.61	0.41		0.39	0.57	0.19	-0.26	-0.25	0.69	ECEOX
DTLVX	0.71	0.91	0.92	0.39		0.83	0.87	0.56	0.57	0.25	DTLVX
CILGX	0.82	0.86	0.71	0.57	0.83		0.69	0.44	0.45	0.45	CILGX
LZCOX	0.6	0.82	0.84	0.19	0.87	0.69		0.62	0.63	0.09	LZCOX
GCINX	0.21	0.44	0.39	-0.26	0.56	0.44	0.62		1.0	0.13	GCINX
GCIFX	0.23	0.45	0.41	-0.25	0.57	0.45	0.63	1.0		0.15	GCIFX
AOTIX	0.24	0.46	0.21	0.69	0.25	0.45	0.09	0.13	0.15		AOTIX
	MNDFX	GTCEX	HFLGX	ECEOX	DTLVX	CILGX	LZCOX	GCINX	GCIFX	AOTIX

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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

GCIFX	+ 1.0	GCINX
DTLVX	+ 0.92	HFLGX
DTLVX	+ 0.91	GTCEX
LZCOX	+ 0.87	DTLVX
CILGX	+ 0.86	GTCEX
LZCOX	+ 0.84	HFLGX

High negative correlations

GCINX	- 0.26	ECEOX
GCIFX	- 0.25	ECEOX

Risk-Adjusted Indicators

There is a big difference between Disciplined Mutual Fund performing well and Disciplined 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 Disciplined 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
MNDFX	0.68	(0.09)	0.00	(0.03)	0.00	0.00	1.34	(1.02)	10.60
GTCEX	0.52	(0.02)	(0.04)	0.04	0.67	(0.53)	1.12	(1.03)	2.65
HFLGX	0.65	0.04	0.04	0.12	0.58	(0.84)	1.57	(1.11)	6.48
ECEOX	0.41	0.14	0.10	(3.32)	0.07	(0.61)	1.10	(0.82)	2.52
DTLVX	0.55	0.00	(0.01)	0.06	0.67	(0.57)	1.19	(1.10)	3.08
CILGX	0.71	(0.03)	(0.03)	0.03	0.99	(0.81)	1.33	(1.63)	6.53
LZCOX	0.97	(0.06)	(0.02)	0.02	1.28	(1.01)	2.19	(2.11)	5.97
GCINX	0.69	(0.06)	(0.07)	(0.01)	0.91	(0.67)	1.10	(1.43)	3.16
GCIFX	0.68	(0.06)	(0.07)	0.00	0.91	(0.66)	1.10	(1.43)	3.17
AOTIX	0.65	0.07	0.01	(6.40)	0.89	(0.65)	1.46	(1.25)	5.39

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