Midcap Fund Correlations

PEMGX Fund

USD 39.24 0.06 0.15%

The current 90-days correlation between Midcap Fund Class and Principal Lifetime 2050 is 0.28 (i.e., Modest diversification). The correlation of Midcap 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.

Midcap Fund Correlation With Market

Very weak diversification

The correlation between Midcap Fund Class and DJI is 0.42 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Midcap Fund Class and DJI in the same portfolio, assuming nothing else is changed.

Check out Your Equity Center to better understand how to build diversified portfolios, which includes a position in Midcap Fund Class. 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 census.

Moving together with Midcap Mutual Fund

0.92	PGBEX	Blue Chip Fund	Pair Corr
0.93	PGBGX	Blue Chip Fund	Pair Corr
0.93	PGBHX	Blue Chip Fund	Pair Corr

Moving against Midcap Mutual Fund

0.38	PFRSX	Real Estate Securities	Pair Corr
0.32	PGSLX	Principal Global Sus	Pair Corr

Related Correlations Analysis

	SABPX	SACAX	SAGPX	PFIJX	PFIEX	PFIFX	PFISX	PFIPX	SAIPX	PFLJX
SABPX		1.0	1.0	0.92	0.89	0.91	0.85	0.91	1.0	0.97	SABPX
SACAX	1.0		1.0	0.92	0.89	0.91	0.85	0.91	1.0	0.97	SACAX
SAGPX	1.0	1.0		0.91	0.87	0.9	0.84	0.9	1.0	0.97	SAGPX
PFIJX	0.92	0.92	0.91		0.98	0.98	0.96	0.98	0.94	0.87	PFIJX
PFIEX	0.89	0.89	0.87	0.98		0.99	0.99	0.99	0.9	0.86	PFIEX
PFIFX	0.91	0.91	0.9	0.98	0.99		0.96	1.0	0.93	0.9	PFIFX
PFISX	0.85	0.85	0.84	0.96	0.99	0.96		0.96	0.87	0.82	PFISX
PFIPX	0.91	0.91	0.9	0.98	0.99	1.0	0.96		0.93	0.9	PFIPX
SAIPX	1.0	1.0	1.0	0.94	0.9	0.93	0.87	0.93		0.97	SAIPX
PFLJX	0.97	0.97	0.97	0.87	0.86	0.9	0.82	0.9	0.97		PFLJX
	SABPX	SACAX	SAGPX	PFIJX	PFIEX	PFIFX	PFISX	PFIPX	SAIPX	PFLJX

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Risk-Adjusted Indicators

There is a big difference between Midcap Mutual Fund performing well and Midcap 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 Midcap 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
SABPX	0.49	0.23	0.35	10.39	0.00	(0.67)	0.81	(0.64)	11.40
SACAX	0.69	0.31	0.37	88.64	0.00	(0.85)	1.10	(1.03)	14.71
SAGPX	0.65	0.31	0.43	12.95	0.00	(0.86)	0.92	(0.84)	15.67
PFIJX	0.17	0.06	(0.06)	5.66	0.00	(0.22)	0.48	(0.24)	1.76
PFIEX	0.57	0.16	0.16	0.32	0.40	(0.68)	1.41	(1.01)	3.22
PFIFX	0.18	0.03	(0.11)	0.21	0.00	(0.23)	0.48	(0.31)	1.67
PFISX	0.55	0.14	0.14	0.35	0.52	(0.65)	1.35	(1.09)	3.75
PFIPX	0.17	0.03	(0.12)	0.22	0.00	(0.24)	0.40	(0.32)	1.59
SAIPX	0.32	0.15	0.23	7.51	0.00	(0.42)	0.59	(0.39)	6.99
PFLJX	0.64	0.16	0.21	0.30	0.31	(0.85)	1.10	(1.07)	11.37

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