Midcap Fund Correlations

PEMGX Fund

USD 47.31 0.56 1.20%

The current 90-days correlation between Midcap Fund Class and Iaadx is 0.25 (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

Almost no diversification

The correlation between Midcap Fund Class and DJI is 0.9 (i.e., Almost no 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 price.

Moving together with Midcap Mutual Fund

0.93	SABPX	Strategic Asset Mana	Pair Corr
0.97	SACAX	Strategic Asset Mana	Pair Corr
0.97	PFPPX	Midcap Growth	Pair Corr
0.97	PGBGX	Blue Chip Fund	Pair Corr
0.96	PGRTX	Smallcap Growth	Pair Corr
0.97	PGWIX	Midcap Growth	Pair Corr
0.89	PHJDX	Principal Lifetime Hybrid	Pair Corr
0.97	PLCGX	Largecap Growth	Pair Corr
0.98	PLFIX	Largecap Sp 500	Pair Corr
0.91	PLJAX	Principal Lifetime 2065	Pair Corr
0.88	PLNTX	Principal Lifetime Hybrid	Pair Corr
0.98	PLSAX	Largecap Sp 500	Pair Corr
0.85	PLTQX	Principal Lifetime Hybrid	Pair Corr
0.91	PLTRX	Principal Lifetime 2060	Pair Corr
0.97	PMAPX	Midcap Sp 400	Pair Corr
1.0	PMBJX	Midcap Fund Class	Pair Corr
1.0	PMBCX	Midcap Fund Class	Pair Corr
1.0	PMBMX	Midcap Fund R	Pair Corr

Moving against Midcap Mutual Fund

0.7	PIOOX	Income Fund R	Pair Corr
0.59	PISPX	Inflation Protection	Pair Corr
0.56	PFIEX	International Equity	Pair Corr
0.54	PIPIX	Inflation Protection	Pair Corr
0.52	PFISX	International Small Pany	Pair Corr
0.5	PGRUX	Global Real Estate	Pair Corr
0.5	PGRVX	Global Real Estate	Pair Corr
0.5	PGRKX	Global Real Estate	Pair Corr
0.39	PIIIX	Diversified International	Pair Corr
0.72	PRBDX	Core Plus Bond	Pair Corr
0.7	PNIIX	Bond Market Index	Pair Corr
0.5	POSAX	Global Real Estate	Pair Corr
0.39	PRWLX	Diversified International	Pair Corr

Related Correlations Analysis

	IAADX	MFTFX	VOLMX	FFCGX	FALCX	ABVCX
IAADX		0.34	-0.1	0.34	0.0	-0.05	IAADX
MFTFX	0.34		-0.57	-0.37	0.0	-0.52	MFTFX
VOLMX	-0.1	-0.57		0.8	0.0	0.97	VOLMX
FFCGX	0.34	-0.37	0.8		0.0	0.81	FFCGX
FALCX	0.0	0.0	0.0	0.0		0.0	FALCX
ABVCX	-0.05	-0.52	0.97	0.81	0.0		ABVCX
	IAADX	MFTFX	VOLMX	FFCGX	FALCX	ABVCX

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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

ABVCX	+ 0.97	VOLMX
ABVCX	+ 0.81	FFCGX
FFCGX	+ 0.8	VOLMX
MFTFX	+ 0.34	IAADX
FFCGX	+ 0.34	IAADX
FALCX	+ 0.0	IAADX

High negative correlations

VOLMX	- 0.57	MFTFX
ABVCX	- 0.52	MFTFX
FFCGX	- 0.37	MFTFX
VOLMX	- 0.1	IAADX
ABVCX	- 0.05	IAADX
ABVCX	- 0.0	FALCX

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
IAADX	0.16	0.00	(0.63)	(0.06)	0.13	(0.25)	0.43	(0.32)	1.19
MFTFX	0.94	(0.13)	0.00	(0.03)	0.00	0.00	1.70	(1.89)	5.42
VOLMX	0.60	0.00	(0.01)	0.12	0.57	(0.71)	1.14	(1.35)	4.49
FFCGX	0.59	(0.05)	(0.09)	0.06	0.70	(0.63)	1.27	(1.23)	3.68
FALCX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
ABVCX	0.55	0.04	0.04	0.17	0.27	(0.69)	1.27	(0.80)	3.88

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