Long-term Correlations

PFGAX Fund

USD 14.02 0.01 0.07%

The current 90-days correlation between Long Term Government and Aqr Large Cap is -0.25 (i.e., Very good diversification). The correlation of Long-term 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.

Long-term Correlation With Market

Very good diversification

The correlation between Long Term Government Fund and DJI is -0.26 (i.e., Very good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Long Term Government Fund 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 Long Term Government 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 nation.

Moving together with Long-term Mutual Fund

0.72	PFATX	Pimco Fundamental	Pair Corr
1.0	PFGCX	Long Term Government	Pair Corr
0.62	PFMIX	Municipal Bond	Pair Corr
0.9	PFRCX	Foreign Bond	Pair Corr
0.77	PFSIX	Pimco Emerging Markets	Pair Corr
0.9	PFUUX	Pimco Foreign Bond	Pair Corr
0.9	PFUAX	Foreign Bond	Pair Corr
0.9	PFUIX	Foreign Bond	Pair Corr
0.9	PFUNX	Pimco International Bond	Pair Corr
0.9	PFUPX	Pimco Foreign Bond	Pair Corr
0.69	PGBIX	Global Bond Fund	Pair Corr

Moving against Long-term Mutual Fund

0.85	PFTCX	Short Term Fund	Pair Corr
0.54	PFIUX	Pimco Unconstrained Bond	Pair Corr
0.52	PFNUX	Pimco Dynamic Bond	Pair Corr
0.44	PFINX	Pimco Capital Sec	Pair Corr
0.43	PFNNX	Pimco Preferred And	Pair Corr
0.43	PFPNX	Pimco Capital Sec	Pair Corr
0.41	PFANX	Pimco Capital Sec	Pair Corr
0.36	PFCJX	Pimco Preferred And	Pair Corr
0.54	PXTNX	Pimco Rae Plus	Pair Corr
0.53	PXTIX	Fundamental Indexplus	Pair Corr
0.45	PHSAX	Pimco High Yield	Pair Corr
0.42	PGAPX	Pimco Global Multi	Pair Corr
0.42	PGAIX	Pimco Global Multi	Pair Corr
0.37	PGMCX	Pimco Global Multi	Pair Corr

Related Correlations Analysis

	AMONX	FMSTX	DFELX	LMUSX	TADGX	NWCAX	MSTSX
AMONX		0.98	0.99	1.0	0.78	0.99	0.69	AMONX
FMSTX	0.98		0.97	0.98	0.8	0.94	0.69	FMSTX
DFELX	0.99	0.97		0.99	0.81	0.99	0.73	DFELX
LMUSX	1.0	0.98	0.99		0.77	0.98	0.68	LMUSX
TADGX	0.78	0.8	0.81	0.77		0.76	0.75	TADGX
NWCAX	0.99	0.94	0.99	0.98	0.76		0.66	NWCAX
MSTSX	0.69	0.69	0.73	0.68	0.75	0.66		MSTSX
	AMONX	FMSTX	DFELX	LMUSX	TADGX	NWCAX	MSTSX

Click cells to compare fundamentals

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Risk-Adjusted Indicators

There is a big difference between Long-term Mutual Fund performing well and Long-term 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 Long-term'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
AMONX	0.71	0.03	0.03	0.15	0.85	(0.76)	1.63	(1.30)	4.55
FMSTX	0.53	0.06	0.06	0.19	0.30	(0.63)	1.14	(0.89)	3.58
DFELX	0.57	0.00	(0.02)	0.12	0.69	(0.61)	1.18	(1.36)	3.90
LMUSX	0.62	0.03	0.02	0.15	0.72	(0.71)	1.52	(1.49)	4.15
TADGX	0.48	(0.04)	(0.12)	0.06	0.51	(0.51)	0.99	(0.94)	2.87
NWCAX	0.79	(0.01)	(0.01)	0.11	1.19	(0.76)	1.80	(2.37)	5.27
MSTSX	0.48	(0.04)	(0.13)	0.06	0.50	(0.59)	1.21	(1.02)	2.80

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