Long Term Correlations

PFGCX Fund

USD 14.34 0.32 2.28%

The current 90-days correlation between Long Term Government and Pimco Rae Worldwide is 0.27 (i.e., Modest 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 main economic indicators.

Moving together with Long Mutual Fund

0.72	PFATX	Pimco Fundamental	Pair Corr
1.0	PFGAX	Long Term Government	Pair Corr
0.61	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
0.89	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 Mutual Fund

0.85	PFTCX	Short Term Fund	Pair Corr
0.55	PFIUX	Pimco Unconstrained Bond	Pair Corr
0.53	PFNUX	Pimco Dynamic Bond	Pair Corr
0.45	PFINX	Pimco Capital Sec	Pair Corr
0.44	PFNNX	Pimco Preferred And	Pair Corr
0.44	PFPNX	Pimco Capital Sec	Pair Corr
0.42	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
0.46	PHSAX	Pimco High Yield	Pair Corr
0.43	PGAIX	Pimco Global Multi	Pair Corr
0.42	PGAPX	Pimco Global Multi	Pair Corr
0.37	PGMCX	Pimco Global Multi	Pair Corr

Related Correlations Analysis

	PWLEX	PWLBX	PWLMX	PWLIX	PFBPX	PFCJX	PFATX	PFANX	PFGAX
PWLEX		0.99	0.99	0.98	0.36	0.46	0.41	0.42	0.16	PWLEX
PWLBX	0.99		0.99	0.99	0.39	0.49	0.36	0.46	0.08	PWLBX
PWLMX	0.99	0.99		0.99	0.41	0.53	0.34	0.51	0.05	PWLMX
PWLIX	0.98	0.99	0.99		0.43	0.53	0.32	0.51	0.06	PWLIX
PFBPX	0.36	0.39	0.41	0.43		0.72	-0.14	0.73	-0.08	PFBPX
PFCJX	0.46	0.49	0.53	0.53	0.72		-0.14	1.0	-0.36	PFCJX
PFATX	0.41	0.36	0.34	0.32	-0.14	-0.14		-0.2	0.72	PFATX
PFANX	0.42	0.46	0.51	0.51	0.73	1.0	-0.2		-0.41	PFANX
PFGAX	0.16	0.08	0.05	0.06	-0.08	-0.36	0.72	-0.41		PFGAX
	PWLEX	PWLBX	PWLMX	PWLIX	PFBPX	PFCJX	PFATX	PFANX	PFGAX

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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

PFANX	+ 1.0	PFCJX
PWLBX	+ 0.99	PWLEX
PWLMX	+ 0.99	PWLEX
PWLMX	+ 0.99	PWLBX
PWLIX	+ 0.99	PWLBX
PWLIX	+ 0.99	PWLMX

High negative correlations

PFGAX	- 0.41	PFANX
PFGAX	- 0.36	PFCJX
PFANX	- 0.2	PFATX
PFATX	- 0.14	PFCJX
PFATX	- 0.14	PFBPX
PFGAX	- 0.08	PFBPX

Risk-Adjusted Indicators

There is a big difference between Long 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
PWLEX	0.28	0.01	(0.28)	0.20	0.27	(0.33)	0.62	(0.49)	1.85
PWLBX	0.28	0.01	(0.27)	0.26	0.28	(0.32)	0.62	(0.49)	1.86
PWLMX	0.27	0.01	(0.27)	0.23	0.26	(0.33)	0.61	(0.49)	1.84
PWLIX	0.28	0.01	(0.26)	0.28	0.27	(0.32)	0.61	(0.61)	1.72
PFBPX	0.14	0.01	(0.55)	0.26	0.00	(0.20)	0.30	(0.30)	0.92
PFCJX	0.10	0.01	(0.61)	0.49	0.00	(0.16)	0.22	(0.21)	0.65
PFATX	0.32	(0.05)	0.00	(0.42)	0.00	0.00	0.64	(0.87)	1.90
PFANX	0.10	0.01	(0.78)	0.67	0.00	(0.16)	0.22	(0.11)	0.54
PFGAX	0.54	(0.07)	0.00	0.41	0.00	0.00	1.14	(1.36)	3.52

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