Parnassus Funds Correlations

PFGEX Fund

26.93 0.10 0.37%

The current 90-days correlation between Parnassus Funds and Parnassus Fixed Income is -0.19 (i.e., Good diversification). The correlation of Parnassus Funds 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.

Parnassus Funds Correlation With Market

Poor diversification

The correlation between Parnassus Funds and DJI is 0.67 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Parnassus Funds 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 Parnassus Funds . 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 income.

Moving together with Parnassus Mutual Fund

1.0	PFPGX	Parnassus Funds	Pair Corr
0.9	PFPRX	Parnassus Fund Inst	Pair Corr
0.92	PFPMX	Parnassus Mid Cap	Pair Corr
0.92	PFPWX	Parnassus Endeavor	Pair Corr
0.9	PRBLX	Parnassus E Equity	Pair Corr
0.97	PRILX	Parnassus Equity Incme	Pair Corr
0.92	PARMX	Parnassus Mid Cap	Pair Corr
0.9	PARNX	Parnassus Fund Investor	Pair Corr
0.92	PARWX	Parnassus Endeavor	Pair Corr
0.93	FAFGX	American Funds	Pair Corr
0.93	FFAFX	American Funds	Pair Corr
0.93	GFACX	Growth Fund	Pair Corr
0.98	GFAFX	Growth Fund	Pair Corr
0.98	AGTHX	Growth Fund	Pair Corr
0.98	CGFFX	Growth Fund	Pair Corr
0.98	CGFCX	Growth Fund	Pair Corr
0.93	CGFAX	Growth Fund	Pair Corr
0.98	CGFEX	Growth Fund	Pair Corr
0.98	RGAEX	Growth Fund	Pair Corr
0.93	WBCIX	William Blair Small	Pair Corr
0.9	SMERX	Invesco Small Cap	Pair Corr
0.93	VFIAX	Vanguard 500 Index	Pair Corr
0.86	RQECX	Resq Dynamic Allocation	Pair Corr
0.84	SCRYX	Small Cap Core	Pair Corr
0.93	VFINX	Vanguard 500 Index	Pair Corr
0.96	VTMFX	Vanguard Tax Managed	Pair Corr
0.88	RWSIX	Redwood Systematic Macro	Pair Corr
0.92	LLPFX	Longleaf Partners	Pair Corr
0.98	VTSAX	Vanguard Total Stock	Pair Corr
0.91	LTFOX	Lord Abbett Affiliated	Pair Corr
0.99	VIGAX	Vanguard Growth Index	Pair Corr

Moving against Parnassus Mutual Fund

0.66	PFPLX	Parnassus Fixed Income	Pair Corr
0.66	PRFIX	Parnassus Fixed Income	Pair Corr
0.62	PFHCX	Pacific Funds Small	Pair Corr

Related Correlations Analysis

	PFGEX	PFPLX	PFPMX	PFPWX	PRBLX	PRFIX	PRILX	PARMX	PARNX
PFGEX		-0.66	0.92	0.92	0.9	-0.66	0.97	0.92	0.9	PFGEX
PFPLX	-0.66		-0.47	-0.46	-0.55	1.0	-0.54	-0.46	-0.37	PFPLX
PFPMX	0.92	-0.47		0.98	0.9	-0.47	0.97	1.0	0.96	PFPMX
PFPWX	0.92	-0.46	0.98		0.9	-0.46	0.97	0.98	0.95	PFPWX
PRBLX	0.9	-0.55	0.9	0.9		-0.56	0.93	0.9	0.83	PRBLX
PRFIX	-0.66	1.0	-0.47	-0.46	-0.56		-0.54	-0.46	-0.37	PRFIX
PRILX	0.97	-0.54	0.97	0.97	0.93	-0.54		0.96	0.93	PRILX
PARMX	0.92	-0.46	1.0	0.98	0.9	-0.46	0.96		0.96	PARMX
PARNX	0.9	-0.37	0.96	0.95	0.83	-0.37	0.93	0.96		PARNX
	PFGEX	PFPLX	PFPMX	PFPWX	PRBLX	PRFIX	PRILX	PARMX	PARNX

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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

PRFIX	+ 1.0	PFPLX
PARMX	+ 1.0	PFPMX
PFPWX	+ 0.98	PFPMX
PARMX	+ 0.98	PFPWX
PRILX	+ 0.97	PFGEX
PRILX	+ 0.97	PFPMX

High negative correlations

PRFIX	- 0.66	PFGEX
PFPLX	- 0.66	PFGEX
PRFIX	- 0.56	PRBLX
PRBLX	- 0.55	PFPLX
PRILX	- 0.54	PRFIX
PRILX	- 0.54	PFPLX

Risk-Adjusted Indicators

There is a big difference between Parnassus Mutual Fund performing well and Parnassus Funds 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 Parnassus Funds' 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
PFGEX	0.70	(0.03)	(0.04)	0.09	1.00	(0.71)	1.57	(1.95)	4.88
PFPLX	0.20	(0.01)	0.00	0.38	0.00	0.00	0.40	(0.54)	1.14
PFPMX	0.58	0.00	(0.03)	0.12	0.55	(0.66)	1.40	(1.09)	3.41
PFPWX	0.57	0.01	(0.02)	0.13	0.49	(0.61)	1.16	(0.98)	2.87
PRBLX	0.55	0.08	(0.05)	(8.21)	0.68	(0.55)	1.15	(1.44)	3.75
PRFIX	0.21	(0.01)	0.00	0.59	0.00	0.00	0.40	(0.54)	1.14
PRILX	0.54	(0.01)	(0.06)	0.10	0.68	(0.55)	1.15	(1.44)	3.75
PARMX	0.59	0.00	(0.03)	0.12	0.55	(0.66)	1.41	(1.10)	3.41
PARNX	0.70	(0.01)	(0.01)	0.11	0.86	(0.71)	1.53	(1.29)	4.58

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