Global Diversified Correlations

PGDIX Fund

USD 11.83 0.01 0.08%

The current 90-days correlation between Global Diversified Income and Dunham Porategovernment Bond is 0.89 (i.e., Very poor diversification). The correlation of Global Diversified 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.

Global Diversified Correlation With Market

Modest diversification

The correlation between Global Diversified Income and DJI is 0.2 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Global Diversified Income 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 Global Diversified Income. 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 gross domestic product.

Moving together with Global Mutual Fund

0.99	PGBAX	Global Diversified Income	Pair Corr
0.83	PHTNX	Principal Lifetime Hybrid	Pair Corr
0.73	PMREX	Government High Quality	Pair Corr
0.85	PPSAX	Preferred Securities	Pair Corr
0.89	PPSIX	Preferred Securities	Pair Corr
0.89	PPREX	Preferred Securities	Pair Corr
0.83	PRFCX	Preferred Securities	Pair Corr
0.65	PSBMX	Smallcap Fund Fka	Pair Corr
0.78	PTEAX	Tax Exempt Bond	Pair Corr
0.95	PONAX	Pimco Income	Pair Corr
0.95	PONCX	Pimco Income	Pair Corr
0.94	PIPNX	Pimco Income	Pair Corr
0.95	PONRX	Pimco Income	Pair Corr
0.94	PONPX	Pimco Incme Fund	Pair Corr
0.94	PIINX	Pimco Income	Pair Corr
0.94	PIMIX	Pimco Income	Pair Corr
0.88	LBNDX	Lord Abbett Bond	Pair Corr
0.94	FSTAX	Fidelity Advisor Str	Pair Corr
0.95	FSRIX	Fidelity Advisor Str	Pair Corr
0.74	ASG	Liberty All Star	Pair Corr
0.7	USA	Liberty All Star	Pair Corr
0.74	NFJ	Virtus Dividend Interest	Pair Corr

Moving against Global Mutual Fund

0.61	POEIX	Origin Emerging Markets	Pair Corr
0.38	DXKSX	Direxion Monthly 7	Pair Corr

Related Correlations Analysis

	DNCGX	RYAQX	PYUSX	SIGVX	GVTFX	DPIGX
DNCGX		-0.75	0.45	-0.17	0.96	0.21	DNCGX
RYAQX	-0.75		0.01	0.67	-0.73	0.32	RYAQX
PYUSX	0.45	0.01		0.68	0.48	0.91	PYUSX
SIGVX	-0.17	0.67	0.68		-0.18	0.87	SIGVX
GVTFX	0.96	-0.73	0.48	-0.18		0.22	GVTFX
DPIGX	0.21	0.32	0.91	0.87	0.22		DPIGX
	DNCGX	RYAQX	PYUSX	SIGVX	GVTFX	DPIGX

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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

GVTFX	+ 0.96	DNCGX
DPIGX	+ 0.91	PYUSX
DPIGX	+ 0.87	SIGVX
SIGVX	+ 0.68	PYUSX
SIGVX	+ 0.67	RYAQX
GVTFX	+ 0.48	PYUSX

High negative correlations

RYAQX	- 0.75	DNCGX
GVTFX	- 0.73	RYAQX
GVTFX	- 0.18	SIGVX
SIGVX	- 0.17	DNCGX

Risk-Adjusted Indicators

There is a big difference between Global Mutual Fund performing well and Global Diversified 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 Global Diversified'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
DNCGX	0.20	(0.01)	(0.38)	(0.15)	0.23	(0.24)	0.40	(0.48)	1.20
RYAQX	0.65	0.08	(0.02)	(0.71)	0.74	(0.73)	1.44	(1.32)	5.22
PYUSX	0.11	0.00	(0.56)	0.08	0.07	(0.18)	0.32	(0.21)	0.75
SIGVX	0.06	0.01	(0.73)	(2.25)	0.00	(0.20)	0.10	(0.10)	0.61
GVTFX	0.23	(0.02)	0.00	(0.16)	0.00	0.00	0.59	(0.43)	1.54
DPIGX	0.05	0.00	(0.68)	(0.12)	0.00	(0.15)	0.21	(0.11)	0.42

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