Global Real Correlations

PGRKX Fund

USD 9.74 0.03 0.31%

The current 90-days correlation between Global Real Estate and Vanguard Global Ex Us is 0.66 (i.e., Poor diversification). The correlation of Global Real 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 Real Correlation With Market

Modest diversification

The correlation between Global Real Estate and DJI is 0.25 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Global Real Estate 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 Real Estate. 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 industry.

Moving together with Global Mutual Fund

0.69	PFIEX	International Equity	Pair Corr
0.73	PFIFX	Strategic Asset Mana	Pair Corr
0.72	PFIGX	Strategic Asset Mana	Pair Corr
0.77	PFISX	International Small Pany	Pair Corr
0.68	PFIPX	Strategic Asset Mana	Pair Corr
0.87	PFRSX	Real Estate Securities	Pair Corr
0.75	SAUPX	Strategic Asset Mana	Pair Corr
0.79	PGBAX	Global Diversified Income	Pair Corr
0.74	PGBLX	Global Diversified Income	Pair Corr
0.75	PGDIX	Global Diversified Income	Pair Corr
1.0	PGRUX	Global Real Estate	Pair Corr
1.0	PGRVX	Global Real Estate	Pair Corr
0.62	PIIIX	Diversified International	Pair Corr
0.94	PIPIX	Inflation Protection	Pair Corr
0.88	PIOOX	Income Fund R	Pair Corr
0.79	PIREX	Real Estate Securities	Pair Corr
0.93	PISPX	Inflation Protection	Pair Corr

Moving against Global Mutual Fund

0.57	PLCGX	Largecap Growth	Pair Corr
0.56	PFPPX	Midcap Growth	Pair Corr
0.56	PGWIX	Midcap Growth	Pair Corr
0.47	PGRTX	Smallcap Growth	Pair Corr
0.47	PLFIX	Largecap Sp 500	Pair Corr
0.46	PGBGX	Blue Chip Fund	Pair Corr
0.39	SACAX	Strategic Asset Mana	Pair Corr
0.54	PPQPX	Midcap Growth	Pair Corr
0.53	PMFMX	Midcap Sp 400	Pair Corr
0.51	PMAPX	Midcap Sp 400	Pair Corr
0.51	PMFJX	Midcap Sp 400	Pair Corr
0.51	PMFPX	Midcap Sp 400	Pair Corr
0.49	PPNSX	Smallcap Growth	Pair Corr
0.49	PPSRX	Largecap Value	Pair Corr
0.47	PLSAX	Largecap Sp 500	Pair Corr
0.47	PMBSX	Midcap Fund R	Pair Corr

Related Correlations Analysis

	VGRNX	444859BR2	AQUI	BRRAY	MSTSX	ABHYX	LBHIX	SCAXF	VIASP	AAEVX
VGRNX		0.33	0.0	-0.29	0.16	0.63	0.16	0.55	-0.69	-0.24	VGRNX
444859BR2	0.33		0.0	0.21	-0.63	-0.02	-0.58	0.24	-0.31	-0.73	444859BR2
AQUI	0.0	0.0		0.0	0.0	0.0	0.0	0.0	0.0	0.0	AQUI
BRRAY	-0.29	0.21	0.0		-0.51	-0.43	-0.41	-0.02	0.09	-0.38	BRRAY
MSTSX	0.16	-0.63	0.0	-0.51		0.33	0.69	0.02	-0.12	0.86	MSTSX
ABHYX	0.63	-0.02	0.0	-0.43	0.33		0.56	-0.02	-0.22	0.12	ABHYX
LBHIX	0.16	-0.58	0.0	-0.41	0.69	0.56		-0.21	0.13	0.68	LBHIX
SCAXF	0.55	0.24	0.0	-0.02	0.02	-0.02	-0.21		-0.75	-0.32	SCAXF
VIASP	-0.69	-0.31	0.0	0.09	-0.12	-0.22	0.13	-0.75		0.31	VIASP
AAEVX	-0.24	-0.73	0.0	-0.38	0.86	0.12	0.68	-0.32	0.31		AAEVX
	VGRNX	444859BR2	AQUI	BRRAY	MSTSX	ABHYX	LBHIX	SCAXF	VIASP	AAEVX

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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

AAEVX	+ 0.86	MSTSX
LBHIX	+ 0.69	MSTSX
AAEVX	+ 0.68	LBHIX
ABHYX	+ 0.63	VGRNX
LBHIX	+ 0.56	ABHYX
SCAXF	+ 0.55	VGRNX

High negative correlations

VIASP	- 0.75	SCAXF
AAEVX	- 0.73	444859BR2
VIASP	- 0.69	VGRNX
MSTSX	- 0.63	444859BR2
LBHIX	- 0.58	444859BR2
MSTSX	- 0.51	BRRAY

Risk-Adjusted Indicators

There is a big difference between Global Mutual Fund performing well and Global Real 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 Real'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
VGRNX	0.68	(0.09)	0.00	(0.18)	0.00	0.00	1.33	(1.26)	4.21
444859BR2	1.31	(0.03)	0.00	0.36	0.00	0.00	5.93	(4.50)	16.62
AQUI	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
BRRAY	1.27	(0.11)	0.00	0.01	0.00	0.00	0.00	(2.98)	34.02
MSTSX	0.49	0.04	(0.11)	(0.30)	0.52	(0.59)	1.21	(1.02)	2.80
ABHYX	0.16	0.00	(0.20)	0.08	0.26	(0.24)	0.34	(0.33)	1.91
LBHIX	0.11	0.01	(0.32)	0.44	0.00	(0.29)	0.24	(0.24)	0.96
SCAXF	0.70	(0.40)	0.00	(1.01)	0.00	0.00	0.00	0.00	23.47
VIASP	0.74	0.11	0.01	(3.65)	1.04	(0.83)	2.28	(1.15)	7.18
AAEVX	0.51	0.06	(0.07)	(0.73)	0.55	(0.61)	1.07	(0.77)	3.24

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