Midcap Growth Correlations

PGWIX Fund

USD 12.47 0.04 0.32%

The current 90-days correlation between Midcap Growth and Strategic Asset Management is 0.9 (i.e., Almost no diversification). The correlation of Midcap Growth 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.

Midcap Growth Correlation With Market

Very poor diversification

The correlation between Midcap Growth Fund and DJI is 0.82 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Midcap Growth 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 Midcap Growth 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 gross domestic product.

Moving together with Midcap Mutual Fund

0.86	SABPX	Strategic Asset Mana	Pair Corr
0.92	SACAX	Strategic Asset Mana	Pair Corr
1.0	PFPPX	Midcap Growth	Pair Corr
0.95	PGBGX	Blue Chip Fund	Pair Corr
0.93	PGRTX	Smallcap Growth	Pair Corr
0.82	PHJDX	Principal Lifetime Hybrid	Pair Corr
0.96	PLCGX	Largecap Growth	Pair Corr
0.96	PLFIX	Largecap Sp 500	Pair Corr
0.84	PLJAX	Principal Lifetime 2065	Pair Corr
0.81	PLNTX	Principal Lifetime Hybrid	Pair Corr
0.96	PLSAX	Largecap Sp 500	Pair Corr
0.77	PLTQX	Principal Lifetime Hybrid	Pair Corr
0.84	PLTRX	Principal Lifetime 2060	Pair Corr
0.95	PMAPX	Midcap Sp 400	Pair Corr
0.97	PMBJX	Midcap Fund Class	Pair Corr
0.97	PMBCX	Midcap Fund Class	Pair Corr
0.97	PMBMX	Midcap Fund R	Pair Corr

Moving against Midcap Mutual Fund

0.76	PIOOX	Income Fund R	Pair Corr
0.67	PFIEX	International Equity	Pair Corr
0.67	PISPX	Inflation Protection	Pair Corr
0.63	PIPIX	Inflation Protection	Pair Corr
0.62	PFISX	International Small Pany	Pair Corr
0.6	PGRKX	Global Real Estate	Pair Corr
0.59	PGRUX	Global Real Estate	Pair Corr
0.59	PGRVX	Global Real Estate	Pair Corr
0.5	PIIIX	Diversified International	Pair Corr
0.78	PRBDX	Core Plus Bond	Pair Corr
0.76	PNIIX	Bond Market Index	Pair Corr
0.59	POSAX	Global Real Estate	Pair Corr
0.51	PRWLX	Diversified International	Pair Corr
0.34	PRCEX	Real Estate Securities	Pair Corr
0.31	PREPX	Real Estate Securities	Pair Corr
0.31	PREJX	Real Estate Securities	Pair Corr
0.31	PRRAX	Real Estate Securities	Pair Corr

Related Correlations Analysis

	SABPX	SACAX	SAGPX	PFIJX	PFILX	PFIEX	PFIFX	PFIGX	PFISX	PFIPX
SABPX		0.98	0.99	0.47	0.41	-0.24	0.46	0.35	-0.18	0.43	SABPX
SACAX	0.98		1.0	0.28	0.22	-0.37	0.28	0.15	-0.33	0.24	SACAX
SAGPX	0.99	1.0		0.34	0.28	-0.34	0.34	0.21	-0.3	0.3	SAGPX
PFIJX	0.47	0.28	0.34		1.0	0.51	1.0	0.99	0.65	1.0	PFIJX
PFILX	0.41	0.22	0.28	1.0		0.54	1.0	1.0	0.68	1.0	PFILX
PFIEX	-0.24	-0.37	-0.34	0.51	0.54		0.52	0.59	0.97	0.54	PFIEX
PFIFX	0.46	0.28	0.34	1.0	1.0	0.52		0.99	0.65	1.0	PFIFX
PFIGX	0.35	0.15	0.21	0.99	1.0	0.59	0.99		0.72	0.99	PFIGX
PFISX	-0.18	-0.33	-0.3	0.65	0.68	0.97	0.65	0.72		0.67	PFISX
PFIPX	0.43	0.24	0.3	1.0	1.0	0.54	1.0	0.99	0.67		PFIPX
	SABPX	SACAX	SAGPX	PFIJX	PFILX	PFIEX	PFIFX	PFIGX	PFISX	PFIPX

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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

SAGPX	+ 1.0	SACAX
PFILX	+ 1.0	PFIJX
PFIFX	+ 1.0	PFIJX
PFIPX	+ 1.0	PFIJX
PFIFX	+ 1.0	PFILX
PFIGX	+ 1.0	PFILX

High negative correlations

PFIEX	- 0.37	SACAX
PFIEX	- 0.34	SAGPX
PFISX	- 0.33	SACAX
PFISX	- 0.3	SAGPX
PFIEX	- 0.24	SABPX
PFISX	- 0.18	SABPX

Risk-Adjusted Indicators

There is a big difference between Midcap Mutual Fund performing well and Midcap Growth 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 Midcap Growth'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
SABPX	0.36	(0.01)	(0.14)	0.09	0.39	(0.36)	0.82	(0.70)	2.07
SACAX	0.51	(0.02)	(0.06)	0.10	0.56	(0.54)	1.16	(0.99)	3.03
SAGPX	0.44	(0.01)	(0.09)	0.10	0.49	(0.47)	1.03	(0.82)	2.63
PFIJX	0.20	(0.02)	(0.41)	0.03	0.20	(0.22)	0.42	(0.41)	1.24
PFILX	0.21	(0.02)	(0.40)	0.03	0.22	(0.22)	0.41	(0.41)	1.23
PFIEX	0.68	(0.14)	0.00	(0.16)	0.00	0.00	1.43	(1.68)	4.28
PFIFX	0.21	(0.02)	(0.41)	0.03	0.21	(0.24)	0.41	(0.41)	1.31
PFIGX	0.21	(0.02)	(0.39)	0.01	0.23	(0.23)	0.41	(0.41)	1.32
PFISX	0.66	(0.13)	0.00	(0.12)	0.00	0.00	1.72	(1.23)	4.05
PFIPX	0.21	(0.02)	(0.42)	0.02	0.21	(0.23)	0.41	(0.41)	1.15

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