Largecap Correlations

PLFIX Fund

USD 32.97 0.05 0.15%

The current 90-days correlation between Largecap Sp 500 and Aqr Long Short Equity is 0.1 (i.e., Average diversification). The correlation of Largecap 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.

Largecap Correlation With Market

Very poor diversification

The correlation between Largecap Sp 500 and DJI is 0.81 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Largecap Sp 500 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 Largecap Sp 500. 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 Largecap Mutual Fund

0.97	PFIFX	Strategic Asset Mana	Pair Corr
0.9	PFISX	International Small Pany	Pair Corr
0.96	PFIPX	Strategic Asset Mana	Pair Corr
0.95	PFLJX	Principal Lifetime 2050	Pair Corr
0.84	PGBHX	Blue Chip Fund	Pair Corr
0.67	PGDRX	Diversified Real Asset	Pair Corr
0.62	PGRUX	Global Real Estate	Pair Corr
0.94	SCIPX	Strategic Asset Mana	Pair Corr
0.98	PHJYX	Principal Lifetime Hybrid	Pair Corr
0.98	PHTMX	Principal Lifetime Hybrid	Pair Corr
0.98	PHTNX	Principal Lifetime Hybrid	Pair Corr
0.98	PHTYX	Principal Lifetime Hybrid	Pair Corr
0.92	PHYFX	High Yield Fund	Pair Corr
0.71	PICNX	Income Fund R	Pair Corr
0.91	PIIIX	Diversified International	Pair Corr
0.94	PINZX	Overseas Fund Instit	Pair Corr
1.0	PLFMX	Largecap Sp 500	Pair Corr
0.86	PLHHX	Principal Lifetime Hybrid	Pair Corr
0.86	PLMTX	Principal Lifetime Hybrid	Pair Corr
0.86	PMBCX	Midcap Fund Class	Pair Corr
0.74	PMDAX	Small Midcap Dividend	Pair Corr
0.82	PMRIX	Government High Quality	Pair Corr
0.96	CMNWX	Principal Capital	Pair Corr
0.62	POSAX	Global Real Estate	Pair Corr
0.62	POSIX	Global Real Estate	Pair Corr
0.96	PPNPX	Smallcap Growth	Pair Corr
0.93	PPREX	Preferred Securities	Pair Corr
0.91	PPUMX	Largecap Growth	Pair Corr
0.87	PQIAX	Equity Income	Pair Corr
0.93	PRFCX	Preferred Securities	Pair Corr
0.8	PSBMX	Smallcap Fund Fka	Pair Corr
0.83	PSIJX	Smallcap Growth	Pair Corr

Related Correlations Analysis

	TSDUX	FDAGX	RTIUX	LMGEX	FREIX	AUIAX	QLENX
TSDUX		0.84	0.89	0.92	0.92	0.93	0.79	TSDUX
FDAGX	0.84		0.88	0.78	0.78	0.78	0.43	FDAGX
RTIUX	0.89	0.88		0.93	0.93	0.91	0.62	RTIUX
LMGEX	0.92	0.78	0.93		0.94	0.97	0.8	LMGEX
FREIX	0.92	0.78	0.93	0.94		0.92	0.72	FREIX
AUIAX	0.93	0.78	0.91	0.97	0.92		0.83	AUIAX
QLENX	0.79	0.43	0.62	0.8	0.72	0.83		QLENX
	TSDUX	FDAGX	RTIUX	LMGEX	FREIX	AUIAX	QLENX

Risk-Adjusted Indicators

There is a big difference between Largecap Mutual Fund performing well and Largecap 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 Largecap'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
TSDUX	0.03	0.01	0.00	1.19	0.00	0.00	0.10	0.00	0.10
FDAGX	0.63	0.07	0.07	0.28	0.64	(0.70)	1.32	(1.03)	3.72
RTIUX	0.53	0.08	0.10	0.16	0.51	(0.60)	1.15	(1.15)	2.51
LMGEX	0.69	0.20	0.22	0.36	0.47	(0.79)	1.46	(1.30)	8.85
FREIX	0.62	0.17	0.25	0.24	0.33	(0.78)	1.06	(1.00)	11.53
AUIAX	0.64	0.14	0.17	0.22	0.54	(0.75)	1.32	(0.97)	7.71
QLENX	0.33	0.07	0.12	0.37	0.16	(0.39)	0.85	(0.51)	1.88

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Largecap Correlations

Largecap Correlation With Market

Very poor diversification

Moving together with Largecap Mutual Fund

Related Correlations Analysis

Risk-Adjusted Indicators

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