Largecap Correlations

PLFPX Fund

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The current 90-days correlation between Largecap Sp 500 and First Eagle Gold is 0.33 (i.e., Weak 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

Almost no diversification

The correlation between Largecap Sp 500 and DJI is 0.91 (i.e., Almost no 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 inflation.

Moving together with Largecap Mutual Fund

0.92	SABPX	Strategic Asset Mana	Pair Corr
0.93	SACAX	Strategic Asset Mana	Pair Corr
0.78	SAGPX	Strategic Asset Mana	Pair Corr
0.91	PFIJX	Strategic Asset Mana	Pair Corr
0.86	PFIEX	International Equity	Pair Corr
0.7	PFIFX	Strategic Asset Mana	Pair Corr
0.84	PFISX	International Small Pany	Pair Corr
0.91	PFIPX	Strategic Asset Mana	Pair Corr
0.92	SAIPX	Strategic Asset Mana	Pair Corr
0.82	PFLJX	Principal Lifetime 2050	Pair Corr
0.89	SAUPX	Strategic Asset Mana	Pair Corr
0.77	PFUMX	Finisterre Unconstrained	Pair Corr
0.81	PGBEX	Blue Chip Fund	Pair Corr
0.81	PGBGX	Blue Chip Fund	Pair Corr
0.81	PGBHX	Blue Chip Fund	Pair Corr
0.61	PGDIX	Global Diversified Income	Pair Corr
0.69	PGDRX	Diversified Real Asset	Pair Corr
0.92	PGLSX	Global Multi Strategy	Pair Corr
0.71	STCCX	Short Term Income	Pair Corr
0.95	PGRTX	Smallcap Growth	Pair Corr
0.93	SCIPX	Strategic Asset Mana	Pair Corr
0.92	SCGPX	Strategic Asset Mana	Pair Corr
0.96	PHJEX	Principal Lifetime Hybrid	Pair Corr
0.95	PHJFX	Principal Lifetime Hybrid	Pair Corr
0.96	PHJGX	Principal Lifetime Hybrid	Pair Corr
0.96	PHJBX	Principal Lifetime Hybrid	Pair Corr
0.96	PHJDX	Principal Lifetime Hybrid	Pair Corr
0.96	PHJNX	Principal Lifetime Hybrid	Pair Corr
0.78	PHJQX	Principal Lifetime Hybrid	Pair Corr
0.96	PHJJX	Principal Lifetime Hybrid	Pair Corr
0.95	PHJMX	Principal Lifetime Hybrid	Pair Corr
0.96	PHJYX	Principal Lifetime Hybrid	Pair Corr
0.94	PHJTX	Principal Lifetime Hybrid	Pair Corr
0.96	PHJUX	Principal Lifetime Hybrid	Pair Corr
0.88	PHSPX	Pimco High Yield	Pair Corr
0.96	PHTJX	Principal Lifetime Hybrid	Pair Corr

Related Correlations Analysis

	TMCTX	ANOIX	ANONX	JENSX	JENYX	JENIX	MPGFX	PRIJX	BALPX	SGGDX
TMCTX		0.74	0.72	0.26	0.26	0.26	0.91	0.78	0.71	0.85	TMCTX
ANOIX	0.74		0.85	-0.15	-0.15	-0.15	0.84	0.69	0.92	0.69	ANOIX
ANONX	0.72	0.85		-0.1	-0.1	-0.1	0.68	0.58	0.82	0.61	ANONX
JENSX	0.26	-0.15	-0.1		1.0	1.0	0.16	0.06	-0.17	0.24	JENSX
JENYX	0.26	-0.15	-0.1	1.0		1.0	0.17	0.06	-0.17	0.24	JENYX
JENIX	0.26	-0.15	-0.1	1.0	1.0		0.16	0.06	-0.17	0.24	JENIX
MPGFX	0.91	0.84	0.68	0.16	0.17	0.16		0.85	0.74	0.89	MPGFX
PRIJX	0.78	0.69	0.58	0.06	0.06	0.06	0.85		0.55	0.91	PRIJX
BALPX	0.71	0.92	0.82	-0.17	-0.17	-0.17	0.74	0.55		0.58	BALPX
SGGDX	0.85	0.69	0.61	0.24	0.24	0.24	0.89	0.91	0.58		SGGDX
	TMCTX	ANOIX	ANONX	JENSX	JENYX	JENIX	MPGFX	PRIJX	BALPX	SGGDX

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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

JENYX	+ 1.0	JENSX
JENIX	+ 1.0	JENSX
JENIX	+ 1.0	JENYX
BALPX	+ 0.92	ANOIX
MPGFX	+ 0.91	TMCTX
SGGDX	+ 0.91	PRIJX

High negative correlations

BALPX	- 0.17	JENIX
BALPX	- 0.17	JENYX
BALPX	- 0.17	JENSX
JENIX	- 0.15	ANOIX
JENYX	- 0.15	ANOIX
JENSX	- 0.15	ANOIX

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
TMCTX	0.80	0.06	0.08	0.12	0.71	(0.98)	2.32	(1.51)	5.38
ANOIX	1.06	0.21	0.20	0.31	0.76	(1.33)	2.09	(1.76)	9.54
ANONX	0.93	0.07	0.07	0.13	0.87	(1.12)	2.09	(1.80)	5.98
JENSX	1.80	0.95	0.90	(0.45)	0.00	(2.19)	0.88	(1.13)	62.41
JENYX	1.82	0.96	0.91	(0.45)	0.00	(2.20)	0.88	(1.13)	62.82
JENIX	1.81	0.96	0.91	(0.45)	0.00	(2.20)	0.88	(1.13)	62.75
MPGFX	0.61	0.03	0.02	0.10	0.78	(0.60)	1.17	(1.37)	6.00
PRIJX	0.65	0.16	0.19	0.36	0.39	(0.82)	1.58	(1.13)	3.87
BALPX	0.16	0.03	(0.09)	0.23	0.00	(0.22)	0.31	(0.31)	1.32
SGGDX	1.98	0.47	0.13	0.46	2.95	(2.09)	4.58	(5.04)	18.20

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