Small Midcap Correlations

PMDIX Fund

USD 20.84 0.23 1.12%

The current 90-days correlation between Small Midcap Dividend and Strategic Asset Management is 0.83 (i.e., Very poor diversification). The correlation of Small Midcap 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.

Small Midcap Correlation With Market

Very poor diversification

The correlation between Small Midcap Dividend Income and DJI is 0.89 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Small Midcap Dividend 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 Small Midcap Dividend 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 Small Mutual Fund

0.94	SACAX	Strategic Asset Mana	Pair Corr
0.96	PFPPX	Midcap Growth	Pair Corr
0.97	PGRTX	Smallcap Growth	Pair Corr
0.94	PLFIX	Largecap Sp 500	Pair Corr
0.97	PMBJX	Midcap Fund Class	Pair Corr
0.99	PMFJX	Midcap Sp 400	Pair Corr
0.96	PMPRX	Midcap Value	Pair Corr
0.61	CPHYX	High Yield Fund	Pair Corr
0.97	PSSSX	Smallcap Sp 600	Pair Corr
0.97	PSSIX	Smallcap Sp 600	Pair Corr
0.95	PBCJX	Blue Chip Fund	Pair Corr
0.61	LTPDX	Principal Lifetime 2025	Pair Corr
0.96	PCMVX	Principal Midcap Value	Pair Corr
0.94	PCRSX	Largecap Growth	Pair Corr
0.96	PVEJX	Midcap Value	Pair Corr
0.96	PEIPX	Equity Income	Pair Corr
0.96	PEIJX	Equity Income	Pair Corr
0.7	FLPKX	Fidelity Low Priced	Pair Corr
0.69	FLPSX	Fidelity Low Priced	Pair Corr
0.95	VMVAX	Vanguard Mid Cap	Pair Corr
0.98	JVMAX	John Hancock Disciplined	Pair Corr
0.98	JVMIX	John Hancock Disciplined	Pair Corr
0.95	VMVIX	Vanguard Mid Cap	Pair Corr
0.99	JMVZX	Jpmorgan Mid Cap	Pair Corr
0.99	JMVRX	Jpmorgan Mid Cap	Pair Corr
0.99	JMVQX	Jpmorgan Mid Cap	Pair Corr
0.99	JMVYX	Jpmorgan Mid Cap	Pair Corr
0.9	DXQLX	Direxion Monthly Nasdaq	Pair Corr
0.9	RYVLX	Nasdaq 100 2x	Pair Corr
0.9	RYVYX	Nasdaq 100 2x	Pair Corr
0.9	UOPIX	Ultra Nasdaq 100	Pair Corr

Moving against Small Mutual Fund

0.72	PRBDX	Core Plus Bond	Pair Corr
0.71	PIOOX	Income Fund R	Pair Corr
0.61	PISPX	Inflation Protection	Pair Corr
0.41	PIIIX	Diversified International	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 Small Mutual Fund performing well and Small Midcap 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 Small Midcap'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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