Permanent Portfolio Correlations

PRPFX Fund

USD 74.87 0.95 1.25%

The current 90-days correlation between Permanent Portfolio Class and Blackrock Health Sciences is 0.23 (i.e., Modest diversification). The correlation of Permanent Portfolio 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.

Permanent Portfolio Correlation With Market

Average diversification

The correlation between Permanent Portfolio Class and DJI is 0.17 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Permanent Portfolio Class 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 Permanent Portfolio Class. 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 census.

Moving together with Permanent Mutual Fund

0.97	PRPHX	Permanent Portfolio Class	Pair Corr
1.0	PRPDX	Permanent Portfolio Class	Pair Corr
0.87	PRTBX	Short Term Treasury	Pair Corr
0.61	PRVDX	Versatile Bond Portfolio	Pair Corr
0.87	PAGDX	Aggressive Growth	Pair Corr
0.87	PAGHX	Aggressive Growth	Pair Corr
0.88	PAGRX	Aggressive Growth	Pair Corr
0.79	ABALX	American Balanced	Pair Corr
0.9	BALCX	American Balanced	Pair Corr
0.79	BALFX	American Balanced	Pair Corr
0.9	RLBCX	American Balanced	Pair Corr
0.91	RLBBX	American Balanced	Pair Corr
0.8	CLBAX	American Balanced	Pair Corr
0.9	CLBEX	American Balanced	Pair Corr
0.9	RLBFX	American Balanced	Pair Corr
0.8	CII	Blackrock Enhanced	Pair Corr
0.71	ETV	Eaton Vance Tax	Pair Corr
0.9	CLM	Cornerstone Strategic	Pair Corr
0.77	CRF	Cornerstone Total Return	Pair Corr
0.65	NFJ	Virtus Dividend Interest	Pair Corr
0.73	FRGAX	Growth Allocation Index	Pair Corr
0.82	STABX	Pioneer Short Term	Pair Corr
0.87	LSBDX	Loomis Sayles Bond	Pair Corr
0.77	RNEAX	Rationalrgn Hedged Equity	Pair Corr
0.94	LBETX	Lgm Risk Managed	Pair Corr
0.67	LIPIX	Blackrock Lifepath Idx	Pair Corr
0.66	EMGCX	Wells Fargo Emerging	Pair Corr
0.64	PSPFX	Global Resources	Pair Corr

Moving against Permanent Mutual Fund

0.37	FBONX	American Funds American	Pair Corr
0.37	FBAFX	American Funds American	Pair Corr
0.78	IFN	India Closed	Pair Corr

Related Correlations Analysis

	SHSKX	SHSAX	SHISX	SHSCX	SHSSX	TWHIX	RBAIX	CSXRX	FSPHX
SHSKX		0.99	0.95	1.0	1.0	0.52	0.68	0.8	0.8	SHSKX
SHSAX	0.99		0.94	0.98	0.99	0.55	0.71	0.81	0.79	SHSAX
SHISX	0.95	0.94		0.92	0.95	0.33	0.58	0.64	0.89	SHISX
SHSCX	1.0	0.98	0.92		1.0	0.57	0.7	0.83	0.77	SHSCX
SHSSX	1.0	0.99	0.95	1.0		0.52	0.68	0.8	0.8	SHSSX
TWHIX	0.52	0.55	0.33	0.57	0.52		0.57	0.76	0.09	TWHIX
RBAIX	0.68	0.71	0.58	0.7	0.68	0.57		0.86	0.44	RBAIX
CSXRX	0.8	0.81	0.64	0.83	0.8	0.76	0.86		0.45	CSXRX
FSPHX	0.8	0.79	0.89	0.77	0.8	0.09	0.44	0.45		FSPHX
	SHSKX	SHSAX	SHISX	SHSCX	SHSSX	TWHIX	RBAIX	CSXRX	FSPHX

Risk-Adjusted Indicators

There is a big difference between Permanent Mutual Fund performing well and Permanent Portfolio 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 Permanent Portfolio'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
SHSKX	0.62	0.26	0.38	1.12	0.00	(0.80)	2.04	(0.99)	3.96
SHSAX	0.63	0.29	0.43	18.00	0.00	(0.81)	2.03	(0.99)	4.33
SHISX	0.59	0.20	0.26	1.85	0.26	(0.73)	1.82	(1.14)	3.69
SHSCX	0.65	0.28	0.38	1.06	0.00	(0.84)	2.00	(1.00)	5.77
SHSSX	0.62	0.26	0.38	1.12	0.00	(0.80)	2.04	(0.99)	3.95
TWHIX	1.27	0.40	0.28	(1.24)	0.86	(1.58)	1.49	(2.11)	28.70
RBAIX	0.37	0.05	0.00	0.87	0.47	(0.35)	0.84	(0.72)	2.09
CSXRX	0.64	0.13	0.09	1.86	0.79	(0.67)	1.37	(1.22)	6.22
FSPHX	0.78	0.09	0.03	0.76	1.34	(0.81)	1.55	(1.56)	9.33

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