Permanent Portfolio Correlations

PRPHX Fund

USD 75.03 1.19 1.56%

The current 90-days correlation between Permanent Portfolio Class and Balanced Fund Investor is 0.31 (i.e., Weak 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

Very poor diversification

The correlation between Permanent Portfolio Class and DJI is 0.88 (i.e., Very poor 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 rate.

Moving together with Permanent Mutual Fund

0.97	PRPDX	Permanent Portfolio Class	Pair Corr
1.0	PRPFX	Permanent Portfolio Class	Pair Corr
0.92	PRTBX	Short Term Treasury	Pair Corr
0.95	PRVBX	Versatile Bond Portfolio	Pair Corr
0.94	PRVHX	Versatile Bond Portfolio	Pair Corr
0.95	PRVDX	Versatile Bond Portfolio	Pair Corr
0.92	PAGDX	Aggressive Growth	Pair Corr
0.92	PAGHX	Aggressive Growth	Pair Corr
0.92	PAGRX	Aggressive Growth	Pair Corr
0.93	ABALX	American Balanced	Pair Corr
0.94	BALCX	American Balanced	Pair Corr
0.93	BALFX	American Balanced	Pair Corr
0.93	FBONX	American Funds American	Pair Corr
0.93	FBAFX	American Funds American	Pair Corr
0.93	RLBCX	American Balanced	Pair Corr
0.93	RLBBX	American Balanced	Pair Corr
0.93	CLBAX	American Balanced	Pair Corr
0.93	CLBEX	American Balanced	Pair Corr
0.93	RLBFX	American Balanced	Pair Corr
0.88	GAAKX	Gmo Alternative Allo	Pair Corr
0.88	GAAGX	Gmo Alternative Allo	Pair Corr
0.74	GPBFX	Gmo E Plus	Pair Corr
0.97	GPMFX	Guidepath Managed Futures	Pair Corr
0.94	PQTAX	Pimco Trends Managed	Pair Corr
0.96	PQTNX	Pimco Trends Managed	Pair Corr
0.96	PQTIX	Aa Pimco Tr	Pair Corr
0.88	WARCX	Wells Fargo Advantage	Pair Corr
0.95	EMACX	Enterprise Mergers And	Pair Corr
0.94	MDLOX	Blackrock Gbl Alloc Potential Growth	Pair Corr
0.91	PZISX	Pzena Small Cap Steady Growth	Pair Corr
0.85	FHPFX	Fidelity Series Inve	Pair Corr
0.88	SEMGX	Deutsche Emerging Markets	Pair Corr
0.92	ABHIX	High Yield Fund	Pair Corr
0.89	FMILX	Fidelity New Millennium	Pair Corr
0.84	PRTMX	T Rowe Price	Pair Corr
0.82	OAYMX	Oakmark Fund Advisor	Pair Corr
0.95	TRFHX	T Rowe Price	Pair Corr
0.78	LSGLX	Loomis Sayles Global	Pair Corr

Related Correlations Analysis

	XMHFX	ABVCX	FABWX	FIJFX	MFTFX	IEMSX	TWBIX
XMHFX		-0.4	-0.45	-0.35	-0.33	-0.13	-0.47	XMHFX
ABVCX	-0.4		0.9	0.95	0.94	0.8	0.59	ABVCX
FABWX	-0.45	0.9		0.96	0.93	0.85	0.8	FABWX
FIJFX	-0.35	0.95	0.96		0.96	0.89	0.65	FIJFX
MFTFX	-0.33	0.94	0.93	0.96		0.91	0.64	MFTFX
IEMSX	-0.13	0.8	0.85	0.89	0.91		0.49	IEMSX
TWBIX	-0.47	0.59	0.8	0.65	0.64	0.49		TWBIX
	XMHFX	ABVCX	FABWX	FIJFX	MFTFX	IEMSX	TWBIX

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

FIJFX	+ 0.96	FABWX
MFTFX	+ 0.96	FIJFX
FIJFX	+ 0.95	ABVCX
MFTFX	+ 0.94	ABVCX
MFTFX	+ 0.93	FABWX
IEMSX	+ 0.91	MFTFX

High negative correlations

TWBIX	- 0.47	XMHFX
FABWX	- 0.45	XMHFX
ABVCX	- 0.4	XMHFX
FIJFX	- 0.35	XMHFX
MFTFX	- 0.33	XMHFX
IEMSX	- 0.13	XMHFX

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
XMHFX	0.09	(0.01)	0.00	0.32	0.00	0.00	0.14	(0.29)	0.72
ABVCX	0.72	0.31	0.38	(7.02)	0.08	(0.94)	1.52	(1.12)	10.97
FABWX	0.64	0.05	0.05	0.10	0.84	(0.65)	1.22	(1.48)	3.81
FIJFX	0.93	0.21	0.17	0.22	0.91	(0.99)	2.08	(1.73)	5.28
MFTFX	1.06	0.23	0.14	1.07	1.22	(1.14)	2.06	(2.15)	6.76
IEMSX	0.69	0.18	0.14	0.88	0.80	(0.79)	1.72	(1.62)	4.17
TWBIX	0.34	(0.03)	0.00	(0.03)	0.00	0.00	0.71	(0.75)	2.41

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