Real Return Correlations

PRRIX Fund

USD 10.37 0.02 0.19%

The current 90-days correlation between Real Return Fund and Nuveen Real Estate is 0.24 (i.e., Modest diversification). The correlation of Real Return 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.

Real Return Correlation With Market

Average diversification

The correlation between Real Return Fund and DJI is 0.1 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Real Return Fund 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 Real Return Fund. 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 Real Mutual Fund

0.89	PFGAX	Long Term Government	Pair Corr
0.89	PFGCX	Long Term Government	Pair Corr
0.62	PFOAX	Pimco Foreign Bond	Pair Corr
0.66	PFOCX	Pimco Foreign Bond	Pair Corr
0.62	PFRRX	Pimco Foreign Bond	Pair Corr

Moving against Real Mutual Fund

0.38	PFATX	Pimco Fundamental	Pair Corr
0.35	PFTCX	Short Term Fund	Pair Corr
0.35	PFSIX	Pimco Emerging Markets	Pair Corr
0.44	PXTIX	Fundamental Indexplus	Pair Corr
0.43	PXTNX	Pimco Rae Plus	Pair Corr

Related Correlations Analysis

	FREAX	PNDIX	CREMX	VRREX	IVRSX	FIKMX	FORFX
FREAX		0.39	0.36	0.87	0.49	0.89	0.33	FREAX
PNDIX	0.39		0.99	0.19	-0.2	0.52	0.94	PNDIX
CREMX	0.36	0.99		0.14	-0.18	0.51	0.95	CREMX
VRREX	0.87	0.19	0.14		0.49	0.77	0.11	VRREX
IVRSX	0.49	-0.2	-0.18	0.49		0.44	-0.11	IVRSX
FIKMX	0.89	0.52	0.51	0.77	0.44		0.45	FIKMX
FORFX	0.33	0.94	0.95	0.11	-0.11	0.45		FORFX
	FREAX	PNDIX	CREMX	VRREX	IVRSX	FIKMX	FORFX

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

CREMX	+ 0.99	PNDIX
FORFX	+ 0.95	CREMX
FORFX	+ 0.94	PNDIX
FIKMX	+ 0.89	FREAX
VRREX	+ 0.87	FREAX
FIKMX	+ 0.77	VRREX

High negative correlations

IVRSX	- 0.2	PNDIX
IVRSX	- 0.18	CREMX
FORFX	- 0.11	IVRSX

Risk-Adjusted Indicators

There is a big difference between Real Mutual Fund performing well and Real Return 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 Real Return'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
FREAX	0.61	0.00	(0.04)	0.06	0.74	(0.66)	1.38	(1.18)	4.36
PNDIX	0.05	0.01	0.00	2.23	0.00	0.00	0.10	0.00	0.79
CREMX	0.03	0.01	0.00	1.27	0.00	0.00	0.08	0.00	0.60
VRREX	0.58	0.00	(0.04)	0.05	0.79	(0.59)	1.34	(1.28)	4.16
IVRSX	0.56	(0.04)	0.00	(0.05)	0.00	0.00	1.02	(1.41)	3.66
FIKMX	0.16	0.00	(0.19)	0.04	0.16	(0.20)	0.33	(0.33)	1.08
FORFX	0.07	0.00	0.00	0.08	0.00	0.00	0.10	0.00	1.84

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