Real Return Correlations

PRRRX Fund

USD 10.15 0.01 0.1%

The current 90-days correlation between Real Return Fund and Vanguard Inflation Protected Securities is 0.03 (i.e., Significant 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

Modest diversification

The correlation between Real Return Fund and DJI is 0.2 (i.e., Modest 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 metropolitan statistical area.

Moving together with Real Mutual Fund

0.73	PFATX	Pimco Fundamental	Pair Corr
0.94	PFGAX	Long Term Government	Pair Corr
0.94	PFGCX	Long Term Government	Pair Corr
0.88	PFRCX	Foreign Bond	Pair Corr
0.62	PFRMX	Pimco Inflation Response	Pair Corr
0.9	PFSIX	Pimco Emerging Markets	Pair Corr
0.89	PFUUX	Pimco Foreign Bond	Pair Corr
0.87	PFUAX	Foreign Bond	Pair Corr
0.89	PFUIX	Foreign Bond	Pair Corr
0.89	PFUNX	Pimco International Bond	Pair Corr
0.89	PFUPX	Pimco Foreign Bond	Pair Corr
0.83	PGBIX	Global Bond Fund	Pair Corr

Moving against Real Mutual Fund

0.81	PFTCX	Short Term Fund	Pair Corr
0.32	PFIUX	Pimco Unconstrained Bond	Pair Corr

Related Correlations Analysis

	VIPSX	VIPIX	FIBLX	BFIAX
VIPSX		0.96	0.99	0.96	VIPSX
VIPIX	0.96		0.94	0.99	VIPIX
FIBLX	0.99	0.94		0.95	FIBLX
BFIAX	0.96	0.99	0.95		BFIAX
	VIPSX	VIPIX	FIBLX	BFIAX

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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	Treynor Ratio	Potential Upside	Value @Risk	Maximum Drawdown
VIPSX	0.21	(0.02)	(0.43)	0.34	(0.51)	1.09
VIPIX	0.21	(0.03)	(0.50)	0.32	(0.52)	1.05
FIBLX	0.21	(0.02)	(0.42)	0.32	(0.43)	1.26
BFIAX	0.20	(0.02)	(0.33)	0.42	(0.43)	1.15

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