Real Return Correlations

PRTNX Fund

USD 10.15 0.03 0.30%

The current 90-days correlation between Real Return Fund and Commonwealth Real Estate is 0.53 (i.e., Very weak 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 0.13 (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 board of governors.

Moving together with Real Mutual Fund

0.75	PFATX	Pimco Fundamental	Pair Corr
0.91	PFGAX	Long Term Government	Pair Corr
0.91	PFGCX	Long Term Government	Pair Corr
0.72	PFMIX	Municipal Bond	Pair Corr
0.89	PFRCX	Foreign Bond	Pair Corr
0.64	PFRMX	Pimco Inflation Response	Pair Corr
0.95	PFSIX	Pimco Emerging Markets	Pair Corr
0.88	PFUUX	Pimco Foreign Bond	Pair Corr
0.89	PFUAX	Foreign Bond	Pair Corr
0.88	PFUIX	Foreign Bond	Pair Corr
0.88	PFUNX	Pimco International Bond	Pair Corr
0.88	PFUPX	Pimco Foreign Bond	Pair Corr
0.86	PGBIX	Global Bond Fund	Pair Corr

Moving against Real Mutual Fund

0.75

PFTCX

Short Term Fund

Pair Corr

Related Correlations Analysis

	CNREX	FIKMX	PNDIX	MRESX	TIREX	PHRAX	FORFX
CNREX		0.76	0.19	0.75	0.6	0.71	0.25	CNREX
FIKMX	0.76		-0.15	0.9	0.8	0.72	-0.08	FIKMX
PNDIX	0.19	-0.15		-0.09	-0.07	0.36	0.99	PNDIX
MRESX	0.75	0.9	-0.09		0.96	0.87	-0.02	MRESX
TIREX	0.6	0.8	-0.07	0.96		0.9	0.0	TIREX
PHRAX	0.71	0.72	0.36	0.87	0.9		0.42	PHRAX
FORFX	0.25	-0.08	0.99	-0.02	0.0	0.42		FORFX
	CNREX	FIKMX	PNDIX	MRESX	TIREX	PHRAX	FORFX

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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

FORFX	+ 0.99	PNDIX
TIREX	+ 0.96	MRESX
MRESX	+ 0.9	FIKMX
PHRAX	+ 0.9	TIREX
PHRAX	+ 0.87	MRESX
TIREX	+ 0.8	FIKMX

High negative correlations

PNDIX	- 0.15	FIKMX
MRESX	- 0.09	PNDIX
FORFX	- 0.08	FIKMX
TIREX	- 0.07	PNDIX
FORFX	- 0.02	MRESX
FORFX	- 0.0	TIREX

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
CNREX	0.62	0.03	(0.06)	0.19	0.78	(0.64)	1.22	(1.53)	3.86
FIKMX	0.22	0.02	(0.32)	1.57	0.21	(0.24)	0.49	(0.41)	1.22
PNDIX	0.04	0.01	0.00	2.76	0.00	0.00	0.10	0.00	0.10
MRESX	0.67	0.05	(0.06)	0.73	0.77	(0.73)	1.26	(1.33)	3.43
TIREX	0.70	0.04	(0.07)	0.50	0.79	(0.76)	1.25	(1.36)	3.56
PHRAX	0.67	0.07	(0.03)	0.60	0.71	(0.77)	1.23	(1.27)	3.61
FORFX	0.06	0.02	0.00	1.04	0.00	0.00	0.11	0.00	0.21

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