Principal Lifetime Correlations

LTINX Fund

USD 8.45 0.02 0.24%

The current 90-days correlation between Principal Lifetime 2015 and Massmutual Select Diversified is 0.55 (i.e., Very weak diversification). The correlation of Principal Lifetime 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.

Principal Lifetime Correlation With Market

Weak diversification

The correlation between Principal Lifetime 2015 and DJI is 0.34 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Principal Lifetime 2015 and DJI in the same portfolio, assuming nothing else is changed.

Check out Correlation Analysis to better understand how to build diversified portfolios, which includes a position in Principal Lifetime 2015. 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 Principal Mutual Fund

0.89	SABPX	Strategic Asset Mana	Pair Corr
0.8	SACAX	Strategic Asset Mana	Pair Corr
0.73	SAGPX	Strategic Asset Mana	Pair Corr
0.75	PFIJX	Strategic Asset Mana	Pair Corr
0.76	PFIFX	Strategic Asset Mana	Pair Corr
0.76	PFIPX	Strategic Asset Mana	Pair Corr
0.89	SAIPX	Strategic Asset Mana	Pair Corr
0.86	PFLJX	Principal Lifetime 2050	Pair Corr
0.73	PFRSX	Real Estate Securities	Pair Corr
0.76	SAUPX	Strategic Asset Mana	Pair Corr
0.74	PGRUX	Global Real Estate	Pair Corr
0.75	PGRKX	Global Real Estate	Pair Corr
0.88	SCBPX	Strategic Asset Mana	Pair Corr
0.89	SCIPX	Strategic Asset Mana	Pair Corr
0.81	SCGPX	Strategic Asset Mana	Pair Corr
0.72	PHJEX	Principal Lifetime Hybrid	Pair Corr
0.78	PHJFX	Principal Lifetime Hybrid	Pair Corr
0.66	PHJGX	Principal Lifetime Hybrid	Pair Corr
0.66	PHJBX	Principal Lifetime Hybrid	Pair Corr
0.65	PHJDX	Principal Lifetime Hybrid	Pair Corr
0.78	PHJNX	Principal Lifetime Hybrid	Pair Corr
0.81	PHJQX	Principal Lifetime Hybrid	Pair Corr

Related Correlations Analysis

	MDVSX	SRDAX	QDARX	MBLAX	LIGFX	DLTZX	HIIDX	BDVFX
MDVSX		0.24	0.31	0.89	0.93	0.3	0.47	0.27	MDVSX
SRDAX	0.24		-0.24	0.02	0.09	-0.35	-0.31	-0.44	SRDAX
QDARX	0.31	-0.24		0.53	0.43	0.95	0.87	0.84	QDARX
MBLAX	0.89	0.02	0.53		0.91	0.56	0.68	0.58	MBLAX
LIGFX	0.93	0.09	0.43	0.91		0.47	0.66	0.49	LIGFX
DLTZX	0.3	-0.35	0.95	0.56	0.47		0.87	0.93	DLTZX
HIIDX	0.47	-0.31	0.87	0.68	0.66	0.87		0.86	HIIDX
BDVFX	0.27	-0.44	0.84	0.58	0.49	0.93	0.86		BDVFX
	MDVSX	SRDAX	QDARX	MBLAX	LIGFX	DLTZX	HIIDX	BDVFX

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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

DLTZX	+ 0.95	QDARX
LIGFX	+ 0.93	MDVSX
BDVFX	+ 0.93	DLTZX
LIGFX	+ 0.91	MBLAX
MBLAX	+ 0.89	MDVSX
HIIDX	+ 0.87	QDARX

High negative correlations

BDVFX	- 0.44	SRDAX
DLTZX	- 0.35	SRDAX
HIIDX	- 0.31	SRDAX
QDARX	- 0.24	SRDAX

Risk-Adjusted Indicators

There is a big difference between Principal Mutual Fund performing well and Principal Lifetime 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 Principal Lifetime'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
MDVSX	0.66	0.05	0.05	0.03	0.91	(0.69)	1.34	(1.43)	3.79
SRDAX	0.16	0.00	0.15	(0.11)	0.16	(0.20)	0.29	(0.37)	0.76
QDARX	0.08	0.03	0.61	1.49	0.00	(0.13)	0.25	(0.08)	0.49
MBLAX	0.27	0.00	0.08	(0.02)	0.35	(0.30)	0.62	(0.54)	1.51
LIGFX	0.32	0.00	0.06	(0.03)	0.43	(0.34)	0.55	(0.67)	1.75
DLTZX	0.08	0.01	0.27	0.80	0.00	(0.18)	0.26	(0.13)	0.64
HIIDX	0.62	0.08	0.10	0.10	0.82	(0.64)	1.27	(0.97)	5.23
BDVFX	0.25	0.00	0.07	(0.08)	0.32	(0.28)	0.54	(0.54)	1.41

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