Long-term Correlations

PFGAX Fund

USD 14.09 0.02 0.14%

The current 90-days correlation between Long Term Government and T Rowe Price is 0.1 (i.e., Average diversification). The correlation of Long-term 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.

Long-term Correlation With Market

Good diversification

The correlation between Long Term Government Fund and DJI is -0.2 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Long Term Government 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 Long Term Government 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 nation.

Moving together with Long-term Mutual Fund

0.91	PWLEX	Pimco Rae Worldwide	Pair Corr
0.91	PWLBX	Pimco Rae Worldwide	Pair Corr
0.87	PWLMX	Pimco Rae Worldwide	Pair Corr
0.88	PWLIX	Pimco Rae Worldwide	Pair Corr
0.76	PFATX	Pimco Fundamental	Pair Corr
0.9	PFANX	Pimco Capital Sec	Pair Corr
0.95	PFGCX	Long Term Government	Pair Corr
0.86	PFIAX	Pimco Floating Income	Pair Corr
0.86	PFIIX	Pimco Floating Income	Pair Corr
0.88	PFIUX	Pimco Unconstrained Bond	Pair Corr
0.9	PFINX	Pimco Capital Sec	Pair Corr
0.8	PFMIX	Municipal Bond	Pair Corr
0.87	PFNCX	Pimco Floating Income	Pair Corr
0.9	PFNNX	Pimco Preferred And	Pair Corr
0.86	PFNIX	Pimco Low Duration	Pair Corr
0.89	PFRCX	Foreign Bond	Pair Corr
0.81	PFRMX	Pimco Inflation Response	Pair Corr
0.74	PFTCX	Short Term Fund	Pair Corr
0.86	PFTPX	Pimco Floating Income	Pair Corr
0.89	PFUUX	Pimco Foreign Bond	Pair Corr
0.89	PGBIX	Global Bond Fund	Pair Corr
0.94	PGCAX	Investment Grade Porate	Pair Corr
0.9	PGNPX	Pimco Global Bond	Pair Corr
0.94	PGOVX	Long Term Government	Pair Corr
0.89	PGSAX	Pimco Global Advantage	Pair Corr
0.81	PYMCX	Pimco High Yield	Pair Corr
0.88	PYMNX	Pimco High Yield	Pair Corr
0.75	PHDAX	High Yield Fund	Pair Corr
0.71	PHDCX	High Yield Fund	Pair Corr
0.73	PHIYX	High Yield Fund	Pair Corr
0.8	PDI	Pimco Dynamic Income	Pair Corr

Related Correlations Analysis

	PAHIX	PGANX	SGYAX	CYBAX	WAYRX	OHSHX	MZHIX	TFHAX
PAHIX		0.93	0.98	0.94	0.95	0.95	0.97	0.9	PAHIX
PGANX	0.93		0.94	0.95	0.93	0.94	0.95	0.88	PGANX
SGYAX	0.98	0.94		0.93	0.96	0.94	0.97	0.9	SGYAX
CYBAX	0.94	0.95	0.93		0.94	0.95	0.94	0.94	CYBAX
WAYRX	0.95	0.93	0.96	0.94		0.92	0.97	0.95	WAYRX
OHSHX	0.95	0.94	0.94	0.95	0.92		0.96	0.88	OHSHX
MZHIX	0.97	0.95	0.97	0.94	0.97	0.96		0.89	MZHIX
TFHAX	0.9	0.88	0.9	0.94	0.95	0.88	0.89		TFHAX
	PAHIX	PGANX	SGYAX	CYBAX	WAYRX	OHSHX	MZHIX	TFHAX

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Risk-Adjusted Indicators

There is a big difference between Long-term Mutual Fund performing well and Long-term 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 Long-term'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
PAHIX	0.15	0.01	0.01	0.06	0.12	(0.23)	0.51	(0.34)	1.03
PGANX	0.10	0.01	0.03	(1.68)	0.00	(0.18)	0.23	(0.23)	0.91
SGYAX	0.16	0.02	0.05	0.15	0.05	(0.26)	0.56	(0.28)	1.57
CYBAX	0.13	0.00	(0.01)	(0.04)	0.11	(0.15)	0.44	(0.24)	0.90
WAYRX	0.16	0.01	0.04	0.09	0.07	(0.26)	0.44	(0.29)	1.02
OHSHX	0.13	0.01	0.01	(0.20)	0.12	(0.18)	0.23	(0.23)	1.02
MZHIX	0.13	0.01	0.04	0.13	0.05	(0.18)	0.25	(0.25)	0.89
TFHAX	0.11	0.00	(0.03)	(1.40)	0.14	(0.15)	0.21	(0.21)	0.82

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Long-term Correlations

Long-term Correlation With Market

Good diversification

Moving together with Long-term Mutual Fund

Related Correlations Analysis

Risk-Adjusted Indicators

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