Blue Chip Correlations

PGBHX Fund

USD 44.57 0.06 0.13%

The current 90-days correlation between Blue Chip Fund and Financial Industries Fund is 0.6 (i.e., Poor diversification). The correlation of Blue Chip 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.

Blue Chip Correlation With Market

Poor diversification

The correlation between Blue Chip Fund and DJI is 0.72 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Blue Chip 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 Blue Chip 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 rate.

Moving together with Blue Mutual Fund

0.69	SABPX	Strategic Asset Mana	Pair Corr
0.75	SAGPX	Strategic Asset Mana	Pair Corr
0.74	PFLJX	Principal Lifetime 2050	Pair Corr
1.0	PGBEX	Blue Chip Fund	Pair Corr
1.0	PGBGX	Blue Chip Fund	Pair Corr
0.86	PGRTX	Smallcap Growth	Pair Corr
0.95	PGWIX	Midcap Growth	Pair Corr
0.69	SCBPX	Strategic Asset Mana	Pair Corr
0.73	SCGPX	Strategic Asset Mana	Pair Corr
0.82	PHJEX	Principal Lifetime Hybrid	Pair Corr
0.87	PHJGX	Principal Lifetime Hybrid	Pair Corr
0.87	PHJBX	Principal Lifetime Hybrid	Pair Corr
0.87	PHJDX	Principal Lifetime Hybrid	Pair Corr
0.7	PHJNX	Principal Lifetime Hybrid	Pair Corr
0.61	PHJQX	Principal Lifetime Hybrid	Pair Corr
0.75	PHJJX	Principal Lifetime Hybrid	Pair Corr
0.85	PHJYX	Principal Lifetime Hybrid	Pair Corr
0.87	PHJUX	Principal Lifetime Hybrid	Pair Corr
0.95	PHPPX	Midcap Growth	Pair Corr

Moving against Blue Mutual Fund

0.34	PFUMX	Finisterre Unconstrained	Pair Corr
0.31	PFIEX	International Equity	Pair Corr
0.59	PYHIX	High Yield Fund	Pair Corr
0.49	STCCX	Short Term Income	Pair Corr
0.31	PGDIX	Global Diversified Income	Pair Corr

Related Correlations Analysis

	FIDAX	RMBLX	FGB	VFAIX	PSSRX	FNPIX	VETXX
FIDAX		0.91	0.33	0.68	0.98	0.69	0.0	FIDAX
RMBLX	0.91		0.37	0.76	0.93	0.75	0.0	RMBLX
FGB	0.33	0.37		0.78	0.44	0.78	0.0	FGB
VFAIX	0.68	0.76	0.78		0.79	0.99	0.0	VFAIX
PSSRX	0.98	0.93	0.44	0.79		0.79	0.0	PSSRX
FNPIX	0.69	0.75	0.78	0.99	0.79		0.0	FNPIX
VETXX	0.0	0.0	0.0	0.0	0.0	0.0		VETXX
	FIDAX	RMBLX	FGB	VFAIX	PSSRX	FNPIX	VETXX

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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

FNPIX	+ 0.99	VFAIX
PSSRX	+ 0.98	FIDAX
PSSRX	+ 0.93	RMBLX
RMBLX	+ 0.91	FIDAX
PSSRX	+ 0.79	VFAIX
FNPIX	+ 0.79	PSSRX

High negative correlations

VETXX	- 0.0	FNPIX
VETXX	- 0.0	PSSRX
VETXX	- 0.0	VFAIX
VETXX	- 0.0	FGB
VETXX	- 0.0	RMBLX
VETXX	- 0.0	FIDAX

Risk-Adjusted Indicators

There is a big difference between Blue Mutual Fund performing well and Blue Chip 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 Blue Chip'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
FIDAX	0.99	(0.11)	0.00	(0.18)	0.00	0.00	1.82	(3.26)	7.22
RMBLX	1.11	(0.12)	0.00	(0.19)	0.00	0.00	2.20	(3.09)	6.78
FGB	0.90	0.04	0.08	0.24	1.23	(0.92)	1.94	(1.88)	5.69
VFAIX	0.83	0.04	0.00	(0.03)	0.00	0.00	1.46	(2.51)	6.10
PSSRX	0.97	(0.09)	0.00	(0.16)	0.00	0.00	1.69	(3.18)	6.03
FNPIX	1.23	0.07	0.00	(0.02)	0.00	0.00	2.08	(3.48)	9.08
VETXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00

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