Global Diversified Correlations

PGDCX Fund

USD 11.86 0.02 0.17%

The current 90-days correlation between Global Diversified Income and Prudential Core Conservative is 0.09 (i.e., Significant diversification). The correlation of Global Diversified 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.

Global Diversified Correlation With Market

Very good diversification

The correlation between Global Diversified Income and DJI is -0.23 (i.e., Very good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Global Diversified Income 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 Global Diversified Income. 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 main economic indicators.

Moving together with Global Mutual Fund

0.91	PFIEX	International Equity	Pair Corr
1.0	PGBAX	Global Diversified Income	Pair Corr
0.78	SCUPX	Strategic Asset Mana	Pair Corr
0.91	PIIQX	International Equity	Pair Corr
0.7	PALTX	Principal Lifetime	Pair Corr
0.62	LTINX	Principal Lifetime 2015	Pair Corr
0.95	PONAX	Pimco Income	Pair Corr
0.95	PONCX	Pimco Income	Pair Corr
0.95	PIPNX	Pimco Income	Pair Corr
0.95	PONRX	Pimco Income	Pair Corr
0.95	PONPX	Pimco Incme Fund	Pair Corr
0.95	PIINX	Pimco Income	Pair Corr
0.95	PIMIX	Pimco Income	Pair Corr
0.81	LBNDX	Lord Abbett Bond	Pair Corr
0.82	FSTAX	Fidelity Advisor Str	Pair Corr
0.76	FSRIX	Fidelity Advisor Str	Pair Corr
0.86	BRUFX	Bruce Fund Bruce	Pair Corr
0.73	KF	Korea Closed	Pair Corr

Moving against Global Mutual Fund

0.56	PSIJX	Smallcap Growth	Pair Corr
0.53	SPGSX	State Street Premier	Pair Corr

Related Correlations Analysis

	PQCNX	TFCAX	QDARX	BICPX	CDBCX	MDBLX
PQCNX		0.86	0.9	0.75	1.0	0.99	PQCNX
TFCAX	0.86		0.95	0.66	0.84	0.87	TFCAX
QDARX	0.9	0.95		0.65	0.88	0.91	QDARX
BICPX	0.75	0.66	0.65		0.76	0.76	BICPX
CDBCX	1.0	0.84	0.88	0.76		0.99	CDBCX
MDBLX	0.99	0.87	0.91	0.76	0.99		MDBLX
	PQCNX	TFCAX	QDARX	BICPX	CDBCX	MDBLX

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Risk-Adjusted Indicators

There is a big difference between Global Mutual Fund performing well and Global Diversified 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 Global Diversified'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
PQCNX	0.25	0.01	0.02	0.31	0.25	(0.30)	0.59	(0.47)	1.43
TFCAX	0.02	0.00	0.00	0.27	0.00	0.00	0.10	0.00	0.40
QDARX	0.08	0.03	0.26	1.92	0.00	(0.13)	0.25	(0.08)	0.49
BICPX	0.24	0.00	(0.01)	(0.01)	0.30	(0.30)	0.54	(0.45)	1.55
CDBCX	0.24	0.01	0.01	0.20	0.24	(0.29)	0.56	(0.44)	1.34
MDBLX	0.23	0.01	0.04	0.26	0.18	(0.30)	0.50	(0.38)	1.38

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