Global Diversified Correlations
PGDIX Fund | USD 11.87 0.01 0.08% |
The current 90-days correlation between Global Diversified Income and Us Government Securities is 0.83 (i.e., Very poor 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
Modest diversification
The correlation between Global Diversified Income and DJI is 0.28 (i.e., Modest 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.
Global |
Moving together with Global Mutual Fund
0.94 | PFIEX | International Equity | PairCorr |
0.97 | PGBAX | Global Diversified Income | PairCorr |
0.65 | PHJTX | Principal Lifetime Hybrid | PairCorr |
0.84 | SCUPX | Strategic Asset Mana | PairCorr |
0.66 | PHTTX | Principal Lifetime Hybrid | PairCorr |
0.94 | PIIQX | International Equity | PairCorr |
0.74 | PALTX | Principal Lifetime | PairCorr |
0.63 | LTAPX | Principal Lifetime 2015 | PairCorr |
0.62 | LTINX | Principal Lifetime 2015 | PairCorr |
0.97 | PONAX | Pimco Income | PairCorr |
0.97 | PONCX | Pimco Income | PairCorr |
0.97 | PIPNX | Pimco Income | PairCorr |
0.97 | PONRX | Pimco Income | PairCorr |
0.97 | PONPX | Pimco Incme Fund | PairCorr |
0.97 | PIINX | Pimco Income | PairCorr |
0.97 | PIMIX | Pimco Income | PairCorr |
0.78 | LBNDX | Lord Abbett Bond | PairCorr |
0.78 | FSTAX | Fidelity Advisor Str | PairCorr |
0.81 | FSRIX | Fidelity Advisor Str | PairCorr |
0.9 | BRUFX | Bruce Fund Bruce | PairCorr |
0.8 | KF | Korea Closed | PairCorr |
Moving against Global Mutual Fund
Related Correlations Analysis
1.0 | 1.0 | 0.98 | 0.95 | 1.0 | RGVJX | ||
1.0 | 1.0 | 0.97 | 0.94 | 1.0 | RGVAX | ||
1.0 | 1.0 | 0.97 | 0.94 | 1.0 | RGVCX | ||
0.98 | 0.97 | 0.97 | 0.98 | 0.97 | TWAVX | ||
0.95 | 0.94 | 0.94 | 0.98 | 0.94 | TWACX | ||
1.0 | 1.0 | 1.0 | 0.97 | 0.94 | AMUSX | ||
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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 | ||
---|---|---|---|---|---|---|---|---|---|---|
RGVJX | 0.25 | 0.02 | 0.06 | 1.06 | 0.24 | 0.60 | 1.55 | |||
RGVAX | 0.25 | 0.02 | 0.04 | 0.75 | 0.25 | 0.60 | 1.56 | |||
RGVCX | 0.25 | 0.02 | 0.05 | 1.47 | 0.23 | 0.51 | 1.38 | |||
TWAVX | 0.07 | 0.01 | 0.04 | 0.65 | 0.00 | 0.22 | 0.55 | |||
TWACX | 0.09 | 0.01 | 0.02 | (0.16) | 0.00 | 0.22 | 0.45 | |||
AMUSX | 0.26 | 0.02 | 0.05 | 0.86 | 0.25 | 0.60 | 1.55 |