George Putnam Correlations

PGEYX Fund

USD 26.42 0.03 0.11%

The current 90-days correlation between George Putnam and Putnam Equity Income is 0.43 (i.e., Very weak diversification). The correlation of George Putnam 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.

George Putnam Correlation With Market

Very weak diversification

The correlation between George Putnam Fund and DJI is 0.45 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding George Putnam 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 George Putnam 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 manufacturing.

Moving together with GEORGE Mutual Fund

0.81	PEYAX	Putnam Equity Income	Pair Corr
0.75	PGFMX	Putnam Global Financials	Pair Corr
1.0	PGEJX	George Putnam Balanced	Pair Corr
1.0	PGEOX	George Putnam	Pair Corr
1.0	PGELX	George Putnam Balanced	Pair Corr
1.0	PGEMX	George Putnam	Pair Corr
0.79	PGHAX	Putnam Global Health	Pair Corr
0.78	PGIAX	Pnc Fds Gr	Pair Corr
0.76	PGIEX	Putnam Global Industrials	Pair Corr
0.77	PGIOX	Putnam Global Industrials	Pair Corr
0.78	PGILX	Putnam Global Industrials	Pair Corr
1.0	PGPRX	George Putnam	Pair Corr
0.69	PGORX	Putnam Growth Opport	Pair Corr
1.0	PGPCX	George Putnam	Pair Corr

Moving against GEORGE Mutual Fund

0.43	PFICX	Putnam Floating Rate	Pair Corr
0.43	PFLRX	Putnam Floating Rate	Pair Corr
0.43	PFRZX	Putnam Floating Rate	Pair Corr
0.42	PFLLX	Putnam Floating Rate	Pair Corr
0.42	PFRYX	Putnam Floating Rate	Pair Corr

Related Correlations Analysis

	PEYAX	PEXTX	PFICX	PFJAX	PFLRX	PFLLX	PFRBX	PFRYX	PFRZX	PXMAX
PEYAX		0.54	-0.54	0.02	-0.53	-0.53	0.0	-0.52	-0.53	0.54	PEYAX
PEXTX	0.54		-0.06	0.4	-0.08	-0.11	0.0	-0.13	-0.14	0.98	PEXTX
PFICX	-0.54	-0.06		0.74	0.99	0.99	0.0	0.98	0.98	-0.18	PFICX
PFJAX	0.02	0.4	0.74		0.73	0.73	0.0	0.72	0.71	0.27	PFJAX
PFLRX	-0.53	-0.08	0.99	0.73		0.99	0.0	0.99	0.99	-0.2	PFLRX
PFLLX	-0.53	-0.11	0.99	0.73	0.99		0.0	1.0	1.0	-0.23	PFLLX
PFRBX	0.0	0.0	0.0	0.0	0.0	0.0		0.0	0.0	0.0	PFRBX
PFRYX	-0.52	-0.13	0.98	0.72	0.99	1.0	0.0		1.0	-0.26	PFRYX
PFRZX	-0.53	-0.14	0.98	0.71	0.99	1.0	0.0	1.0		-0.27	PFRZX
PXMAX	0.54	0.98	-0.18	0.27	-0.2	-0.23	0.0	-0.26	-0.27		PXMAX
	PEYAX	PEXTX	PFICX	PFJAX	PFLRX	PFLLX	PFRBX	PFRYX	PFRZX	PXMAX

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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

PFRYX	+ 1.0	PFLLX
PFRZX	+ 1.0	PFLLX
PFRZX	+ 1.0	PFRYX
PFLRX	+ 0.99	PFICX
PFLLX	+ 0.99	PFICX
PFLLX	+ 0.99	PFLRX

High negative correlations

PFICX	- 0.54	PEYAX
PFRZX	- 0.53	PEYAX
PFLLX	- 0.53	PEYAX
PFLRX	- 0.53	PEYAX
PFRYX	- 0.52	PEYAX
PXMAX	- 0.27	PFRZX

Risk-Adjusted Indicators

There is a big difference between GEORGE Mutual Fund performing well and George Putnam 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 George Putnam'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
PEYAX	0.58	(0.09)	0.00	(0.14)	0.00	0.00	0.91	(0.95)	6.29
PEXTX	0.19	(0.01)	(0.02)	(0.08)	0.26	(0.23)	0.39	(0.51)	1.41
PFICX	0.06	0.01	0.07	(1.82)	0.00	(0.24)	0.13	(0.13)	0.63
PFJAX	0.12	0.01	0.04	0.16	0.00	(0.22)	0.19	(0.19)	0.77
PFLRX	0.07	0.00	0.10	0.00	0.00	(0.27)	0.13	(0.13)	0.89
PFLLX	0.06	0.01	0.07	(0.74)	0.00	(0.27)	0.13	(0.13)	0.63
PFRBX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
PFRYX	0.06	0.01	0.09	(1.22)	0.00	(0.28)	0.13	(0.13)	0.76
PFRZX	0.07	0.01	0.09	(2.17)	0.00	(0.27)	0.13	(0.13)	0.76
PXMAX	0.16	(0.01)	0.00	(0.27)	0.00	0.00	0.34	(0.44)	1.33

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