Global Real Correlations

PGRUX Fund

USD 9.20 0.09 0.97%

The current 90-days correlation between Global Real Estate and Ivy Natural Resources is 0.47 (i.e., Very weak diversification). The correlation of Global Real 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 Real Correlation With Market

Very weak diversification

The correlation between Global Real Estate and DJI is 0.51 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Global Real Estate 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 Real Estate. 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 employment.

Moving together with Global Mutual Fund

0.64	PFIEX	International Equity	Pair Corr
0.82	PGBAX	Global Diversified Income	Pair Corr
0.75	PHJTX	Principal Lifetime Hybrid	Pair Corr
0.79	PHTFX	Principal Lifetime Hybrid	Pair Corr
0.82	SCUPX	Strategic Asset Mana	Pair Corr
0.9	PHTTX	Principal Lifetime Hybrid	Pair Corr
0.82	PIFIX	Strategic Asset Mana	Pair Corr
0.64	PIIQX	International Equity	Pair Corr
0.62	PIOOX	Income Fund R	Pair Corr
0.92	PIREX	Real Estate Securities	Pair Corr
0.76	PLFJX	Principal Lifetime 2020	Pair Corr
0.68	PLTJX	Principal Lifetime 2030	Pair Corr
0.64	PLZTX	Principal Lifetime Hybrid	Pair Corr
0.63	CMPIX	Income Fund Class	Pair Corr
0.78	POMFX	Opportunistic Municipal	Pair Corr
0.82	POSAX	Global Real Estate	Pair Corr
0.74	PPSAX	Preferred Securities	Pair Corr
0.8	PALTX	Principal Lifetime	Pair Corr

Related Correlations Analysis

	INRSX	BACCX	IEFCX	GRHAX	ENPSX	TMCLX	TREIX
INRSX		0.8	0.82	0.93	0.8	0.82	-0.01	INRSX
BACCX	0.8		0.98	0.77	0.98	0.9	0.4	BACCX
IEFCX	0.82	0.98		0.76	0.98	0.92	0.46	IEFCX
GRHAX	0.93	0.77	0.76		0.72	0.76	-0.06	GRHAX
ENPSX	0.8	0.98	0.98	0.72		0.91	0.41	ENPSX
TMCLX	0.82	0.9	0.92	0.76	0.91		0.39	TMCLX
TREIX	-0.01	0.4	0.46	-0.06	0.41	0.39		TREIX
	INRSX	BACCX	IEFCX	GRHAX	ENPSX	TMCLX	TREIX

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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

IEFCX	+ 0.98	BACCX
ENPSX	+ 0.98	BACCX
ENPSX	+ 0.98	IEFCX
GRHAX	+ 0.93	INRSX
TMCLX	+ 0.92	IEFCX
TMCLX	+ 0.91	ENPSX

High negative correlations

TREIX	- 0.06	GRHAX
TREIX	- 0.01	INRSX

Risk-Adjusted Indicators

There is a big difference between Global Mutual Fund performing well and Global Real 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 Real'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
INRSX	0.94	0.03	0.00	(0.03)	0.00	0.00	1.70	(2.07)	5.43
BACCX	0.85	0.10	0.10	0.12	1.26	(0.81)	1.49	(2.08)	5.48
IEFCX	0.88	0.09	0.09	0.10	1.26	(0.80)	1.54	(2.20)	5.65
GRHAX	1.18	0.05	0.04	0.01	1.89	(1.08)	2.46	(3.31)	8.53
ENPSX	1.53	0.14	0.06	0.09	2.19	(1.39)	3.17	(3.59)	8.59
TMCLX	1.01	0.12	0.10	0.13	1.28	(1.10)	1.88	(2.24)	6.34
TREIX	0.07	0.02	0.53	2.63	0.00	(0.13)	0.20	(0.10)	0.60

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