Diversified International Correlations

PINRX Fund

USD 14.23 0.14 0.97%

The current 90-days correlation between Diversified International and John Hancock Financial is -0.11 (i.e., Good diversification). The correlation of Diversified International 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.

Diversified International Correlation With Market

Average diversification

The correlation between Diversified International Fund and DJI is 0.14 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Diversified International 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 Diversified International Fund. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as various price indices.

Moving together with Diversified Mutual Fund

0.77	PFIJX	Strategic Asset Mana	Pair Corr
0.78	PFIEX	International Equity	Pair Corr
0.77	PFIFX	Strategic Asset Mana	Pair Corr
0.95	PFISX	International Small Pany	Pair Corr
0.74	PFIPX	Strategic Asset Mana	Pair Corr
0.74	PFRSX	Real Estate Securities	Pair Corr
0.81	SAUPX	Strategic Asset Mana	Pair Corr
0.92	PFUMX	Finisterre Unconstrained	Pair Corr
0.8	PGBAX	Global Diversified Income	Pair Corr
0.9	PGBLX	Global Diversified Income	Pair Corr
0.89	PGDCX	Global Diversified Income	Pair Corr
0.9	PGDIX	Global Diversified Income	Pair Corr
0.69	PGDRX	Diversified Real Asset	Pair Corr
0.89	STCCX	Short Term Income	Pair Corr
0.72	PGRUX	Global Real Estate	Pair Corr
0.77	PGSLX	Principal Global Sus	Pair Corr
0.71	PGRKX	Global Real Estate	Pair Corr
0.68	PHJFX	Principal Lifetime Hybrid	Pair Corr

Moving against Diversified Mutual Fund

0.54	PFPPX	Midcap Growth	Pair Corr
0.35	PGBEX	Blue Chip Fund	Pair Corr
0.62	PGRTX	Smallcap Growth	Pair Corr
0.54	PGWIX	Midcap Growth	Pair Corr
0.35	PGBGX	Blue Chip Fund	Pair Corr
0.34	PGBHX	Blue Chip Fund	Pair Corr
0.54	PHPPX	Midcap Growth	Pair Corr

Related Correlations Analysis

	BTO	FIKBX	FTIXX	MSVIX	XFINX	IAAEX	GCFSX	ICFAX
BTO		0.88	0.0	0.92	0.43	0.29	0.2	0.89	BTO
FIKBX	0.88		0.0	0.83	0.53	0.5	0.46	0.81	FIKBX
FTIXX	0.0	0.0		0.0	0.0	0.0	0.0	0.0	FTIXX
MSVIX	0.92	0.83	0.0		0.38	0.23	0.12	0.87	MSVIX
XFINX	0.43	0.53	0.0	0.38		0.16	0.51	0.35	XFINX
IAAEX	0.29	0.5	0.0	0.23	0.16		0.42	0.22	IAAEX
GCFSX	0.2	0.46	0.0	0.12	0.51	0.42		0.24	GCFSX
ICFAX	0.89	0.81	0.0	0.87	0.35	0.22	0.24		ICFAX
	BTO	FIKBX	FTIXX	MSVIX	XFINX	IAAEX	GCFSX	ICFAX

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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

MSVIX	+ 0.92	BTO
ICFAX	+ 0.89	BTO
FIKBX	+ 0.88	BTO
ICFAX	+ 0.87	MSVIX
MSVIX	+ 0.83	FIKBX
ICFAX	+ 0.81	FIKBX

High negative correlations

ICFAX	- 0.0	FTIXX
GCFSX	- 0.0	FTIXX
IAAEX	- 0.0	FTIXX
XFINX	- 0.0	FTIXX
MSVIX	- 0.0	FTIXX
FTIXX	- 0.0	FIKBX

Risk-Adjusted Indicators

There is a big difference between Diversified Mutual Fund performing well and Diversified International 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 Diversified International'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
BTO	1.00	0.04	0.00	(0.01)	0.00	0.00	2.14	(2.22)	6.87
FIKBX	0.85	(0.02)	0.00	0.59	0.00	0.00	1.73	(1.95)	6.29
FTIXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
MSVIX	0.85	(0.07)	0.00	1.14	0.00	0.00	1.60	(1.74)	4.25
XFINX	0.14	0.01	0.19	(0.81)	0.19	(0.17)	0.29	(0.28)	1.27
IAAEX	0.77	(0.06)	0.00	1.04	0.00	0.00	1.41	(1.19)	9.17
GCFSX	0.71	0.11	0.16	(3.73)	0.86	(0.78)	1.80	(1.39)	4.68
ICFAX	0.80	(0.03)	0.00	(0.08)	0.00	0.00	1.32	(2.07)	3.93

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