Largecap Correlations

PLSAX Fund

USD 27.35 0.03 0.11%

The current 90-days correlation between Largecap Sp 500 and Strategic Asset Management is 0.95 (i.e., Almost no diversification). The correlation of Largecap 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.

Largecap Correlation With Market

Poor diversification

The correlation between Largecap Sp 500 and DJI is 0.77 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Largecap Sp 500 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 Largecap Sp 500. 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 nation.

Moving together with Largecap Mutual Fund

0.8	SABPX	Strategic Asset Mana	Pair Corr
0.83	SACAX	Strategic Asset Mana	Pair Corr
0.89	SAGPX	Strategic Asset Mana	Pair Corr
0.76	PFLJX	Principal Lifetime 2050	Pair Corr
0.83	PFPPX	Midcap Growth	Pair Corr
0.87	PGBEX	Blue Chip Fund	Pair Corr
0.97	PGBGX	Blue Chip Fund	Pair Corr
0.87	PGBHX	Blue Chip Fund	Pair Corr
0.61	PGLSX	Global Multi Strategy	Pair Corr
0.9	PGRTX	Smallcap Growth	Pair Corr
0.83	PGWIX	Midcap Growth	Pair Corr
0.77	SCBPX	Strategic Asset Mana	Pair Corr
0.9	SCGPX	Strategic Asset Mana	Pair Corr
0.77	PHJEX	Principal Lifetime Hybrid	Pair Corr
0.81	PHJGX	Principal Lifetime Hybrid	Pair Corr
0.89	PHJBX	Principal Lifetime Hybrid	Pair Corr
0.65	PHJDX	Principal Lifetime Hybrid	Pair Corr
0.66	PHJNX	Principal Lifetime Hybrid	Pair Corr

Moving against Largecap Mutual Fund

0.32	PFISX	International Small Pany	Pair Corr
0.32	PFUMX	Finisterre Unconstrained	Pair Corr
0.31	PGBLX	Global Diversified Income	Pair Corr
0.51	STCCX	Short Term Income	Pair Corr
0.47	PGSLX	Principal Global Sus	Pair Corr
0.43	PYHIX	High Yield Fund	Pair Corr

Related Correlations Analysis

	SABPX	SACAX	SAGPX	PFIJX	PFIEX	PFIFX	PFISX	PFIPX	SAIPX
SABPX		0.88	0.99	0.73	0.3	0.73	0.23	0.76	0.94	SABPX
SACAX	0.88		0.91	0.45	0.06	0.46	0.06	0.49	0.73	SACAX
SAGPX	0.99	0.91		0.6	0.18	0.61	0.09	0.64	0.86	SAGPX
PFIJX	0.73	0.45	0.6		0.69	1.0	0.71	1.0	0.92	PFIJX
PFIEX	0.3	0.06	0.18	0.69		0.69	0.72	0.68	0.54	PFIEX
PFIFX	0.73	0.46	0.61	1.0	0.69		0.71	1.0	0.92	PFIFX
PFISX	0.23	0.06	0.09	0.71	0.72	0.71		0.69	0.5	PFISX
PFIPX	0.76	0.49	0.64	1.0	0.68	1.0	0.69		0.94	PFIPX
SAIPX	0.94	0.73	0.86	0.92	0.54	0.92	0.5	0.94		SAIPX
	SABPX	SACAX	SAGPX	PFIJX	PFIEX	PFIFX	PFISX	PFIPX	SAIPX

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Risk-Adjusted Indicators

There is a big difference between Largecap Mutual Fund performing well and Largecap 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 Largecap'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
SABPX	0.46	0.03	0.10	(0.02)	0.61	(0.44)	0.86	(0.97)	2.72
SACAX	0.65	(0.03)	0.00	1.50	0.00	0.00	1.19	(1.41)	3.84
SAGPX	0.57	0.03	0.00	(0.03)	0.00	0.00	1.09	(1.23)	3.29
PFIJX	0.23	0.03	0.26	0.09	0.22	(0.26)	0.50	(0.49)	1.52
PFIEX	0.68	0.13	0.17	0.16	0.83	(0.74)	1.54	(1.44)	4.78
PFIFX	0.23	0.03	0.29	0.08	0.20	(0.29)	0.58	(0.49)	1.51
PFISX	0.63	0.14	0.24	(4.12)	0.61	(0.68)	1.49	(0.99)	5.30
PFIPX	0.23	0.03	0.26	0.07	0.21	(0.28)	0.58	(0.49)	1.59
SAIPX	0.31	0.03	0.18	0.02	0.35	(0.35)	0.65	(0.64)	1.79

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