Largecap Value Correlations

PLVJX Fund

USD 18.56 0.09 0.48%

The current 90-days correlation between Largecap Value and Dodge Global Stock is 0.5 (i.e., Very weak diversification). The correlation of Largecap Value 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 Value Correlation With Market

Very weak diversification

The correlation between Largecap Value Fund and DJI is 0.43 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Largecap Value 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 Largecap Value 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 inflation.

Moving together with Largecap Mutual Fund

0.98	SABPX	Strategic Asset Mana	Pair Corr
0.98	SACAX	Strategic Asset Mana	Pair Corr
0.99	SAGPX	Strategic Asset Mana	Pair Corr
0.79	SAIPX	Strategic Asset Mana	Pair Corr
0.97	PFLJX	Principal Lifetime 2050	Pair Corr
0.64	PFPPX	Midcap Growth	Pair Corr
0.74	PGBEX	Blue Chip Fund	Pair Corr
0.74	PGBGX	Blue Chip Fund	Pair Corr
0.74	PGBHX	Blue Chip Fund	Pair Corr
0.77	PGRTX	Smallcap Growth	Pair Corr
0.64	PGWIX	Midcap Growth	Pair Corr
0.98	SCBPX	Strategic Asset Mana	Pair Corr
0.82	SCIPX	Strategic Asset Mana	Pair Corr
0.99	SCGPX	Strategic Asset Mana	Pair Corr
0.82	PHJEX	Principal Lifetime Hybrid	Pair Corr
0.84	PHJGX	Principal Lifetime Hybrid	Pair Corr
0.84	PHJBX	Principal Lifetime Hybrid	Pair Corr
0.83	PHJDX	Principal Lifetime Hybrid	Pair Corr
0.77	PHJNX	Principal Lifetime Hybrid	Pair Corr
0.72	PHJQX	Principal Lifetime Hybrid	Pair Corr

Moving against Largecap Mutual Fund

0.44

PYHIX

High Yield Fund

Pair Corr

Related Correlations Analysis

	DODWX	BCGDX	ANAGX	MGKAX	TBCUX	DBLGX
DODWX		0.74	0.64	0.71	0.61	0.68	DODWX
BCGDX	0.74		0.68	0.81	0.61	0.62	BCGDX
ANAGX	0.64	0.68		0.53	0.73	0.87	ANAGX
MGKAX	0.71	0.81	0.53		0.38	0.4	MGKAX
TBCUX	0.61	0.61	0.73	0.38		0.93	TBCUX
DBLGX	0.68	0.62	0.87	0.4	0.93		DBLGX
	DODWX	BCGDX	ANAGX	MGKAX	TBCUX	DBLGX

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Risk-Adjusted Indicators

There is a big difference between Largecap Mutual Fund performing well and Largecap Value 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 Value'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
DODWX	0.83	(0.07)	0.00	(0.17)	0.00	0.00	1.28	(1.11)	13.09
BCGDX	0.64	0.05	0.08	0.02	0.93	(0.66)	1.28	(1.27)	3.69
ANAGX	0.18	0.00	0.22	(0.03)	0.19	(0.27)	0.44	(0.44)	1.46
MGKAX	1.04	(0.14)	0.00	(0.24)	0.00	0.00	1.57	(2.37)	14.60
TBCUX	0.60	0.13	0.22	0.29	0.56	(0.68)	1.49	(1.14)	4.33
DBLGX	0.22	0.01	0.26	0.19	0.19	(0.30)	0.48	(0.36)	1.21

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