Core Plus Correlations

PMSIX Fund

USD 9.10 0.02 0.22%

The current 90-days correlation between Core Plus Bond and Us Government Securities is 0.95 (i.e., Almost no diversification). The correlation of Core Plus 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.

Core Plus Correlation With Market

Average diversification

The correlation between Core Plus Bond and DJI is 0.15 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Core Plus Bond 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 Core Plus Bond. 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 gross domestic product.

Moving together with Core Mutual Fund

0.8	PFIJX	Strategic Asset Mana	Pair Corr
0.9	PFIEX	International Equity	Pair Corr
0.8	PFIFX	Strategic Asset Mana	Pair Corr
0.86	PFISX	International Small Pany	Pair Corr
0.78	PFIPX	Strategic Asset Mana	Pair Corr
0.8	PFRSX	Real Estate Securities	Pair Corr
0.79	SAUPX	Strategic Asset Mana	Pair Corr
0.9	PFUMX	Finisterre Unconstrained	Pair Corr
0.95	PGBAX	Global Diversified Income	Pair Corr
0.97	PGBLX	Global Diversified Income	Pair Corr
0.95	PGDCX	Global Diversified Income	Pair Corr
0.95	PGDIX	Global Diversified Income	Pair Corr
0.94	STCCX	Short Term Income	Pair Corr
0.76	PGRUX	Global Real Estate	Pair Corr
0.69	PGSLX	Principal Global Sus	Pair Corr
0.77	PGRKX	Global Real Estate	Pair Corr
0.7	PYHIX	High Yield Fund	Pair Corr
0.67	PHJFX	Principal Lifetime Hybrid	Pair Corr

Moving against Core Mutual Fund

0.57	PFPPX	Midcap Growth	Pair Corr
0.31	PGBEX	Blue Chip Fund	Pair Corr
0.56	PGWIX	Midcap Growth	Pair Corr
0.5	PGRTX	Smallcap Growth	Pair Corr
0.57	PHPPX	Midcap Growth	Pair Corr

Related Correlations Analysis

	CGTCX	VSBIX	EQCDX	LOISX	FCSCX	NSIOX
CGTCX		0.92	0.22	0.81	0.87	0.81	CGTCX
VSBIX	0.92		0.03	0.68	0.96	0.66	VSBIX
EQCDX	0.22	0.03		0.07	0.01	0.12	EQCDX
LOISX	0.81	0.68	0.07		0.71	0.99	LOISX
FCSCX	0.87	0.96	0.01	0.71		0.68	FCSCX
NSIOX	0.81	0.66	0.12	0.99	0.68		NSIOX
	CGTCX	VSBIX	EQCDX	LOISX	FCSCX	NSIOX

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Risk-Adjusted Indicators

There is a big difference between Core Mutual Fund performing well and Core Plus 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 Core Plus' 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
CGTCX	0.25	0.02	0.25	0.25	0.26	(0.29)	0.61	(0.43)	1.56
VSBIX	0.07	0.01	0.96	4.86	0.00	(0.08)	0.16	(0.12)	0.33
EQCDX	0.09	0.00	0.20	0.00	0.12	(0.18)	0.21	(0.11)	1.06
LOISX	0.14	(0.02)	0.00	1.10	0.00	0.00	0.29	(0.39)	0.88
FCSCX	0.06	0.01	0.58	(0.52)	0.00	(0.19)	0.13	(0.13)	0.66
NSIOX	0.19	(0.02)	0.00	1.06	0.00	0.00	0.41	(0.50)	1.21

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