Total Return Correlations

PTTRX Fund

USD 8.69 0.02 0.23%

The current 90-days correlation between Total Return and Vanguard Institutional Index is -0.1 (i.e., Good diversification). The correlation of Total Return 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.

Total Return Correlation With Market

Good diversification

The correlation between Total Return Fund and DJI is -0.03 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Total Return 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 Total Return 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 metropolitan statistical area.

Moving together with Total Mutual Fund

0.72	PXTIX	Fundamental Indexplus	Pair Corr
0.89	PNRNX	Pimco Realestaterealre	Pair Corr
0.87	PSLDX	Pimco Stocksplus Long	Pair Corr
0.67	PSPTX	Stocksplus Total Return	Pair Corr
0.66	PTLCX	Low Duration	Pair Corr
1.0	PTTPX	Pimco Total Return	Pair Corr
0.98	MWTNX	Metropolitan West Total	Pair Corr
0.98	MWTSX	Metropolitan West Total	Pair Corr
0.94	PTRRX	Total Return	Pair Corr
1.0	PTRAX	Total Return	Pair Corr
0.93	FIWGX	Strategic Advisers	Pair Corr
0.96	DODIX	Dodge Income	Pair Corr
0.93	MWTIX	Metropolitan West Total	Pair Corr
0.93	MWTRX	Metropolitan West Total	Pair Corr
0.81	APDKX	Artisan International	Pair Corr
0.77	JHYUX	Jpmorgan High Yield	Pair Corr

Moving against Total Mutual Fund

0.64

PQTAX

Pimco Trends Managed

Pair Corr

Related Correlations Analysis

	VINIX	DODGX	RERFX	PRRIX	DODFX
VINIX		0.74	0.71	0.55	0.53	VINIX
DODGX	0.74		0.92	0.8	0.67	DODGX
RERFX	0.71	0.92		0.83	0.75	RERFX
PRRIX	0.55	0.8	0.83		0.69	PRRIX
DODFX	0.53	0.67	0.75	0.69		DODFX
	VINIX	DODGX	RERFX	PRRIX	DODFX

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Risk-Adjusted Indicators

There is a big difference between Total Mutual Fund performing well and Total Return 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 Total Return'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
VINIX	0.63	(0.04)	0.00	(0.07)	0.00	0.00	1.10	(1.70)	3.77
DODGX	0.59	(0.09)	0.00	0.75	0.00	0.00	1.27	(1.31)	6.89
RERFX	0.63	(0.02)	0.00	0.36	0.00	0.00	1.23	(1.35)	4.64
PRRIX	0.21	0.01	0.07	(0.80)	0.18	(0.26)	0.50	(0.50)	1.40
DODFX	0.56	0.07	0.10	(0.79)	0.65	(0.61)	1.16	(1.00)	3.37

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