Riskproreg; Dynamic Correlations

PFJDX Fund

USD 12.12 0.02 0.17%

The current 90-days correlation between Riskproreg; Dynamic and Riskproreg 30 Fund is -0.23 (i.e., Very good diversification). The correlation of Riskproreg; Dynamic 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.

Riskproreg; Dynamic Correlation With Market

Very poor diversification

The correlation between Riskproreg Dynamic 20 30 and DJI is 0.85 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Riskproreg Dynamic 20 30 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 Riskproreg Dynamic 20 30. 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 Riskproreg; Mutual Fund

0.61	BALFX	American Balanced	Pair Corr
0.65	ASG	Liberty All Star	Pair Corr
0.66	ETV	Eaton Vance Tax	Pair Corr
0.63	NFJ	Virtus Dividend Interest	Pair Corr
0.66	CAT	Caterpillar	Pair Corr
0.65	CVX	Chevron Corp	Pair Corr
0.62	DD	Dupont De Nemours	Pair Corr

Moving against Riskproreg; Mutual Fund

0.6	IFN	India Closed	Pair Corr
0.68	PG	Procter Gamble	Pair Corr
0.44	TRV	The Travelers Companies	Pair Corr

Related Correlations Analysis

	PFSEX	PFSMX	PFTEX	PFDOX	PFADX
PFSEX		0.59	0.99	0.87	0.93	PFSEX
PFSMX	0.59		0.56	0.49	0.56	PFSMX
PFTEX	0.99	0.56		0.89	0.94	PFTEX
PFDOX	0.87	0.49	0.89		0.98	PFDOX
PFADX	0.93	0.56	0.94	0.98		PFADX
	PFSEX	PFSMX	PFTEX	PFDOX	PFADX

Risk-Adjusted Indicators

There is a big difference between Riskproreg; Mutual Fund performing well and Riskproreg; Dynamic 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 Riskproreg; Dynamic'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
PFSEX	0.48	0.12	0.05	(0.60)	0.44	(0.55)	1.24	(0.98)	3.06
PFSMX	0.44	0.13	0.06	(1.00)	0.32	(0.54)	1.01	(0.81)	3.31
PFTEX	0.42	0.10	0.03	(0.64)	0.26	(0.56)	1.06	(0.77)	2.70
PFDOX	0.20	0.04	(0.13)	(1.82)	0.08	(0.27)	0.36	(0.35)	1.41
PFADX	0.20	0.04	(0.11)	(0.66)	0.11	(0.24)	0.42	(0.42)	1.06

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