Largecap Correlations

PLFIX Fund

USD 30.97 0.24 0.78%

The current 90-days correlation between Largecap Sp 500 and Dreyfus Natural Resources is 0.35 (i.e., Weak 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

Good diversification

The correlation between Largecap Sp 500 and DJI is -0.09 (i.e., Good 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 various price indices.

Moving together with Largecap Mutual Fund

1.0	VTSAX	Vanguard Total Stock	Pair Corr
1.0	VFIAX	Vanguard 500 Index	Pair Corr
1.0	VTSMX	Vanguard Total Stock	Pair Corr
1.0	VITSX	Vanguard Total Stock	Pair Corr
1.0	VSMPX	Vanguard Total Stock	Pair Corr
1.0	VSTSX	Vanguard Total Stock	Pair Corr
1.0	VFINX	Vanguard 500 Index	Pair Corr
1.0	VFFSX	Vanguard 500 Index	Pair Corr
1.0	VINIX	Vanguard Institutional	Pair Corr
1.0	VIIIX	Vanguard Institutional	Pair Corr
0.92	FSMMX	Fs Multi Strategy	Pair Corr
0.79	BTMPX	Ishares Msci Eafe	Pair Corr
0.8	BTMKX	Blackrock International	Pair Corr
0.79	MDIIX	Blackrock Intern Index	Pair Corr
0.71	JPM	JPMorgan Chase	Pair Corr
0.7	MRK	Merck Company	Pair Corr
0.7	MSFT	Microsoft	Pair Corr
0.74	JNJ	Johnson Johnson	Pair Corr

Moving against Largecap Mutual Fund

0.7	PG	Procter Gamble	Pair Corr
0.39	MCD	McDonalds	Pair Corr
0.35	KO	Coca Cola	Pair Corr

Related Correlations Analysis

	DNLAX	GRHAX	XTYGX	IGNAX	XGNTX	AIWEX	PSPFX
DNLAX		0.9	0.36	0.93	0.58	0.89	0.79	DNLAX
GRHAX	0.9		0.43	0.96	0.73	0.94	0.94	GRHAX
XTYGX	0.36	0.43		0.51	0.26	0.61	0.46	XTYGX
IGNAX	0.93	0.96	0.51		0.76	0.94	0.94	IGNAX
XGNTX	0.58	0.73	0.26	0.76		0.65	0.81	XGNTX
AIWEX	0.89	0.94	0.61	0.94	0.65		0.88	AIWEX
PSPFX	0.79	0.94	0.46	0.94	0.81	0.88		PSPFX
	DNLAX	GRHAX	XTYGX	IGNAX	XGNTX	AIWEX	PSPFX

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
DNLAX	0.77	0.05	(0.05)	0.58	0.75	(0.94)	1.42	(1.31)	4.20
GRHAX	0.98	0.20	0.11	1.20	0.76	(1.16)	2.06	(1.51)	6.03
XTYGX	0.80	0.07	(0.04)	(1.54)	0.96	(0.84)	1.85	(2.06)	4.73
IGNAX	0.68	0.12	0.04	0.96	0.48	(0.83)	1.87	(1.09)	3.38
XGNTX	0.52	0.08	(0.04)	1.28	0.57	(0.59)	1.15	(1.12)	3.43
AIWEX	0.81	0.14	0.04	0.78	0.89	(0.91)	2.05	(1.46)	4.98
PSPFX	0.68	0.22	0.18	0.87	0.28	(0.93)	1.65	(0.94)	4.08

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