Portfolio Correlations

PORIX Fund

USD 56.78 0.19 0.33%

The current 90-days correlation between Portfolio 21 Global and Franklin International Growth is 0.16 (i.e., Average diversification). The correlation of Portfolio 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.

Portfolio Correlation With Market

Very poor diversification

The correlation between Portfolio 21 Global 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 Portfolio 21 Global 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 Portfolio 21 Global. 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 Portfolio Mutual Fund

0.79	PORTX	Portfolio 21 Global	Pair Corr
0.93	CWGIX	Capital World Growth	Pair Corr
0.94	CWGFX	Capital World Growth	Pair Corr
0.94	CWGCX	Capital World Growth	Pair Corr
0.74	FCWGX	American Funds Capital	Pair Corr
0.74	FWCGX	American Funds Capital	Pair Corr
0.94	RWIFX	Capital World Growth	Pair Corr
0.74	CWICX	Capital World Growth	Pair Corr
0.94	RWIAX	Capital World Growth	Pair Corr
0.93	CWIAX	Capital World Growth	Pair Corr
0.94	WGIFX	Capital World Growth	Pair Corr
0.9	BRUFX	Bruce Fund Bruce	Pair Corr
0.76	SPGSX	State Street Premier	Pair Corr
0.73	KF	Korea Closed	Pair Corr
0.94	URFRX	Target Retirement 2040	Pair Corr
0.81	MPLAX	Praxis International	Pair Corr
0.84	SDGFX	Sdit Short Duration	Pair Corr
0.71	PTIMX	Performance Trust	Pair Corr
0.68	NQGIX	Nuveen Nwq Global	Pair Corr
0.84	RAFTX	American Funds 2035	Pair Corr
0.97	GMJPX	Goldman Sachs Real	Pair Corr
0.97	BAFAX	Brown Advisory Flexible	Pair Corr
0.68	WBIIX	William Blair Instit	Pair Corr
0.68	GIKRX	Guggenheim Limited	Pair Corr
0.61	NWATX	Nationwide Destination	Pair Corr
0.7	LPXIX	Cohen Steers Low	Pair Corr
0.84	FSSMX	Fidelity Advisor Stock	Pair Corr
0.81	ANOYX	Small Cap Growth	Pair Corr
0.86	PNORX	Putnam Multi Cap	Pair Corr
0.8	DEMZX	Delaware Emerging Markets Steady Growth	Pair Corr
0.79	IDXFX	Voya Index Solution	Pair Corr

Related Correlations Analysis

	PORTX	RPGAX	ARYVX	VLEOX	DGLCX	DGLRX	DGLAX	SGLYX	FNGAX	FILRX
PORTX		0.88	0.69	0.86	0.75	0.76	0.75	0.8	0.77	0.86	PORTX
RPGAX	0.88		0.57	0.96	0.91	0.91	0.93	0.96	0.64	0.68	RPGAX
ARYVX	0.69	0.57		0.65	0.42	0.43	0.45	0.51	0.69	0.79	ARYVX
VLEOX	0.86	0.96	0.65		0.9	0.9	0.91	0.96	0.61	0.69	VLEOX
DGLCX	0.75	0.91	0.42	0.9		1.0	0.97	0.93	0.49	0.52	DGLCX
DGLRX	0.76	0.91	0.43	0.9	1.0		0.97	0.93	0.5	0.54	DGLRX
DGLAX	0.75	0.93	0.45	0.91	0.97	0.97		0.95	0.51	0.54	DGLAX
SGLYX	0.8	0.96	0.51	0.96	0.93	0.93	0.95		0.51	0.57	SGLYX
FNGAX	0.77	0.64	0.69	0.61	0.49	0.5	0.51	0.51		0.92	FNGAX
FILRX	0.86	0.68	0.79	0.69	0.52	0.54	0.54	0.57	0.92		FILRX
	PORTX	RPGAX	ARYVX	VLEOX	DGLCX	DGLRX	DGLAX	SGLYX	FNGAX	FILRX

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Risk-Adjusted Indicators

There is a big difference between Portfolio Mutual Fund performing well and Portfolio 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 Portfolio'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
PORTX	0.52	0.02	0.00	0.09	0.62	(0.53)	1.09	(1.09)	3.15
RPGAX	0.38	0.13	0.16	1.15	0.00	(0.46)	0.74	(0.67)	5.00
ARYVX	0.44	(0.03)	(0.09)	(0.02)	0.69	(0.43)	0.89	(1.24)	2.89
VLEOX	0.84	0.10	0.10	0.18	0.70	(0.97)	1.75	(1.37)	6.80
DGLCX	1.54	0.75	0.82	(49.93)	0.00	(1.88)	1.29	(1.20)	49.44
DGLRX	1.27	0.58	0.62	3.38	0.00	(1.55)	1.31	(1.22)	38.51
DGLAX	1.29	0.64	0.71	(13.59)	0.00	(1.49)	1.29	(1.16)	40.25
SGLYX	0.47	0.14	0.20	0.66	0.00	(0.64)	0.84	(0.62)	9.22
FNGAX	0.73	0.04	(0.01)	0.28	0.96	(0.74)	1.37	(1.78)	3.80
FILRX	0.71	(0.04)	(0.05)	0.02	0.96	(0.73)	1.35	(1.81)	3.81

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Portfolio Correlations

Portfolio Correlation With Market

Very poor diversification

Moving together with Portfolio Mutual Fund

Related Correlations Analysis

Risk-Adjusted Indicators

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