Principal Lifetime Correlations

PHJYX Fund

USD 16.50 0.03 0.18%

The current 90-days correlation between Principal Lifetime Hybrid and Great West Goldman Sachs is 0.5 (i.e., Very weak diversification). The correlation of Principal Lifetime 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.

Principal Lifetime Correlation With Market

Very weak diversification

The correlation between Principal Lifetime Hybrid and DJI is 0.53 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Principal Lifetime Hybrid 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 Principal Lifetime Hybrid. 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 manufacturing.

Moving together with Principal Mutual Fund

0.67	PFIJX	Strategic Asset Mana	Pair Corr
0.64	PFIFX	Strategic Asset Mana	Pair Corr
0.64	PFIPX	Strategic Asset Mana	Pair Corr
0.63	SAIPX	Strategic Asset Mana	Pair Corr
0.67	SAUPX	Strategic Asset Mana	Pair Corr
0.72	PGBAX	Global Diversified Income	Pair Corr
0.72	PGBLX	Global Diversified Income	Pair Corr
0.72	PGDCX	Global Diversified Income	Pair Corr
0.72	PGDIX	Global Diversified Income	Pair Corr
0.64	PGLSX	Global Multi Strategy	Pair Corr
0.66	STCCX	Short Term Income	Pair Corr
0.88	PGWIX	Midcap Growth	Pair Corr
0.61	SCIPX	Strategic Asset Mana	Pair Corr
0.61	PHJFX	Principal Lifetime Hybrid	Pair Corr
0.61	PHJNX	Principal Lifetime Hybrid	Pair Corr

Related Correlations Analysis

	MXKJX	GLRBX	GLDAX	IOGYX	SGDLX	VGSBX	MXMVX	XGGNX
MXKJX		0.91	0.59	0.67	0.65	0.2	0.93	0.74	MXKJX
GLRBX	0.91		0.65	0.7	0.68	0.41	0.96	0.79	GLRBX
GLDAX	0.59	0.65		0.98	0.93	0.1	0.56	0.89	GLDAX
IOGYX	0.67	0.7	0.98		0.95	0.05	0.65	0.92	IOGYX
SGDLX	0.65	0.68	0.93	0.95		-0.02	0.62	0.85	SGDLX
VGSBX	0.2	0.41	0.1	0.05	-0.02		0.25	0.14	VGSBX
MXMVX	0.93	0.96	0.56	0.65	0.62	0.25		0.78	MXMVX
XGGNX	0.74	0.79	0.89	0.92	0.85	0.14	0.78		XGGNX
	MXKJX	GLRBX	GLDAX	IOGYX	SGDLX	VGSBX	MXMVX	XGGNX

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

IOGYX	+ 0.98	GLDAX
MXMVX	+ 0.96	GLRBX
SGDLX	+ 0.95	IOGYX
MXMVX	+ 0.93	MXKJX
SGDLX	+ 0.93	GLDAX
XGGNX	+ 0.92	IOGYX

High negative correlations

VGSBX

- 0.02

SGDLX

Risk-Adjusted Indicators

There is a big difference between Principal Mutual Fund performing well and Principal Lifetime 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 Principal Lifetime'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
MXKJX	1.10	0.00	0.00	0.08	1.73	(1.27)	1.90	(2.50)	12.15
GLRBX	0.47	0.07	(0.01)	(2.17)	0.69	(0.45)	1.09	(1.08)	5.39
GLDAX	1.80	0.28	0.07	(116.98)	2.50	(1.75)	4.72	(3.99)	15.70
IOGYX	1.67	0.24	0.07	5.31	2.32	(1.82)	4.62	(3.71)	14.47
SGDLX	1.68	0.21	0.06	1.16	2.33	(1.73)	4.61	(3.13)	13.32
VGSBX	0.29	(0.01)	0.00	0.35	0.00	0.00	0.53	(0.54)	1.58
MXMVX	1.11	0.10	0.01	(1.12)	1.71	(1.25)	2.00	(2.53)	11.99
XGGNX	0.89	0.05	(0.02)	(3.40)	1.40	(1.01)	1.80	(1.60)	8.07

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