Largecap Value Correlations

Mutual Funds . USA . 
Fund . Largecap Value Fund
PLVIX Fund  USD 19.88  0.03  0.15%   
The current 90-days correlation between Largecap Value and Strategic Asset Management is -0.16 (i.e., Good diversification). The correlation of Largecap Value 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 Value Correlation With Market

Almost no diversification

The correlation between Largecap Value Fund and DJI is 0.93 (i.e., Almost no diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Largecap Value 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 Largecap Value 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 gross domestic product.

Moving together with Largecap Mutual Fund

  0.97SABPX Strategic Asset ManaPairCorr
  0.96SACAX Strategic Asset ManaPairCorr
  0.96SAGPX Strategic Asset ManaPairCorr
  0.96PFIJX Strategic Asset ManaPairCorr
  0.92PFIEX International EquityPairCorr
  0.98PFIFX Strategic Asset ManaPairCorr
  0.94PFISX International Small PanyPairCorr
  0.98PFIPX Strategic Asset ManaPairCorr
  0.97SAIPX Strategic Asset ManaPairCorr
  0.98PFLJX Principal Lifetime 2050PairCorr
  0.98PFPPX Midcap GrowthPairCorr
  0.66PFRSX Real Estate SecuritiesPairCorr
  0.96SAUPX Strategic Asset ManaPairCorr
  0.96PFUMX Finisterre UnconstrainedPairCorr
  0.96PGBAX Global Diversified IncomePairCorr
  0.97PGBLX Global Diversified IncomePairCorr
  0.97PGBEX Blue Chip FundPairCorr
  0.97PGBGX Blue Chip FundPairCorr
  0.97PGBHX Blue Chip FundPairCorr
  0.95PGDCX Global Diversified IncomePairCorr
  0.96PGDIX Global Diversified IncomePairCorr
  0.93PGDRX Diversified Real AssetPairCorr
  0.98PGLSX Global Multi StrategyPairCorr
  0.89STCCX Short Term IncomePairCorr
  0.98PGRTX Smallcap GrowthPairCorr
  0.83PGRUX Global Real EstatePairCorr
  0.7PGSLX Principal Global SusPairCorr
  0.81PGRKX Global Real EstatePairCorr
  0.98PGWIX Midcap GrowthPairCorr
  0.99SCBPX Strategic Asset ManaPairCorr
  0.97SCIPX Strategic Asset ManaPairCorr
  0.98SCGPX Strategic Asset ManaPairCorr
  0.98PHJEX Principal Lifetime HybridPairCorr
  0.98PHJFX Principal Lifetime HybridPairCorr
  0.98PHJGX Principal Lifetime HybridPairCorr
  0.98PHJBX Principal Lifetime HybridPairCorr
  0.98PHJDX Principal Lifetime HybridPairCorr
  0.98PHJNX Principal Lifetime HybridPairCorr
  0.97PHJQX Principal Lifetime HybridPairCorr
  0.97PHJJX Principal Lifetime HybridPairCorr

Related Correlations Analysis

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Risk-Adjusted Indicators

There is a big difference between Largecap Mutual Fund performing well and Largecap Value 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 Value'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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
SABPX  0.39  0.15  0.02 (2.65) 0.24 
(0.44)
 1.21 
(0.83)
 2.84 
SACAX  0.54  0.21  0.09 (2.36) 0.43 
(0.61)
 1.64 
(1.27)
 3.89 
SAGPX  0.47  0.19  0.06 (2.23) 0.36 
(0.53)
 1.49 
(1.10)
 3.45 
PFIJX  0.22  0.08 (0.14)(3.74) 0.00 
(0.29)
 0.69 
(0.40)
 1.61 
PFIEX  0.56  0.12  0.05  0.41  0.47 
(0.62)
 1.33 
(1.13)
 3.32 
PFIFX  0.23  0.03 (0.19) 0.25  0.04 
(0.28)
 0.60 
(0.40)
 1.51 
PFISX  0.48  0.17  0.09  0.85  0.24 
(0.57)
 1.29 
(0.85)
 2.75 
PFIPX  0.22  0.03 (0.17) 0.26  0.06 
(0.28)
 0.57 
(0.40)
 1.59 
SAIPX  0.28  0.11 (0.06)(3.24) 0.00 
(0.33)
 0.89 
(0.46)
 1.97 
PFLJX  0.53  0.09  0.07  0.25  0.43 
(0.59)
 1.62 
(1.27)
 3.85 

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