Penn Mutual Correlations

Mutual Funds . USA . 
Fund . Penn Mutual Am
PMEFX Fund  USD 10.46  0.01  0.1%   
The current 90-days correlation between Penn Mutual Am and Penn Mutual Am is 0.4 (i.e., Very weak diversification). The correlation of Penn Mutual 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.

Penn Mutual Correlation With Market

Poor diversification

The correlation between Penn Mutual Am and DJI is 0.71 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Penn Mutual Am 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 Penn Mutual Am. 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 census.

Moving together with Penn Mutual Fund

  0.95PMUBX Penn Mutual AmPairCorr
  0.97VWINX Vanguard Wellesley IncomePairCorr
  0.96VWIAX Vanguard Wellesley IncomePairCorr
  0.98BKMIX Blackrock Multi AssetPairCorr
  0.98HBLTX Hartford BalancedPairCorr
  0.97HBLRX Hartford BalancedPairCorr
  0.98HBLSX Hartford BalancedPairCorr
  0.98HBLVX Hartford BalancedPairCorr
  0.98HBLYX Hartford BalancedPairCorr
  0.98HBLCX Hartford BalancedPairCorr
  0.98HBLIX Hartford BalancedPairCorr
  0.82GAAKX Gmo Alternative AlloPairCorr
  0.81GAAGX Gmo Alternative AlloPairCorr
  0.7GPBFX Gmo E PlusPairCorr
  0.98ENGAX Cboe Vest SpPairCorr
  0.99SUWCX Deutsche E EquityPairCorr
  0.89FADZX FadzxPairCorr
  0.99WSMVX Small Pany ValuePairCorr
  0.97SPRAX Prudential Qma MidPairCorr
  0.98PLCIX Voya Large CapPairCorr
  0.97NEQAX Neuberger Berman EquityPairCorr
  0.98ERSTX Eaton Vance LargePairCorr
  0.97AAIEX American Beacon IntePairCorr
  0.98MNEAX Mainstay Conservative EtfPairCorr
  0.95IHOAX Hartford InternaPairCorr
  0.93GMCFX Gmo International EquityPairCorr
  0.95VEUSX Vanguard European StockPairCorr
  0.98SRJYX Jpmorgan SmartretirementPairCorr
  0.99FWGIX Capital World GrowthPairCorr
  0.98LDMYX Lord Abbett EmergingPairCorr
  0.97FEIPX Fa529 Eq InPairCorr
  0.95BATIX Bmo Tch PoratePairCorr
  0.96MEGIX Msvif Growth PortPairCorr
  0.94GPPSX Goldman Sachs ShortPairCorr

Moving against Penn Mutual Fund

  0.39GPMFX Guidepath Managed FuturesPairCorr

Related Correlations Analysis

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Risk-Adjusted Indicators

There is a big difference between Penn Mutual Fund performing well and Penn Mutual 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 Penn Mutual'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
PMEFX  0.36  0.09  0.01  0.38  0.00 
(0.46)
 0.90 
(0.76)
 1.95 
PMUBX  0.09  0.02 (0.88) 0.64  0.00 
(0.13)
 0.21 
(0.11)
 0.43 
CSXAX  0.66  0.11  0.11  0.25  0.59 
(0.75)
 2.13 
(1.33)
 5.22 
RFAYX  0.24  0.01 (0.36) 0.26  0.22 
(0.26)
 0.50 
(0.50)
 1.17 
FSCTX  0.86  0.11  0.10  0.24  0.81 
(0.94)
 2.24 
(1.64)
 6.31 
CIOAX  0.49  0.12  0.04  0.60  0.43 
(0.55)
 0.94 
(0.91)
 3.00 
GSQRX  0.86  0.09  0.09  0.23  0.82 
(1.01)
 2.42 
(1.79)
 5.86 
ATEYX  0.60  0.17  0.16  0.35  0.38 
(0.70)
 1.84 
(1.51)
 3.89 
FHLSX  0.19  0.06 (0.10) 0.38  0.00 
(0.25)
 0.60 
(0.37)
 1.46 
GOGFX  0.91  0.06  0.05  0.19  0.86 
(1.04)
 2.16 
(1.72)
 6.24 

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