MIDCAP FUND Correlations

PEMGX Fund

USD 37.76 -0.45 -1.18%

Current 90-days correlation between Midcap Fund Class and Strategic Advisers Fidelity is -0.11 (i.e., Good diversification).Correlation analysis for MIDCAP FUND quantifies the degree to which its price movements mirror or diverge from those of related assets. A coefficient near +1 signals strong co-movement, while a coefficient near -1 indicates consistent opposite movement.

Market Correlation - MIDCAP FUND

Modest diversification

Across the chosen horizon, PEMGX and DJI show a correlation of 0.29 and fall into the Modest diversification bucket. In portfolio terms, the overlap visualization shows how much shared movement remains after both positions are combined.

Use Your Equity Center to better understand diversified portfolio construction. Clearer exposure analysis supports long-term portfolio balance. This includes a position in Midcap Fund Class in the portfolio view. 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 MIDCAP Mutual Fund

0.81	PGBEX	Blue Chip Fund	Pair Corr
0.82	PGBGX	Blue Chip Fund	Pair Corr
0.83	PGBHX	Blue Chip Fund	Pair Corr
0.61	PGDCX	Global Diversified Income	Pair Corr

Moving against MIDCAP Mutual Fund

0.55	PFRSX	Real Estate Securities	Pair Corr
0.56	PGSLX	Principal Global	Pair Corr
0.45	PGDRX	Diversified Real Asset	Pair Corr
0.45	PGRUX	Global Real Estate	Pair Corr
0.45	PGRKX	Global Real Estate	Pair Corr
0.39	STCCX	Short Term Income	Pair Corr

Related Correlations Analysis

	SWTSX	DFCEX	TRFHX	FKDNX	RFKTX	BHYIX	FOCPX	OTCIX	DFQTX	FGOMX
SWTSX		0.36	0.5	0.6	0.76	0.42	0.82	0.56	0.67	0.39	SWTSX
DFCEX	0.36		0.98	0.17	0.85	0.87	0.43	-0.41	0.89	1.0	DFCEX
TRFHX	0.5	0.98		0.24	0.92	0.89	0.5	-0.28	0.95	0.98	TRFHX
FKDNX	0.6	0.17	0.24		0.51	0.34	0.48	0.42	0.29	0.21	FKDNX
RFKTX	0.76	0.85	0.92	0.51		0.84	0.68	0.06	0.93	0.88	RFKTX
BHYIX	0.42	0.87	0.89	0.34	0.84		0.38	-0.31	0.84	0.89	BHYIX
FOCPX	0.82	0.43	0.5	0.48	0.68	0.38		0.32	0.57	0.46	FOCPX
OTCIX	0.56	-0.41	-0.28	0.42	0.06	-0.31	0.32		-0.15	-0.38	OTCIX
DFQTX	0.67	0.89	0.95	0.29	0.93	0.84	0.57	-0.15		0.89	DFQTX
FGOMX	0.39	1.0	0.98	0.21	0.88	0.89	0.46	-0.38	0.89		FGOMX
	SWTSX	DFCEX	TRFHX	FKDNX	RFKTX	BHYIX	FOCPX	OTCIX	DFQTX	FGOMX

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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

FGOMX	+ 1.0	DFCEX
TRFHX	+ 0.98	DFCEX
FGOMX	+ 0.98	TRFHX
DFQTX	+ 0.95	TRFHX
DFQTX	+ 0.93	RFKTX
RFKTX	+ 0.92	TRFHX

High negative correlations

OTCIX	- 0.41	DFCEX
FGOMX	- 0.38	OTCIX
OTCIX	- 0.31	BHYIX
OTCIX	- 0.28	TRFHX
DFQTX	- 0.15	OTCIX

Risk-Adjusted Indicators

There is a big difference between MIDCAP Mutual Fund performing well and MIDCAP FUND 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 MIDCAP FUND'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
SWTSX	0.58	0.00	0.00	-0.03	0.00	0.00	0.92	-1.40	3.76
DFCEX	0.69	0.15	0.15	0.24	0.89	-0.74	1.39	-1.06	6.20
TRFHX	0.36	0.03	0.08	0.04	0.48	-0.36	0.62	-0.83	2.70
FKDNX	1.18	0.08	0.07	-0.37	1.43	-1.24	1.90	-2.60	16.97
RFKTX	0.53	0.03	0.04	0.02	0.73	-0.54	0.88	-1.20	3.97
BHYIX	0.11	0.00	0.11	-0.02	0.06	-0.20	0.28	-0.14	0.70
FOCPX	0.91	0.04	0.03	0.03	1.57	-0.80	1.74	-1.93	8.40
OTCIX	0.91	-0.08	0.00	-0.09	0.00	0.00	1.43	-2.05	5.64
DFQTX	0.55	0.02	0.04	0.01	0.74	-0.56	0.88	-1.28	3.92
FGOMX	0.80	0.18	0.14	0.21	1.00	-0.88	1.84	-1.25	6.91

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