Long Term Correlations

PFGCX Fund

USD 14.09 0.05 0.36%

The current 90-days correlation between Long Term Government and Aqr Long Short Equity is 0.02 (i.e., Significant diversification). The correlation of Long Term 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.

Long Term Correlation With Market

Modest diversification

The correlation between Long Term Government Fund and DJI is 0.26 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Long Term Government 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 Long Term Government 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 world development indicators.

Moving together with Long Mutual Fund

0.72	PFBPX	Pimco Foreign Bond	Pair Corr
1.0	PFGAX	Long Term Government	Pair Corr
0.72	PFONX	Pimco International Bond	Pair Corr
0.71	PFORX	Pimco Foreign Bond	Pair Corr
0.71	PFOAX	Pimco Foreign Bond	Pair Corr
0.75	PFOCX	Pimco Foreign Bond	Pair Corr
0.72	PFRAX	Pimco Foreign Bond	Pair Corr
0.74	PFRRX	Pimco Foreign Bond	Pair Corr

Related Correlations Analysis

	QLENX	SMYIX	GMADX	AAEZX	SEHAX	EEIFX	GTLSX
QLENX		0.85	0.88	0.85	0.79	0.82	0.9	QLENX
SMYIX	0.85		0.94	0.85	0.94	0.92	0.83	SMYIX
GMADX	0.88	0.94		0.86	0.96	0.91	0.79	GMADX
AAEZX	0.85	0.85	0.86		0.79	0.9	0.88	AAEZX
SEHAX	0.79	0.94	0.96	0.79		0.88	0.72	SEHAX
EEIFX	0.82	0.92	0.91	0.9	0.88		0.86	EEIFX
GTLSX	0.9	0.83	0.79	0.88	0.72	0.86		GTLSX
	QLENX	SMYIX	GMADX	AAEZX	SEHAX	EEIFX	GTLSX

Risk-Adjusted Indicators

There is a big difference between Long Mutual Fund performing well and Long Term 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 Long Term'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
QLENX	0.31	0.08	0.08	0.32	0.00	(0.38)	0.73	(0.46)	1.66
SMYIX	0.52	0.01	(0.01)	0.08	0.75	(0.53)	1.16	(1.16)	3.28
GMADX	0.55	0.03	0.02	0.10	0.63	(0.61)	1.35	(1.08)	3.18
AAEZX	0.16	0.00	(0.23)	0.07	0.06	(0.25)	0.38	(0.38)	1.07
SEHAX	0.53	(0.01)	(0.02)	0.05	0.80	(0.49)	1.24	(1.28)	3.21
EEIFX	0.58	0.03	0.01	0.10	0.95	(0.61)	1.30	(1.28)	4.89
GTLSX	0.33	0.03	(0.03)	0.18	0.31	(0.35)	0.70	(0.56)	1.78

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Long Term Correlations

Long Term Correlation With Market

Modest diversification

Moving together with Long Mutual Fund

Related Correlations Analysis

Risk-Adjusted Indicators

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