Riskproreg Dynamic Correlations

PFJDX Fund

USD 12.45 0.02 0.16%

The current 90-days correlation between Riskproreg Dynamic and Morgan Stanley Emerging is 0.29 (i.e., Modest diversification). The correlation of Riskproreg Dynamic 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.

Riskproreg Dynamic Correlation With Market

Very good diversification

The correlation between Riskproreg Dynamic 20 30 and DJI is -0.23 (i.e., Very good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Riskproreg Dynamic 20 30 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 Riskproreg Dynamic 20 30. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as various price indices.

Moving together with Riskproreg Mutual Fund

0.99	FBONX	American Funds American	Pair Corr
0.99	FBAFX	American Funds American	Pair Corr
0.99	ABALX	American Balanced	Pair Corr
0.99	BALCX	American Balanced	Pair Corr
0.99	BALFX	American Balanced	Pair Corr
0.99	RLBCX	American Balanced	Pair Corr
0.99	RLBBX	American Balanced	Pair Corr
0.99	CLBAX	American Balanced	Pair Corr
0.99	CLBEX	American Balanced	Pair Corr
0.99	RLBFX	American Balanced	Pair Corr
0.95	DXQLX	Direxion Monthly Nasdaq	Pair Corr
0.95	RYVLX	Nasdaq 100 2x	Pair Corr
0.95	RYVYX	Nasdaq 100 2x	Pair Corr
0.95	UOPIX	Ultra Nasdaq 100	Pair Corr
0.95	RYCCX	Nasdaq 100 2x	Pair Corr
0.95	UOPSX	Ultranasdaq 100 Profund	Pair Corr
0.81	INPIX	Internet Ultrasector	Pair Corr
0.79	INPSX	Internet Ultrasector	Pair Corr
0.88	BIPIX	Biotechnology Ultrasector	Pair Corr
0.78	CSFAX	Cohen Steers Global	Pair Corr
0.99	FAUTX	American Funds 2040	Pair Corr
0.95	POSKX	Primecap Odyssey Stock	Pair Corr
0.96	RYATX	Nasdaq 100 Fund	Pair Corr
0.89	PVFAX	Paradigm Value	Pair Corr
0.92	DOXIX	Dodge Cox Income	Pair Corr
0.64	IBM	International Business Earnings Call This Week	Pair Corr
0.71	CAT	Caterpillar	Pair Corr
0.82	INTC	Intel	Pair Corr
0.81	AXP	American Express	Pair Corr
0.76	JNJ	Johnson Johnson	Pair Corr
0.83	BAC	Bank of America	Pair Corr
0.84	GE	GE Aerospace Earnings Call This Week	Pair Corr

Moving against Riskproreg Mutual Fund

0.67	DIS	Walt Disney	Pair Corr
0.66	BA	Boeing	Pair Corr

Related Correlations Analysis

	MSD	HADUX	PFTEX	AVEWX	HJSIX	FLOWX	BUFMX	WHOSX	CAMYX	POGSX
MSD		0.46	0.47	0.74	0.5	0.06	0.24	0.25	0.4	0.46	MSD
HADUX	0.46		0.99	0.72	0.73	0.37	-0.26	0.8	0.85	0.99	HADUX
PFTEX	0.47	0.99		0.77	0.79	0.48	-0.23	0.76	0.9	0.98	PFTEX
AVEWX	0.74	0.72	0.77		0.81	0.49	0.08	0.36	0.74	0.74	AVEWX
HJSIX	0.5	0.73	0.79	0.81		0.57	-0.29	0.55	0.72	0.76	HJSIX
FLOWX	0.06	0.37	0.48	0.49	0.57		-0.11	0.15	0.65	0.41	FLOWX
BUFMX	0.24	-0.26	-0.23	0.08	-0.29	-0.11		-0.31	-0.17	-0.24	BUFMX
WHOSX	0.25	0.8	0.76	0.36	0.55	0.15	-0.31		0.6	0.79	WHOSX
CAMYX	0.4	0.85	0.9	0.74	0.72	0.65	-0.17	0.6		0.83	CAMYX
POGSX	0.46	0.99	0.98	0.74	0.76	0.41	-0.24	0.79	0.83		POGSX
	MSD	HADUX	PFTEX	AVEWX	HJSIX	FLOWX	BUFMX	WHOSX	CAMYX	POGSX

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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

PFTEX	+ 0.99	HADUX
POGSX	+ 0.99	HADUX
POGSX	+ 0.98	PFTEX
CAMYX	+ 0.9	PFTEX
CAMYX	+ 0.85	HADUX
POGSX	+ 0.83	CAMYX

High negative correlations

WHOSX	- 0.31	BUFMX
BUFMX	- 0.29	HJSIX
BUFMX	- 0.26	HADUX
POGSX	- 0.24	BUFMX
BUFMX	- 0.23	PFTEX
CAMYX	- 0.17	BUFMX

Risk-Adjusted Indicators

There is a big difference between Riskproreg Mutual Fund performing well and Riskproreg Dynamic 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 Riskproreg Dynamic'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
MSD	0.38	(0.01)	0.00	0.38	0.00	0.00	0.83	(0.82)	2.45
HADUX	0.40	0.10	0.06	(0.41)	0.45	(0.44)	0.87	(0.63)	3.74
PFTEX	0.42	0.08	0.04	(0.42)	0.49	(0.51)	1.22	(0.62)	3.92
AVEWX	0.60	0.02	(0.04)	(0.10)	0.80	(0.60)	1.20	(1.05)	4.11
HJSIX	0.70	0.13	0.06	(0.30)	0.86	(0.77)	1.71	(1.39)	5.59
FLOWX	0.61	0.06	0.00	(0.33)	0.78	(0.62)	1.30	(1.06)	4.75
BUFMX	0.63	(0.01)	0.00	0.09	0.00	0.00	1.44	(1.10)	3.97
WHOSX	0.67	0.12	0.11	(1.33)	0.47	(0.83)	1.85	(0.90)	3.14
CAMYX	0.59	0.07	0.02	(1.56)	0.66	(0.66)	1.35	(1.24)	3.72
POGSX	0.51	0.10	0.05	(0.37)	0.56	(0.57)	1.02	(0.78)	3.87

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