Fixed Income Correlations

FXIEX Fund

USD 9.80 0.01 0.10%

The current 90-days correlation between Fixed Income Shares and T Rowe Price is 0.14 (i.e., Average diversification). The correlation of Fixed Income 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.

Fixed Income Correlation With Market

Significant diversification

The correlation between Fixed Income Shares and DJI is 0.08 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Fixed Income Shares and DJI in the same portfolio, assuming nothing else is changed.

Check out Investing Opportunities to better understand how to build diversified portfolios, which includes a position in Fixed Income Shares. 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 commodities.

Moving together with Fixed Mutual Fund

0.84	PFGAX	Long Term Government	Pair Corr
0.85	PFORX	Pimco Foreign Bond	Pair Corr
0.9	PGCAX	Investment Grade Porate	Pair Corr
0.77	PGOVX	Long Term Government	Pair Corr
0.91	PGSAX	Pimco Global Advantage	Pair Corr
0.79	PHDCX	High Yield Fund	Pair Corr
0.9	PIGIX	Investment Grade Porate	Pair Corr
0.89	PIINX	Pimco Income	Pair Corr
0.89	PIMIX	Pimco Income	Pair Corr
0.89	PIPNX	Pimco Income	Pair Corr
0.95	FXICX	Fixed Income Shares	Pair Corr
0.63	FXIDX	Fixed Income Shares	Pair Corr
0.91	FXIMX	Fixed Income Shares	Pair Corr
0.72	FXIRX	Fixed Income Shares	Pair Corr
0.69	PMZCX	Pimco Mortgage Oppor	Pair Corr
1.0	PNYAX	New York Municipal	Pair Corr
0.89	PONAX	Pimco Income	Pair Corr
0.89	PONCX	Pimco Income	Pair Corr
0.89	PONRX	Pimco Income	Pair Corr
0.89	PONPX	Pimco Incme Fund	Pair Corr
0.84	PPQAX	Pimco Realpath Blend	Pair Corr
0.84	PPQZX	Pimco Realpath Blend	Pair Corr
0.94	PQTAX	Pimco Trends Managed	Pair Corr
0.94	PQTIX	Aa Pimco Tr	Pair Corr
0.94	PQTNX	Pimco Trends Managed	Pair Corr
0.83	PRQAX	Pimco Realpath Blend	Pair Corr
0.84	PRQZX	Pimco Realpath Blend	Pair Corr
0.71	PRRIX	Real Return Fund	Pair Corr
0.89	PAAIX	All Asset Fund	Pair Corr
0.88	PAALX	All Asset Fund	Pair Corr
0.88	PAANX	Pimco All Asset	Pair Corr
0.89	PALPX	Pimco All Asset	Pair Corr
0.88	PASAX	All Asset Fund	Pair Corr
0.88	PASCX	All Asset Fund	Pair Corr
0.7	PARRX	Real Return Fund	Pair Corr
0.86	PAUIX	Pimco All Asset	Pair Corr

Moving against Fixed Mutual Fund

0.62	PWLBX	Pimco Rae Worldwide	Pair Corr
0.56	PDI	Pimco Dynamic Income	Pair Corr

Related Correlations Analysis

	TBLCX	FHTFX	VWAHX	FLDFX	SGICX	ABVCX	XMHFX
TBLCX		0.85	0.86	0.99	0.7	0.94	0.82	TBLCX
FHTFX	0.85		0.99	0.83	0.6	0.83	0.93	FHTFX
VWAHX	0.86	0.99		0.84	0.6	0.83	0.93	VWAHX
FLDFX	0.99	0.83	0.84		0.71	0.94	0.78	FLDFX
SGICX	0.7	0.6	0.6	0.71		0.82	0.48	SGICX
ABVCX	0.94	0.83	0.83	0.94	0.82		0.73	ABVCX
XMHFX	0.82	0.93	0.93	0.78	0.48	0.73		XMHFX
	TBLCX	FHTFX	VWAHX	FLDFX	SGICX	ABVCX	XMHFX

Risk-Adjusted Indicators

There is a big difference between Fixed Mutual Fund performing well and Fixed Income 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 Fixed Income'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
TBLCX	0.26	0.01	(0.04)	0.09	0.30	(0.27)	0.56	(0.55)	1.67
FHTFX	0.13	0.07	0.04	(11.27)	0.00	(0.23)	0.39	(0.13)	1.16
VWAHX	0.14	0.07	0.07	16.03	0.00	(0.24)	0.48	(0.19)	0.97
FLDFX	0.42	0.02	0.00	0.09	0.54	(0.42)	0.89	(0.73)	2.65
SGICX	0.40	0.03	0.01	0.10	0.45	(0.45)	0.87	(0.92)	2.54
ABVCX	0.51	0.03	0.04	0.10	0.58	(0.59)	1.23	(1.12)	3.47
XMHFX	0.15	0.03	(0.09)	4.28	0.00	(0.22)	0.29	(0.15)	1.45

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