Pimco High Correlations

Funds . USA . 
Fund . Pimco High Income
PHK Fund  USD 5.00  0.01  0.20%   
The current 90-days correlation between Pimco High Income and Pimco Income Strategy is 0.18 (i.e., Average diversification). A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Pimco High moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Pimco High Income moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

Pimco High Correlation With Market

Good diversification

The correlation between Pimco High Income and DJI is -0.05 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Pimco High Income 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 Pimco High Income. Also, note that the market value of any fund could be closely tied with the direction of predictive economic indicators such as signals in census.

Moving together with Pimco Fund

  0.69NEA Nuveen Amt FreePairCorr
  0.92DNP Dnp Select IncomePairCorr
  0.7NAD Nuveen Dividend AdvantagePairCorr
  0.69CSQ Calamos Strategic TotalPairCorr
  0.62NZF Nuveen Municipal CreditPairCorr
  0.87PTY Pimco Corporate IncomePairCorr
  0.95LDMAX Lord Abbett EmergingPairCorr
  0.78RNWBX New World FundPairCorr
  0.91FLTDX Nuveen Limited TermPairCorr
  0.93FTFOX FtfoxPairCorr
  0.95SMSYX Stet MassachusettsPairCorr
  0.92ACP Aberdeen Income CreditPairCorr
  0.87HGOVX Hartford GrowthPairCorr
  0.88XACVX Allianzgi DiversifiedPairCorr
  0.72SVOAX Simt Managed VolatilityPairCorr
  0.74GERAX Goldman Sachs EmergingPairCorr
  0.84DALVX Dunham Large CapPairCorr
  0.76WSCYX Ivy Small CapPairCorr
  0.79MADRX Madison FundsPairCorr
  0.83PPSIX Preferred SecuritiesPairCorr
  0.85TMSRX T Rowe PricePairCorr
  0.87CLM Cornerstone StrategicPairCorr
  0.81FLRDX Franklin LifesmartPairCorr
  0.84RWMAX Washington MutualPairCorr

Related Correlations Analysis


Risk-Adjusted Indicators

There is a big difference between Pimco Fund performing well and Pimco High 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 Pimco High'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
PCM  0.37  0.08 (0.05)(0.37) 0.37 
(0.44)
 0.80 
(0.79)
 2.75 
PFL  0.19  0.07 (0.07) 1.74  0.00 
(0.27)
 0.49 
(0.36)
 1.20 
PCN  0.21  0.07 (0.01) 0.40  0.00 
(0.27)
 0.49 
(0.40)
 1.53 
PAXS  0.31  0.16  0.18 (6.92) 0.00 
(0.37)
 0.82 
(0.39)
 1.42 
PTY  0.16  0.09  0.02  0.86  0.00 
(0.23)
 0.42 
(0.21)
 1.75 
PDI  0.19  0.13  0.13  8.68  0.00 
(0.27)
 0.57 
(0.16)
 1.18 
GOF  0.27  0.06 (0.03) 0.34  0.19 
(0.31)
 0.62 
(0.56)
 1.85 
PDO  0.21  0.10  0.06  0.91  0.00 
(0.29)
 0.45 
(0.30)
 0.96 
BTZ  0.28  0.04 (0.08) 0.28  0.14 
(0.35)
 0.66 
(0.56)
 1.47 
PFN  0.30  0.11  0.02 (0.93) 0.15 
(0.36)
 0.81 
(0.67)
 1.66 

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