Pimco Corporate Correlations

PTY Fund

USD 12.88 0.08 0.62%

The current 90-days correlation between Pimco Corporate Income and Nuveen Preferred Income is 0.25 (i.e., Modest diversification). The correlation of Pimco Corporate 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.

Pimco Corporate Correlation With Market

Very weak diversification

The correlation between Pimco Corporate Income and DJI is 0.59 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Pimco Corporate 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 Corporate 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 population.

Moving together with Pimco Fund

0.64	FFIAX	Fpa Flexible Fixed	Pair Corr
0.65	QRSAX	Fpa Queens Road	Pair Corr
0.65	QRSIX	Fpa Queens Road	Pair Corr
0.68	QRSVX	Queens Road Small	Pair Corr
0.62	QRVLX	Queens Road Value	Pair Corr
0.65	FPFIX	Fpa Flexible Fixed	Pair Corr
0.61	FPNRX	Fpa New Income	Pair Corr
0.63	FPNIX	Fpa New Income	Pair Corr
0.75	SCD	Lmp Capital And	Pair Corr
0.64	ACV	Allianzgi Diversified	Pair Corr
0.65	ETO	Eaton Vance Tax	Pair Corr
0.69	EMO	Clearbridge Energy Mlp	Pair Corr
0.71	SSDYX	State Street Target	Pair Corr
0.72	EABSX	Eaton Vance Tabs	Pair Corr
0.64	RNEBX	New World Fund	Pair Corr
0.67	WSHNX	Short Duration Income	Pair Corr
0.7	FTGMX	Salient Tactical Growth	Pair Corr
0.76	GMAYX	Gmo Small Cap	Pair Corr
0.68	DPLTX	Dreyfus High Yield	Pair Corr
0.67	DFITX	Dfa International Real	Pair Corr
0.66	RTISX	Select International	Pair Corr
0.72	FJSCX	Fidelity Japan Smaller	Pair Corr
0.64	CDBCX	Diversified Bond	Pair Corr
0.64	JSOAX	Jpmorgan Strategic Income	Pair Corr
0.64	HMSFX	Hennessy Bp Midstream	Pair Corr
0.71	SRMAX	Deutsche Short Term	Pair Corr
0.71	TEBCX	Tax Exempt Bond	Pair Corr
0.74	RBEEX	American Funds 2030	Pair Corr

Related Correlations Analysis

	JPC	ACP-PA	ETY	NZF	YAFFX	YAFIX	EXG	ADX	NVG	CLM
JPC		0.68	-0.08	0.65	0.76	0.76	0.81	0.71	0.84	-0.08	JPC
ACP-PA	0.68		-0.21	0.42	0.55	0.55	0.56	0.54	0.72	-0.25	ACP-PA
ETY	-0.08	-0.21		-0.29	-0.3	-0.3	0.01	0.01	-0.37	0.49	ETY
NZF	0.65	0.42	-0.29		0.41	0.41	0.4	0.29	0.85	-0.48	NZF
YAFFX	0.76	0.55	-0.3	0.41		1.0	0.93	0.8	0.74	0.11	YAFFX
YAFIX	0.76	0.55	-0.3	0.41	1.0		0.93	0.8	0.74	0.11	YAFIX
EXG	0.81	0.56	0.01	0.4	0.93	0.93		0.84	0.69	0.24	EXG
ADX	0.71	0.54	0.01	0.29	0.8	0.8	0.84		0.62	0.17	ADX
NVG	0.84	0.72	-0.37	0.85	0.74	0.74	0.69	0.62		-0.38	NVG
CLM	-0.08	-0.25	0.49	-0.48	0.11	0.11	0.24	0.17	-0.38		CLM
	JPC	ACP-PA	ETY	NZF	YAFFX	YAFIX	EXG	ADX	NVG	CLM

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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

YAFIX	+ 1.0	YAFFX
EXG	+ 0.93	YAFFX
EXG	+ 0.93	YAFIX
NVG	+ 0.85	NZF
NVG	+ 0.84	JPC
ADX	+ 0.84	EXG

High negative correlations

CLM	- 0.48	NZF
CLM	- 0.38	NVG
NVG	- 0.37	ETY
YAFIX	- 0.3	ETY
YAFFX	- 0.3	ETY
NZF	- 0.29	ETY

Risk-Adjusted Indicators

There is a big difference between Pimco Fund performing well and Pimco Corporate 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 Corporate'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
JPC	0.37	0.05	(0.05)	0.28	0.24	(0.45)	0.65	(0.61)	2.76
ACP-PA	0.42	0.00	(0.16)	0.15	0.48	(0.45)	1.03	(0.91)	2.90
ETY	0.59	(0.04)	(0.11)	0.02	0.71	(0.63)	1.19	(1.14)	3.62
NZF	0.42	0.05	(0.06)	0.55	0.43	(0.46)	1.22	(0.57)	2.35
YAFFX	0.78	0.55	0.58	3.19	0.00	(1.05)	1.43	(0.71)	15.86
YAFIX	0.79	0.55	0.59	3.23	0.00	(1.05)	1.44	(0.71)	16.03
EXG	0.56	0.09	0.07	0.28	0.44	(0.68)	1.22	(1.15)	3.01
ADX	0.60	(0.01)	(0.08)	0.09	0.63	(0.64)	1.44	(1.07)	3.00
NVG	0.38	0.12	0.04	11.65	0.00	(0.51)	1.16	(0.67)	2.16
CLM	0.67	(0.01)	(0.06)	0.06	1.19	(0.71)	1.78	(1.34)	7.07

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