Fixed Income Correlations

FXIMX Fund

USD 8.99 0.04 0.44%

The current 90-days correlation between Fixed Income Shares and Versatile Bond Portfolio is 0.12 (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

Modest diversification

The correlation between Fixed Income Shares and DJI is 0.24 (i.e., Modest 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 industry.

Moving together with Fixed Mutual Fund

0.65	PFBPX	Pimco Foreign Bond	Pair Corr
0.83	PFCJX	Pimco Preferred And	Pair Corr
0.7	PFINX	Pimco Capital Sec	Pair Corr
0.66	PFONX	Pimco International Bond	Pair Corr
0.65	PFORX	Pimco Foreign Bond	Pair Corr
0.72	PFNNX	Pimco Preferred And	Pair Corr
0.65	PFOAX	Pimco Foreign Bond	Pair Corr
0.61	PFOCX	Pimco Foreign Bond	Pair Corr
0.7	PFRAX	Pimco Foreign Bond	Pair Corr
0.73	PFRMX	Pimco Inflation Response	Pair Corr
0.82	PFPNX	Pimco Capital Sec	Pair Corr
0.62	PFTPX	Pimco Floating Income	Pair Corr
0.67	PFRRX	Pimco Foreign Bond	Pair Corr
0.69	PGCAX	Investment Grade Porate	Pair Corr

Related Correlations Analysis

	PRVBX	BBINX	USCBX	FHYIX	NHCCX
PRVBX		0.17	-0.16	0.1	-0.22	PRVBX
BBINX	0.17		0.9	0.95	0.65	BBINX
USCBX	-0.16	0.9		0.93	0.84	USCBX
FHYIX	0.1	0.95	0.93		0.8	FHYIX
NHCCX	-0.22	0.65	0.84	0.8		NHCCX
	PRVBX	BBINX	USCBX	FHYIX	NHCCX

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

FHYIX	+ 0.95	BBINX
FHYIX	+ 0.93	USCBX
USCBX	+ 0.9	BBINX
NHCCX	+ 0.84	USCBX
NHCCX	+ 0.8	FHYIX
NHCCX	+ 0.65	BBINX

High negative correlations

NHCCX	- 0.22	PRVBX
USCBX	- 0.16	PRVBX

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	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
PRVBX	0.07	0.00	(0.55)	(0.01)	(0.07)	0.14	(0.14)	0.46
BBINX	0.06	0.00	(0.35)	0.00	(0.14)	0.10	(0.10)	0.58
USCBX	0.10	0.02	(0.27)	1.19	(0.16)	0.29	(0.19)	0.59
FHYIX	0.09	0.02	(0.23)	(3.22)	(0.17)	0.22	(0.22)	0.67
NHCCX	0.12	0.01	(0.22)	(1.32)	(0.17)	0.42	(0.21)	1.13

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