Fixed Income Correlations

Mutual Funds . USA . 
Fund . Fixed Income Shares
FXIMX Fund  USD 9.16  0.02  0.22%   
The current 90-days correlation between Fixed Income Shares and Long Term Government Fund is 0.8 (i.e., Very poor 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

Very weak diversification

The correlation between Fixed Income Shares and DJI is 0.56 (i.e., Very weak 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 state.

Moving together with Fixed Mutual Fund

  0.89PWLEX Pimco Rae WorldwidePairCorr
  0.83PWLBX Pimco Rae WorldwidePairCorr
  0.87PWLMX Pimco Rae WorldwidePairCorr
  0.87PWLIX Pimco Rae WorldwidePairCorr
  0.94PFBPX Pimco Foreign BondPairCorr
  0.89PFCJX Pimco Preferred AndPairCorr
  0.79PFATX Pimco FundamentalPairCorr
  0.89PFANX Pimco Capital SecPairCorr
  0.84PFGAX Long Term GovernmentPairCorr
  0.82PFGCX Long Term GovernmentPairCorr
  0.78PFIAX Pimco Floating IncomePairCorr
  0.79PFIIX Pimco Floating IncomePairCorr
  0.75PFIUX Pimco Unconstrained BondPairCorr
  0.88PFINX Pimco Capital SecPairCorr
  0.94PFMIX Municipal BondPairCorr
  0.92PFONX Pimco International BondPairCorr
  0.94PFORX Pimco Foreign BondPairCorr
  0.89PFNNX Pimco Preferred AndPairCorr
  0.8PFNIX Pimco Low DurationPairCorr
  0.75PFNUX Pimco Dynamic BondPairCorr
  0.95PFOAX Pimco Foreign BondPairCorr
  0.92PFOCX Pimco Foreign BondPairCorr
  0.92PFRAX Pimco Foreign BondPairCorr
  0.85PFRMX Pimco Inflation ResponsePairCorr
  0.77PFTCX Short Term FundPairCorr
  0.8PFTPX Pimco Floating IncomePairCorr
  0.91PFRRX Pimco Foreign BondPairCorr
  0.78PFSIX Pimco Emerging MarketsPairCorr
  0.76PFUUX Pimco Foreign BondPairCorr
  0.74PFUAX Foreign BondPairCorr
  0.76PFUIX Foreign BondPairCorr
  0.76PFUNX Pimco International BondPairCorr
  0.76PFUPX Pimco Foreign BondPairCorr
  0.8PGAPX Pimco Global MultiPairCorr
  0.66PXTIX Fundamental IndexplusPairCorr
  0.66PXTNX Pimco Rae PlusPairCorr
  0.8PGBIX Global Bond FundPairCorr
  0.8PGAIX Pimco Global MultiPairCorr
  0.99PGCAX Investment Grade PoratePairCorr
  0.79PGMAX Pimco Global MultiPairCorr

Related Correlations Analysis


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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
PWLEX  0.37  0.12  0.07 (1.28) 0.11 
(0.49)
 0.94 
(0.55)
 2.23 
PWLBX  0.40  0.09  0.01 (1.41) 0.37 
(0.50)
 1.08 
(0.55)
 2.97 
PWLMX  0.36  0.10  0.04 (3.27) 0.13 
(0.48)
 0.92 
(0.63)
 2.33 
PWLIX  0.36  0.10  0.04 (4.26) 0.13 
(0.49)
 0.92 
(0.63)
 2.33 
PFBPX  0.10  0.01 (0.34) 0.24  0.00 
(0.15)
 0.20 
(0.20)
 0.71 
PFCJX  0.09  0.00 (0.28) 0.00  0.00 
(0.14)
 0.21 
(0.10)
 0.83 
PFATX  0.51  0.10  0.07  0.55  0.33 
(0.64)
 1.29 
(0.84)
 2.34 
PFANX  0.09  0.03 (0.28) 7.83  0.00 
(0.14)
 0.21 
(0.10)
 0.82 
PFGAX  0.35  0.02 (0.10) 0.18  0.39 
(0.40)
 0.72 
(0.71)
 1.72 
PFGCX  0.36  0.01 (0.11) 0.17  0.40 
(0.40)
 0.72 
(0.71)
 1.72 

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