Pimco All Correlations

PAUNX Fund

USD 6.60 0.08 1.23%

The current 90-days correlation between Pimco All Asset and All Asset Fund is 0.94 (i.e., Almost no diversification). The correlation of Pimco All 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 All Correlation With Market

Weak diversification

The correlation between Pimco All Asset and DJI is 0.33 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Pimco All Asset 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 All Asset. 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 board of governors.

Moving together with Pimco Mutual Fund

0.8	PFATX	Pimco Fundamental	Pair Corr
0.9	PFGAX	Long Term Government	Pair Corr
0.9	PFGCX	Long Term Government	Pair Corr
0.68	PFMIX	Municipal Bond	Pair Corr
0.88	PFRCX	Foreign Bond	Pair Corr
0.88	PFSIX	Pimco Emerging Markets	Pair Corr
0.88	PFUUX	Pimco Foreign Bond	Pair Corr
0.86	PFUAX	Foreign Bond	Pair Corr
0.86	PFUIX	Foreign Bond	Pair Corr
0.86	PFUNX	Pimco International Bond	Pair Corr
0.86	PFUPX	Pimco Foreign Bond	Pair Corr
0.83	PGBIX	Global Bond Fund	Pair Corr

Moving against Pimco Mutual Fund

0.74

PFTCX

Short Term Fund

Pair Corr

Related Correlations Analysis

	PAALX	444859BR2	AQUI	BRRAY	MSTSX	LBHIX	ABHYX	SCAXF	VIASP	AAEVX
PAALX		0.28	0.0	-0.22	0.35	0.27	0.59	0.34	-0.44	-0.03	PAALX
444859BR2	0.28		0.0	0.22	-0.53	-0.54	-0.03	0.41	-0.41	-0.69	444859BR2
AQUI	0.0	0.0		0.0	0.0	0.0	0.0	0.0	0.0	0.0	AQUI
BRRAY	-0.22	0.22	0.0		-0.45	-0.35	-0.4	-0.04	0.1	-0.32	BRRAY
MSTSX	0.35	-0.53	0.0	-0.45		0.67	0.34	-0.02	-0.08	0.75	MSTSX
LBHIX	0.27	-0.54	0.0	-0.35	0.67		0.51	-0.29	0.22	0.68	LBHIX
ABHYX	0.59	-0.03	0.0	-0.4	0.34	0.51		-0.05	-0.17	0.07	ABHYX
SCAXF	0.34	0.41	0.0	-0.04	-0.02	-0.29	-0.05		-0.8	-0.43	SCAXF
VIASP	-0.44	-0.41	0.0	0.1	-0.08	0.22	-0.17	-0.8		0.41	VIASP
AAEVX	-0.03	-0.69	0.0	-0.32	0.75	0.68	0.07	-0.43	0.41		AAEVX
	PAALX	444859BR2	AQUI	BRRAY	MSTSX	LBHIX	ABHYX	SCAXF	VIASP	AAEVX

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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

AAEVX	+ 0.75	MSTSX
AAEVX	+ 0.68	LBHIX
LBHIX	+ 0.67	MSTSX
ABHYX	+ 0.59	PAALX
ABHYX	+ 0.51	LBHIX
SCAXF	+ 0.41	444859BR2

High negative correlations

VIASP	- 0.8	SCAXF
AAEVX	- 0.69	444859BR2
LBHIX	- 0.54	444859BR2
MSTSX	- 0.53	444859BR2
MSTSX	- 0.45	BRRAY
VIASP	- 0.44	PAALX

Risk-Adjusted Indicators

There is a big difference between Pimco Mutual Fund performing well and Pimco All 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 Pimco All'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
PAALX	0.26	(0.03)	(0.37)	(0.03)	0.29	(0.33)	0.54	(0.44)	1.78
444859BR2	1.35	(0.09)	0.00	(0.14)	0.00	0.00	5.93	(5.79)	16.62
AQUI	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
BRRAY	1.27	(0.13)	0.00	0.01	0.00	0.00	0.00	(2.98)	34.02
MSTSX	0.49	(0.04)	(0.13)	0.06	0.52	(0.61)	1.21	(1.02)	2.80
LBHIX	0.11	0.01	(0.42)	0.38	0.00	(0.29)	0.24	(0.24)	0.96
ABHYX	0.17	0.00	(0.24)	0.19	0.25	(0.24)	0.34	(0.33)	1.91
SCAXF	0.70	(0.41)	0.00	(0.98)	0.00	0.00	0.00	0.00	23.47
VIASP	0.74	0.07	(0.04)	(2.04)	1.13	(0.80)	2.28	(1.20)	7.18
AAEVX	0.48	0.05	(0.10)	(2.13)	0.54	(0.57)	0.93	(0.77)	2.76

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