Pimco Global Correlations
| PGMAX Fund | USD 14.88 0.03 0.20% |
The current 90-days correlation between Pimco Global Multi and Chartwell Short Duration is 0.64 (i.e., Poor diversification). The correlation of Pimco Global 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 Global Correlation With Market
Very weak diversification
The correlation between Pimco Global Multi Asset and DJI is 0.4 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Pimco Global Multi Asset and DJI in the same portfolio, assuming nothing else is changed.
Pimco |
Moving together with Pimco Mutual Fund
| 0.65 | PFORX | Pimco Foreign Bond | PairCorr |
| 0.81 | PGBIX | Global Bond Fund | PairCorr |
| 0.81 | PGNPX | Pimco Global Bond | PairCorr |
| 0.87 | PHYRX | High Yield Fund | PairCorr |
| 0.85 | PIINX | Pimco Income | PairCorr |
| 0.86 | PIMIX | Pimco Income | PairCorr |
| 0.69 | PLDRX | Low Duration | PairCorr |
| 0.64 | FXICX | Fixed Income Shares | PairCorr |
| 0.79 | PMZCX | Pimco Mortgage Oppor | PairCorr |
| 0.85 | PONPX | Pimco Incme Fund | PairCorr |
| 0.64 | PPQZX | Pimco Realpath Blend | PairCorr |
| 0.74 | PRQZX | Pimco Realpath Blend | PairCorr |
| 0.64 | PAAIX | All Asset Fund | PairCorr |
| 0.64 | PALPX | Pimco All Asset | PairCorr |
| 0.61 | PATRX | Pimco All Asset | PairCorr |
| 0.72 | PBPNX | Pimco Realpath Blend | PairCorr |
| 0.68 | PBRNX | Pimco Realpath Blend | PairCorr |
Related Correlations Analysis
| 0.37 | 0.92 | 0.39 | 0.9 | 0.91 | 0.38 | CWFIX | ||
| 0.37 | 0.46 | 0.98 | 0.63 | 0.52 | 0.9 | MDMTX | ||
| 0.92 | 0.46 | 0.47 | 0.92 | 0.88 | 0.56 | ARTFX | ||
| 0.39 | 0.98 | 0.47 | 0.63 | 0.55 | 0.92 | BMBSX | ||
| 0.9 | 0.63 | 0.92 | 0.63 | 0.85 | 0.63 | MPHSX | ||
| 0.91 | 0.52 | 0.88 | 0.55 | 0.85 | 0.55 | MFIRX | ||
| 0.38 | 0.9 | 0.56 | 0.92 | 0.63 | 0.55 | BBINX | ||
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Risk-Adjusted Indicators
There is a big difference between Pimco Mutual Fund performing well and Pimco Global 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 Global'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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| CWFIX | 0.08 | 0.01 | (0.51) | 0.65 | 0.00 | 0.21 | 0.42 | |||
| MDMTX | 0.19 | 0.00 | (0.20) | 0.06 | 0.25 | 0.48 | 1.72 | |||
| ARTFX | 0.11 | 0.02 | (0.31) | (11.49) | 0.00 | 0.44 | 1.10 | |||
| BMBSX | 0.12 | 0.00 | (0.29) | (0.01) | 0.17 | 0.27 | 1.06 | |||
| MPHSX | 0.12 | 0.02 | (0.28) | 0.60 | 0.00 | 0.37 | 1.11 | |||
| MFIRX | 0.10 | 0.01 | (0.32) | 0.44 | 0.00 | 0.19 | 0.77 | |||
| BBINX | 0.14 | 0.00 | (0.27) | 0.87 | 0.17 | 0.30 | 1.27 |