Pimco High Correlations

PHK Fund

USD 4.95 0.01 0.20%

The current 90-days correlation between Pimco High Income and Pimco Corporate Income is 0.29 (i.e., Modest diversification). A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Pimco High moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Pimco High Income moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

Pimco High Correlation With Market

Poor diversification

The correlation between Pimco High Income and DJI is 0.67 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Pimco High 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 High 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 rate.

Moving together with Pimco Fund

0.89	TWN	Taiwan Closed	Pair Corr
0.84	CAF	Morgan Stanley China	Pair Corr
0.88	KF	Korea Closed	Pair Corr
0.77	FMY	First Trust Mortgage	Pair Corr
0.93	JOF	Japan Smaller Capita	Pair Corr
0.73	CHN	China Fund	Pair Corr
0.73	TDF	Templeton Dragon Closed	Pair Corr
0.74	PBLCX	Blue Chip Fund	Pair Corr
0.84	CFIPX	Qs Global Equity	Pair Corr
0.89	BMBSX	Baird Quality Interm	Pair Corr
0.73	INTC	Intel	Pair Corr
0.62	XOM	Exxon Mobil Corp Earnings Call Tomorrow	Pair Corr
0.61	WMT	Walmart Common Stock	Pair Corr
0.65	AA	Alcoa Corp	Pair Corr

Moving against Pimco Fund

0.53	T	ATT Inc Earnings Call This Week	Pair Corr
0.45	VZ	Verizon Communications Earnings Call Tomorrow	Pair Corr

Related Correlations Analysis

	PCN	PAXS	EOI	HTD	NIE	NRK	CHI	AIO	NQWFX	CHY
PCN		0.56	0.92	0.12	0.91	0.61	0.85	0.84	0.78	0.84	PCN
PAXS	0.56		0.45	0.49	0.62	0.7	0.7	0.68	0.57	0.58	PAXS
EOI	0.92	0.45		-0.06	0.92	0.64	0.81	0.8	0.82	0.85	EOI
HTD	0.12	0.49	-0.06		0.04	0.36	0.31	0.38	-0.21	0.01	HTD
NIE	0.91	0.62	0.92	0.04		0.65	0.88	0.86	0.89	0.95	NIE
NRK	0.61	0.7	0.64	0.36	0.65		0.58	0.63	0.57	0.49	NRK
CHI	0.85	0.7	0.81	0.31	0.88	0.58		0.91	0.7	0.88	CHI
AIO	0.84	0.68	0.8	0.38	0.86	0.63	0.91		0.63	0.81	AIO
NQWFX	0.78	0.57	0.82	-0.21	0.89	0.57	0.7	0.63		0.87	NQWFX
CHY	0.84	0.58	0.85	0.01	0.95	0.49	0.88	0.81	0.87		CHY
	PCN	PAXS	EOI	HTD	NIE	NRK	CHI	AIO	NQWFX	CHY

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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

CHY	+ 0.95	NIE
EOI	+ 0.92	PCN
NIE	+ 0.92	EOI
NIE	+ 0.91	PCN
AIO	+ 0.91	CHI
NQWFX	+ 0.89	NIE

High negative correlations

NQWFX	- 0.21	HTD
HTD	- 0.06	EOI

Risk-Adjusted Indicators

There is a big difference between Pimco Fund performing well and Pimco High 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 High'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
PCN	0.32	(0.02)	(0.12)	(0.02)	0.42	(0.36)	0.90	(0.66)	2.12
PAXS	0.47	0.02	(0.03)	0.16	0.52	(0.52)	1.03	(0.78)	2.34
EOI	0.60	0.01	(0.01)	0.07	0.75	(0.61)	1.03	(1.37)	3.77
HTD	0.65	(0.02)	(0.06)	0.00	0.84	(0.65)	1.24	(1.38)	3.58
NIE	0.53	0.00	(0.03)	0.05	0.60	(0.56)	1.11	(1.06)	2.52
NRK	0.26	0.01	(0.09)	0.16	0.21	(0.34)	0.51	(0.40)	2.10
CHI	0.82	0.00	(0.01)	0.05	1.05	(0.85)	1.82	(1.65)	4.33
AIO	0.93	(0.06)	(0.05)	(0.01)	1.22	(0.92)	2.06	(1.72)	5.54
NQWFX	0.15	0.03	(0.06)	0.20	0.00	(0.20)	0.40	(0.26)	1.01
CHY	0.65	0.03	0.02	0.09	0.75	(0.73)	1.65	(1.27)	3.98

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