Pimco High Correlations

PHMIX Fund

USD 8.49 0.02 0.24%

The current 90-days correlation between Pimco High Yield and Municipal Bond Fund is 0.96 (i.e., Almost no diversification). The correlation of Pimco High 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 High Correlation With Market

Good diversification

The correlation between Pimco High Yield and DJI is -0.1 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Pimco High Yield 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 Yield. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as various price indices.

Moving together with Pimco Mutual Fund

0.92	NHMAX	Nuveen High Yield	Pair Corr
0.97	NHCCX	Nuveen High Yield	Pair Corr
0.96	NHMRX	Nuveen High Yield	Pair Corr
0.96	NHMFX	Nuveen High Yield	Pair Corr
0.98	ABHFX	American High Income	Pair Corr
0.99	AHICX	American High Income	Pair Corr
0.98	AMHIX	American High Income	Pair Corr
0.99	GHYCX	Goldman Sachs High	Pair Corr
0.98	GHYAX	Goldman Sachs High	Pair Corr
0.99	ACTDX	Invesco High Yield	Pair Corr
0.78	TRV	The Travelers Companies	Pair Corr
0.64	DD	Dupont De Nemours Earnings Call This Week	Pair Corr
0.76	HD	Home Depot	Pair Corr

Moving against Pimco Mutual Fund

0.47	VZ	Verizon Communications	Pair Corr
0.47	BA	Boeing	Pair Corr
0.39	PFE	Pfizer Inc Earnings Call This Week	Pair Corr

Related Correlations Analysis

	PFMIX	NHMRX	PMZIX	PIMIX	PIGIX
PFMIX		0.97	0.57	0.71	0.92	PFMIX
NHMRX	0.97		0.57	0.7	0.84	NHMRX
PMZIX	0.57	0.57		0.96	0.65	PMZIX
PIMIX	0.71	0.7	0.96		0.78	PIMIX
PIGIX	0.92	0.84	0.65	0.78		PIGIX
	PFMIX	NHMRX	PMZIX	PIMIX	PIGIX

Click cells to compare fundamentals

Check Volatility

Backtest Portfolio

Risk-Adjusted Indicators

There is a big difference between Pimco Mutual Fund performing well and Pimco High 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 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
PFMIX	0.19	(0.01)	(0.22)	1.14	0.29	(0.27)	0.43	(0.53)	1.49
NHMRX	0.27	0.01	(0.15)	(0.02)	0.42	(0.32)	0.62	(0.60)	2.25
PMZIX	0.16	0.00	(0.37)	0.21	0.10	(0.28)	0.44	(0.22)	1.31
PIMIX	0.17	0.01	(0.28)	0.21	0.13	(0.22)	0.57	(0.38)	1.33
PIGIX	0.27	(0.01)	(0.26)	(0.15)	0.32	(0.33)	0.67	(0.67)	1.69

Macroaxis helps investors of all levels and skills to maximize the upside of all their holdings and minimize the risk associated with market volatility, economic swings, and company-specific events. View terms and conditions

Feedback Blog

Made with optimal in San Francisco

2024 Macroaxis LLC