Pimco Inflation Correlations

PIRMX Fund

USD 9.50 0.11 1.17%

The current 90-days correlation between Pimco Inflation Response and Northern Mid Cap is 0.09 (i.e., Significant diversification). The correlation of Pimco Inflation 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 Inflation Correlation With Market

Poor diversification

The correlation between Pimco Inflation Response and DJI is 0.79 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Pimco Inflation Response 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 Inflation Response. 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 Pimco Mutual Fund

0.79	PWLEX	Pimco Rae Worldwide	Pair Corr
0.8	PWLMX	Pimco Rae Worldwide	Pair Corr
0.95	PFANX	Pimco Capital Sec	Pair Corr
0.88	PFIAX	Pimco Floating Income	Pair Corr
0.87	PFIIX	Pimco Floating Income	Pair Corr
0.9	PFIUX	Pimco Unconstrained Bond	Pair Corr
0.95	PFINX	Pimco Capital Sec	Pair Corr
0.87	PFNCX	Pimco Floating Income	Pair Corr
0.88	PFNIX	Pimco Low Duration	Pair Corr
0.95	PFPNX	Pimco Capital Sec	Pair Corr
0.84	PFTCX	Short Term Fund	Pair Corr
0.84	PFUIX	Foreign Bond	Pair Corr
0.82	PFUNX	Pimco International Bond	Pair Corr
0.81	PXTNX	Pimco Rae Plus	Pair Corr
0.65	PGCAX	Investment Grade Porate	Pair Corr
0.86	PGNPX	Pimco Global Bond	Pair Corr
0.93	PGSAX	Pimco Global Advantage	Pair Corr
0.8	PHFNX	Pimco High Yield	Pair Corr
0.8	PHIYX	High Yield Fund	Pair Corr
0.84	PDI	Pimco Dynamic Income	Pair Corr
0.89	PZCRX	Pimco Credit Absolute	Pair Corr
0.63	PIGIX	Investment Grade Porate	Pair Corr
0.84	PIINX	Pimco Income	Pair Corr
0.84	PIMIX	Pimco Income	Pair Corr
0.84	PIPNX	Pimco Income	Pair Corr
0.91	PIPAX	Pimco International	Pair Corr
0.9	PISNX	Pimco Stocksplus Int	Pair Corr
0.91	PISIX	Pimco International	Pair Corr
0.93	PLMIX	Pimco Emerging Markets	Pair Corr

Moving against Pimco Mutual Fund

0.48	PGOVX	Long Term Government	Pair Corr
0.34	PFGCX	Long Term Government	Pair Corr
0.33	PFGAX	Long Term Government	Pair Corr

Related Correlations Analysis

	AUEIX	ADAIX	SSDQX	KYN	PRASX	PRSIX	CHTTX	RYCOX	OILGX	NOMIX
AUEIX		0.84	0.8	0.64	0.65	0.98	0.96	0.91	-0.06	0.94	AUEIX
ADAIX	0.84		0.87	0.83	0.79	0.9	0.83	0.76	-0.17	0.9	ADAIX
SSDQX	0.8	0.87		0.75	0.84	0.9	0.81	0.89	0.29	0.92	SSDQX
KYN	0.64	0.83	0.75		0.61	0.72	0.66	0.59	-0.18	0.72	KYN
PRASX	0.65	0.79	0.84	0.61		0.74	0.6	0.7	0.21	0.74	PRASX
PRSIX	0.98	0.9	0.9	0.72	0.74		0.96	0.94	0.02	0.98	PRSIX
CHTTX	0.96	0.83	0.81	0.66	0.6	0.96		0.92	-0.08	0.95	CHTTX
RYCOX	0.91	0.76	0.89	0.59	0.7	0.94	0.92		0.27	0.92	RYCOX
OILGX	-0.06	-0.17	0.29	-0.18	0.21	0.02	-0.08	0.27		0.05	OILGX
NOMIX	0.94	0.9	0.92	0.72	0.74	0.98	0.95	0.92	0.05		NOMIX
	AUEIX	ADAIX	SSDQX	KYN	PRASX	PRSIX	CHTTX	RYCOX	OILGX	NOMIX

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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

PRSIX	+ 0.98	AUEIX
NOMIX	+ 0.98	PRSIX
CHTTX	+ 0.96	AUEIX
CHTTX	+ 0.96	PRSIX
NOMIX	+ 0.95	CHTTX
NOMIX	+ 0.94	AUEIX

High negative correlations

OILGX	- 0.18	KYN
OILGX	- 0.17	ADAIX
OILGX	- 0.08	CHTTX
OILGX	- 0.06	AUEIX

Risk-Adjusted Indicators

There is a big difference between Pimco Mutual Fund performing well and Pimco Inflation 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 Inflation'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
AUEIX	0.89	0.42	0.66	5.40	0.00	(1.15)	0.85	(0.89)	26.97
ADAIX	0.08	0.01	(0.31)	0.70	0.00	(0.12)	0.16	(0.08)	0.39
SSDQX	0.47	0.01	0.00	0.07	0.60	(0.49)	1.00	(1.01)	2.84
KYN	0.97	0.23	0.14	(1.05)	0.97	(1.04)	1.96	(1.89)	5.33
PRASX	0.69	0.06	0.02	0.53	0.68	(0.84)	1.43	(1.28)	4.39
PRSIX	0.27	0.07	0.10	0.29	0.00	(0.32)	0.54	(0.48)	3.87
CHTTX	0.94	0.30	0.34	0.46	0.39	(1.18)	2.12	(1.37)	17.08
RYCOX	0.85	0.05	0.03	0.11	1.07	(0.87)	1.50	(2.06)	9.32
OILGX	0.74	(0.09)	0.00	(0.07)	0.00	0.00	1.37	(1.94)	5.06
NOMIX	0.81	0.13	0.14	0.17	0.65	(0.95)	1.84	(1.36)	7.72

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