Pimco Municipal Correlations

PMF Fund

USD 9.09 0.06 0.66%

The current 90-days correlation between Pimco Municipal Income and Pimco Municipal Income is 0.71 (i.e., Poor diversification). The correlation of Pimco Municipal 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.

Pimco Municipal Correlation With Market

Modest diversification

The correlation between Pimco Municipal Income and DJI is 0.2 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Pimco Municipal 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 Municipal 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 population.

Moving against Pimco Fund

0.84	TTP	Tortoise Pipeline And	Pair Corr
0.81	HIE	Millerhoward High Income	Pair Corr
0.74	NDP	Tortoise Energy Inde	Pair Corr
0.48	MMGTX	Msvif Mid Cap	Pair Corr
0.44	ACV	Allianzgi Diversified	Pair Corr
0.43	MNHYX	High Yield Bond	Pair Corr
0.37	EMO	Clearbridge Energy Mlp	Pair Corr
0.31	CSQ	Calamos Strategic Total	Pair Corr
0.7	LLDYX	Lord Abbett Short	Pair Corr
0.68	GMODX	Gmo Opportunistic Income	Pair Corr
0.66	WSHNX	Short Duration Income	Pair Corr
0.65	OWSBX	Old Westbury Short	Pair Corr
0.6	HGOFX	Hartford Growth	Pair Corr
0.49	DPIGX	Intermediate Government	Pair Corr
0.39	ENGYX	Cboe Vest Sp	Pair Corr
0.37	PXASX	Principal Lifetime 2030	Pair Corr

Related Correlations Analysis

	PMX	NMZ	NZF	NEA	NMI	EVY	PAI	ENX	NAN
PMX		0.56	0.65	0.65	0.13	0.0	0.53	0.26	0.44	PMX
NMZ	0.56		0.94	0.88	0.36	0.0	0.55	0.81	0.85	NMZ
NZF	0.65	0.94		0.96	0.23	0.0	0.51	0.81	0.76	NZF
NEA	0.65	0.88	0.96		0.21	0.0	0.39	0.82	0.75	NEA
NMI	0.13	0.36	0.23	0.21		0.0	0.12	0.1	0.42	NMI
EVY	0.0	0.0	0.0	0.0	0.0		0.0	0.0	0.0	EVY
PAI	0.53	0.55	0.51	0.39	0.12	0.0		0.28	0.38	PAI
ENX	0.26	0.81	0.81	0.82	0.1	0.0	0.28		0.8	ENX
NAN	0.44	0.85	0.76	0.75	0.42	0.0	0.38	0.8		NAN
	PMX	NMZ	NZF	NEA	NMI	EVY	PAI	ENX	NAN

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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

NEA	+ 0.96	NZF
NZF	+ 0.94	NMZ
NEA	+ 0.88	NMZ
NAN	+ 0.85	NMZ
ENX	+ 0.82	NEA
ENX	+ 0.81	NMZ

High negative correlations

NAN	- 0.0	EVY
ENX	- 0.0	EVY
PAI	- 0.0	EVY
EVY	- 0.0	NMI
EVY	- 0.0	NEA
EVY	- 0.0	NZF

Risk-Adjusted Indicators

There is a big difference between Pimco Fund performing well and Pimco Municipal 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 Municipal'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
PMX	0.63	(0.12)	0.00	(0.33)	0.00	0.00	1.10	(1.45)	4.19
NMZ	0.56	0.00	(0.08)	0.10	0.68	(0.58)	1.10	(1.10)	2.96
NZF	0.52	(0.01)	(0.12)	0.03	0.62	(0.62)	0.98	(1.12)	3.05
NEA	0.48	(0.02)	0.00	(0.07)	0.00	0.00	0.86	(1.28)	2.59
NMI	0.37	0.01	(0.15)	0.19	0.42	(0.43)	0.85	(0.83)	2.45
EVY	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
PAI	0.58	0.03	(0.07)	0.33	0.69	(0.65)	1.46	(1.36)	4.15
ENX	0.55	0.01	(0.07)	0.15	0.65	(0.59)	1.04	(1.13)	3.15
NAN	0.44	0.01	(0.13)	0.36	0.47	(0.54)	0.99	(0.70)	2.92

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