Pimco Rae Correlations

Mutual Funds . USA . 
Fund . Pimco Rae Fundamental
PMJIX Fund  USD 12.36  0.09  0.72%   
The current 90-days correlation between Pimco Rae Fundamental and Growth Fund Growth is 0.08 (i.e., Significant diversification). The correlation of Pimco Rae 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 Rae Correlation With Market

Poor diversification

The correlation between Pimco Rae Fundamental and DJI is 0.78 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Pimco Rae Fundamental 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 Rae Fundamental. 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 gross domestic product.

Moving together with Pimco Mutual Fund

  0.78PFCJX Pimco Preferred AndPairCorr
  0.72PFATX Pimco FundamentalPairCorr
  0.61PFANX Pimco Capital SecPairCorr
  0.76PFIAX Pimco Floating IncomePairCorr
  0.79PFIIX Pimco Floating IncomePairCorr
  0.73PFIUX Pimco Unconstrained BondPairCorr
  0.85PFINX Pimco Capital SecPairCorr
  0.63PFMIX Municipal BondPairCorr
  0.91PFNCX Pimco Floating IncomePairCorr
  0.84PFNNX Pimco Preferred AndPairCorr
  0.89PFNIX Pimco Low DurationPairCorr
  0.89PFNUX Pimco Dynamic BondPairCorr
  0.82PFRMX Pimco Inflation ResponsePairCorr
  0.85PFPNX Pimco Capital SecPairCorr
  0.82PFTCX Short Term FundPairCorr
  0.89PFTPX Pimco Floating IncomePairCorr
  0.88PFSIX Pimco Emerging MarketsPairCorr
  0.94PGAPX Pimco Global MultiPairCorr
  0.97PXTIX Fundamental IndexplusPairCorr
  0.99PXTNX Pimco Rae PlusPairCorr
  0.87PGBIX Global Bond FundPairCorr

Moving against Pimco Mutual Fund

  0.5PFGAX Long Term GovernmentPairCorr
  0.48PFGCX Long Term GovernmentPairCorr
  0.55PGOVX Long Term GovernmentPairCorr

Related Correlations Analysis


Risk-Adjusted Indicators

There is a big difference between Pimco Mutual Fund performing well and Pimco Rae 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 Rae'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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
USAAX  0.84  0.13  0.08  0.34  0.85 
(0.97)
 1.61 
(1.89)
 12.25 
PSTKX  0.78  0.21  0.26  0.28  0.25 
(0.99)
 1.58 
(1.10)
 12.33 
IPOAX  0.71  0.23  0.20  1.07  0.37 
(0.81)
 1.44 
(1.04)
 10.13 
CGOAX  1.26  0.13  0.11  0.18  1.34 
(1.45)
 2.50 
(2.47)
 7.68 
TWIEX  0.61 (0.03)(0.06) 0.05  0.69 
(0.67)
 1.28 
(1.37)
 2.78 
VIMCX  0.73  0.06  0.06  0.15  0.60 
(0.93)
 1.74 
(1.47)
 5.24 
JMYAX  0.45  0.00 (0.05) 0.10  0.48 
(0.48)
 0.91 
(0.96)
 2.41 
JMBRX  0.44  0.01 (0.05) 0.10  0.49 
(0.48)
 0.88 
(0.96)
 2.39 
FMIYX  0.70  0.18  0.14  3.15  0.43 
(0.87)
 1.50 
(1.16)
 10.20 
JSLNX  0.45  0.02 (0.03) 0.12  0.48 
(0.45)
 0.96 
(0.88)
 2.59 

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