Pimco Municipal Correlations

PML Fund

USD 7.87 0.02 0.25%

The current 90-days correlation between Pimco Municipal Income and BlackRock Credit Allocation is 0.18 (i.e., Average diversification). A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Pimco Municipal moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Pimco Municipal Income moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

Pimco Municipal Correlation With Market

Significant diversification

The correlation between Pimco Municipal Income and DJI is 0.05 (i.e., Significant 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 state.

Moving together with Pimco Fund

0.76	ZTR	Virtus Global Dividend	Pair Corr
0.7	PCQ	Pimco California Mun	Pair Corr
0.68	UTPSX	Utilities Ultrasector Steady Growth	Pair Corr

Moving against Pimco Fund

0.45	CRF	Cornerstone Total Return	Pair Corr
0.41	CLM	Cornerstone Strategic	Pair Corr
0.32	SUHAX	Deutsche Health And	Pair Corr
0.31	PFRZX	Putnam Floating Rate	Pair Corr

Related Correlations Analysis

	BTZ	RNP	PFN	WHGSX	MDRFX	THYFX	SEBLX	SBACX	BBN	SIBLX
BTZ		0.46	0.05	-0.09	-0.15	0.05	-0.12	-0.11	0.24	-0.12	BTZ
RNP	0.46		0.47	0.32	0.09	0.41	0.01	0.0	-0.06	0.01	RNP
PFN	0.05	0.47		0.77	0.72	0.82	0.7	0.69	-0.71	0.7	PFN
WHGSX	-0.09	0.32	0.77		0.95	0.94	0.89	0.89	-0.75	0.89	WHGSX
MDRFX	-0.15	0.09	0.72	0.95		0.89	0.94	0.94	-0.79	0.94	MDRFX
THYFX	0.05	0.41	0.82	0.94	0.89		0.86	0.85	-0.68	0.86	THYFX
SEBLX	-0.12	0.01	0.7	0.89	0.94	0.86		1.0	-0.84	1.0	SEBLX
SBACX	-0.11	0.0	0.69	0.89	0.94	0.85	1.0		-0.84	1.0	SBACX
BBN	0.24	-0.06	-0.71	-0.75	-0.79	-0.68	-0.84	-0.84		-0.84	BBN
SIBLX	-0.12	0.01	0.7	0.89	0.94	0.86	1.0	1.0	-0.84		SIBLX
	BTZ	RNP	PFN	WHGSX	MDRFX	THYFX	SEBLX	SBACX	BBN	SIBLX

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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

SBACX	+ 1.0	SEBLX
SIBLX	+ 1.0	SEBLX
SIBLX	+ 1.0	SBACX
MDRFX	+ 0.95	WHGSX
THYFX	+ 0.94	WHGSX
SEBLX	+ 0.94	MDRFX

High negative correlations

SIBLX	- 0.84	BBN
BBN	- 0.84	SBACX
BBN	- 0.84	SEBLX
BBN	- 0.79	MDRFX
BBN	- 0.75	WHGSX
BBN	- 0.71	PFN

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
BTZ	0.32	(0.02)	(0.15)	(0.07)	0.40	(0.36)	0.57	(0.74)	2.27
RNP	0.69	0.04	0.00	0.15	0.72	(0.76)	1.44	(1.04)	2.87
PFN	0.38	0.01	(0.07)	0.12	0.47	(0.42)	0.82	(0.83)	3.18
WHGSX	0.86	0.18	0.20	0.24	0.58	(1.12)	2.76	(1.37)	6.30
MDRFX	0.78	0.20	0.23	0.31	0.47	(0.90)	1.86	(1.22)	10.77
THYFX	0.17	0.02	(0.09)	0.16	0.00	(0.23)	0.42	(0.28)	1.03
SEBLX	0.43	0.02	(0.01)	0.09	0.41	(0.51)	0.80	(0.86)	5.21
SBACX	0.42	0.02	(0.02)	0.09	0.40	(0.50)	0.77	(0.86)	5.27
BBN	0.41	(0.02)	0.00	(0.75)	0.00	0.00	0.72	(0.74)	3.89
SIBLX	0.42	0.02	(0.01)	0.10	0.39	(0.50)	0.77	(0.87)	5.30

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