Pimco Municipal Correlations

PML Fund

USD 7.56 0.03 0.40%

The current 90-days correlation between Pimco Municipal Income and BlackRock Credit Allocation is 0.17 (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

Modest diversification

The correlation between Pimco Municipal Income and DJI is 0.24 (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 industry.

Moving together with Pimco Fund

0.8	RNP	Cohen Steers Reit	Pair Corr
0.88	IFN	India Closed	Pair Corr

Moving against Pimco Fund

0.89	SBAYX	Western Asset Adjustable	Pair Corr
0.83	GICUX	Goldman Sachs Intern	Pair Corr
0.82	VWEAX	Vanguard High Yield	Pair Corr
0.8	GMTZX	Mydestination 2015	Pair Corr
0.78	BOSVX	Omni Small Cap	Pair Corr
0.75	PQTNX	Pimco Trends Managed	Pair Corr
0.74	RLNCX	International Developed	Pair Corr
0.73	XILSX	Pioneer Ils Interval	Pair Corr
0.72	ROFIX	Royce Opportunity	Pair Corr
0.7	HTECX	Hennessy Technology	Pair Corr
0.69	RELSX	Equity Growth Strategy	Pair Corr
0.67	DMA	Destra Multi Alternative	Pair Corr
0.66	AOD	Aberdeen Total Dynamic	Pair Corr
0.64	GDV	Gabelli Dividend Income	Pair Corr
0.63	BTO	John Hancock Financial	Pair Corr
0.63	VUSXX	Vanguard Treasury Money	Pair Corr
0.59	HGOFX	Hartford Growth	Pair Corr
0.58	TLOFX	Transamerica Large Value	Pair Corr
0.55	RCLRX	Conservative Strategy	Pair Corr
0.52	FAETX	American Funds 2030	Pair Corr
0.5	UTF	Cohen And Steers	Pair Corr
0.49	MFTTX	Arrow Managed Futures	Pair Corr
0.47	CDHAX	Calvert Developed Market	Pair Corr
0.41	TWN	Taiwan Closed	Pair Corr
0.33	KF	Korea Closed	Pair Corr
0.87	EAGMX	Eaton Vance Global	Pair Corr
0.86	RSPFX	Victory Rs Partners	Pair Corr
0.84	RITHX	American High Income	Pair Corr
0.83	OSVCX	Jpmorgan Small Cap	Pair Corr
0.82	VWEHX	Vanguard High Yield	Pair Corr
0.8	RMBNX	Rmb Mendon Financial	Pair Corr
0.79	RFXCX	Rational Special Sit	Pair Corr
0.76	SGYAX	Siit High Yield	Pair Corr
0.76	RYTFX	Royce Total Return	Pair Corr
0.75	DGVCX	Davis Government Bond	Pair Corr

Related Correlations Analysis

	BTZ	RNP	PFN	WHGSX	MDRFX	THYFX	SEBLX	SBACX	BBN	SIBLX
BTZ		0.74	-0.11	-0.2	-0.28	-0.39	-0.15	-0.14	-0.41	-0.16	BTZ
RNP	0.74		-0.17	-0.49	-0.65	-0.7	-0.54	-0.53	-0.44	-0.54	RNP
PFN	-0.11	-0.17		0.35	0.35	0.32	0.38	0.39	-0.19	0.38	PFN
WHGSX	-0.2	-0.49	0.35		0.89	0.8	0.87	0.87	-0.3	0.87	WHGSX
MDRFX	-0.28	-0.65	0.35	0.89		0.83	0.85	0.84	-0.15	0.85	MDRFX
THYFX	-0.39	-0.7	0.32	0.8	0.83		0.88	0.87	-0.11	0.88	THYFX
SEBLX	-0.15	-0.54	0.38	0.87	0.85	0.88		1.0	-0.23	1.0	SEBLX
SBACX	-0.14	-0.53	0.39	0.87	0.84	0.87	1.0		-0.24	1.0	SBACX
BBN	-0.41	-0.44	-0.19	-0.3	-0.15	-0.11	-0.23	-0.24		-0.22	BBN
SIBLX	-0.16	-0.54	0.38	0.87	0.85	0.88	1.0	1.0	-0.22		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	+ 0.89	WHGSX
SEBLX	+ 0.88	THYFX
SIBLX	+ 0.88	THYFX

High negative correlations

THYFX	- 0.7	RNP
MDRFX	- 0.65	RNP
SIBLX	- 0.54	RNP
SEBLX	- 0.54	RNP
SBACX	- 0.53	RNP
WHGSX	- 0.49	RNP

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	0.35	(0.02)	0.00	(0.14)	0.00	0.00	0.74	(0.74)	2.23
RNP	0.69	(0.11)	0.00	(1.19)	0.00	0.00	1.03	(1.48)	2.88
PFN	0.39	(0.01)	(0.10)	0.01	0.55	(0.40)	0.96	(0.94)	2.85
WHGSX	0.82	0.01	(0.03)	0.11	0.95	(0.98)	2.17	(1.75)	5.84
MDRFX	0.75	0.15	0.13	0.37	0.60	(0.85)	1.35	(1.15)	9.84
THYFX	3.16	1.72	4.65	(1.23)	0.00	(3.65)	0.41	(0.41)	100.27
SEBLX	0.44	0.03	0.00	0.11	0.40	(0.51)	0.91	(0.92)	4.45
SBACX	0.43	0.03	0.00	0.11	0.38	(0.48)	0.91	(0.92)	4.45
BBN	0.46	(0.02)	(0.13)	(0.11)	0.58	(0.54)	0.95	(0.66)	3.84
SIBLX	0.43	0.03	0.00	0.12	0.38	(0.50)	0.89	(0.89)	4.53

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