Pimco Real Correlations

PRLPX Fund

USD 10.39 0.02 0.19%

The current 90-days correlation between Pimco Real Return and Pimco Rae Worldwide is 0.16 (i.e., Average diversification). The correlation of Pimco Real 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 Real Correlation With Market

Average diversification

The correlation between Pimco Real Return and DJI is 0.1 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Pimco Real Return 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 Real Return. 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 main economic indicators.

Moving together with Pimco Mutual Fund

0.89	PFGAX	Long Term Government	Pair Corr
0.89	PFGCX	Long Term Government	Pair Corr
0.62	PFOAX	Pimco Foreign Bond	Pair Corr
0.66	PFOCX	Pimco Foreign Bond	Pair Corr
0.62	PFRRX	Pimco Foreign Bond	Pair Corr

Moving against Pimco Mutual Fund

0.38	PFATX	Pimco Fundamental	Pair Corr
0.35	PFTCX	Short Term Fund	Pair Corr
0.35	PFSIX	Pimco Emerging Markets	Pair Corr
0.44	PXTIX	Fundamental Indexplus	Pair Corr
0.43	PXTNX	Pimco Rae Plus	Pair Corr

Related Correlations Analysis

	PWLEX	PNRNX	PWLBX	PWLMX	PWLIX	PNYIX	PNYNX	PNYPX	PNYAX
PWLEX		0.3	1.0	1.0	1.0	0.26	0.23	0.26	0.23	PWLEX
PNRNX	0.3		0.3	0.28	0.28	0.07	0.12	0.07	0.11	PNRNX
PWLBX	1.0	0.3		1.0	1.0	0.27	0.24	0.27	0.24	PWLBX
PWLMX	1.0	0.28	1.0		1.0	0.29	0.26	0.29	0.26	PWLMX
PWLIX	1.0	0.28	1.0	1.0		0.29	0.27	0.29	0.26	PWLIX
PNYIX	0.26	0.07	0.27	0.29	0.29		1.0	1.0	0.99	PNYIX
PNYNX	0.23	0.12	0.24	0.26	0.27	1.0		1.0	1.0	PNYNX
PNYPX	0.26	0.07	0.27	0.29	0.29	1.0	1.0		0.99	PNYPX
PNYAX	0.23	0.11	0.24	0.26	0.26	0.99	1.0	0.99		PNYAX
	PWLEX	PNRNX	PWLBX	PWLMX	PWLIX	PNYIX	PNYNX	PNYPX	PNYAX

Risk-Adjusted Indicators

There is a big difference between Pimco Mutual Fund performing well and Pimco Real 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 Real'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	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
PWLEX	0.39	(0.02)	0.00	(0.35)	0.00	0.95	(0.68)	2.73
PNRNX	0.61	(0.06)	0.00	(0.07)	0.00	1.18	(1.25)	4.03
PWLBX	0.40	(0.03)	0.00	(0.35)	0.00	1.09	(0.68)	3.00
PWLMX	0.39	(0.02)	0.00	(0.35)	0.00	0.95	(0.68)	2.96
PWLIX	0.39	(0.02)	0.00	(0.41)	0.00	0.95	(0.68)	2.96
PNYIX	0.07	0.00	(0.40)	0.00	(0.13)	0.19	(0.09)	0.65
PNYNX	0.06	0.00	(0.41)	0.00	(0.12)	0.19	(0.09)	0.56
PNYPX	0.07	0.00	(0.40)	0.00	(0.13)	0.19	(0.09)	0.65
PNYAX	0.06	0.01	(0.47)	1.54	(0.12)	0.19	(0.09)	0.47

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