Short Duration Correlations

PSDIX Fund

USD 8.40 0.00 0.00%

The current 90-days correlation between Short Duration Municipal and Diversified Municipal Portfolio is 0.25 (i.e., Modest diversification). The correlation of Short Duration 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.

Short Duration Correlation With Market

Very poor diversification

The correlation between Short Duration Municipal and DJI is 0.84 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Short Duration Municipal 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 Short Duration Municipal. 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 Short Mutual Fund

0.65	PWLEX	Pimco Rae Worldwide	Pair Corr
0.68	PWLMX	Pimco Rae Worldwide	Pair Corr
0.68	PWLIX	Pimco Rae Worldwide	Pair Corr
0.82	PFCJX	Pimco Preferred And	Pair Corr
0.9	PFATX	Pimco Fundamental	Pair Corr
0.86	PFANX	Pimco Capital Sec	Pair Corr
0.97	PFIAX	Pimco Floating Income	Pair Corr
0.97	PFIIX	Pimco Floating Income	Pair Corr
0.97	PFIUX	Pimco Unconstrained Bond	Pair Corr
0.88	PFINX	Pimco Capital Sec	Pair Corr
0.86	PFMIX	Municipal Bond	Pair Corr
0.96	PFNCX	Pimco Floating Income	Pair Corr
0.86	PFNNX	Pimco Preferred And	Pair Corr
0.97	PFNIX	Pimco Low Duration	Pair Corr
0.97	PFNUX	Pimco Dynamic Bond	Pair Corr
0.87	PFRMX	Pimco Inflation Response	Pair Corr
0.86	PFPNX	Pimco Capital Sec	Pair Corr
0.94	PFTCX	Short Term Fund	Pair Corr
0.97	PFTPX	Pimco Floating Income	Pair Corr
0.92	PFSIX	Pimco Emerging Markets	Pair Corr
0.93	PGAPX	Pimco Global Multi	Pair Corr
0.89	PXTIX	Fundamental Indexplus	Pair Corr
0.89	PXTNX	Pimco Rae Plus	Pair Corr
0.93	PGBIX	Global Bond Fund	Pair Corr

Moving against Short Mutual Fund

0.57	PFGCX	Long Term Government	Pair Corr
0.56	PFGAX	Long Term Government	Pair Corr
0.68	PGOVX	Long Term Government	Pair Corr

Related Correlations Analysis

	VMLTX	VMLUX	VWSTX	VWSUX	GDUSX	GANPX	SNDPX	AIDYX	AIDZX
VMLTX		1.0	0.98	0.97	0.97	0.98	0.92	0.93	0.93	VMLTX
VMLUX	1.0		0.98	0.97	0.97	0.98	0.92	0.93	0.93	VMLUX
VWSTX	0.98	0.98		1.0	0.99	0.99	0.9	0.91	0.91	VWSTX
VWSUX	0.97	0.97	1.0		0.99	0.98	0.88	0.89	0.9	VWSUX
GDUSX	0.97	0.97	0.99	0.99		0.99	0.9	0.92	0.92	GDUSX
GANPX	0.98	0.98	0.99	0.98	0.99		0.92	0.93	0.94	GANPX
SNDPX	0.92	0.92	0.9	0.88	0.9	0.92		0.99	0.99	SNDPX
AIDYX	0.93	0.93	0.91	0.89	0.92	0.93	0.99		1.0	AIDYX
AIDZX	0.93	0.93	0.91	0.9	0.92	0.94	0.99	1.0		AIDZX
	VMLTX	VMLUX	VWSTX	VWSUX	GDUSX	GANPX	SNDPX	AIDYX	AIDZX

Risk-Adjusted Indicators

There is a big difference between Short Mutual Fund performing well and Short Duration 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 Short Duration'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
VMLTX	0.05	0.01	(0.66)	0.51	(0.14)	0.09	(0.09)	0.46
VMLUX	0.05	0.01	(0.66)	0.70	(0.14)	0.09	(0.09)	0.46
VWSTX	0.03	0.00	0.00	(0.32)	0.00	0.06	(0.06)	0.32
VWSUX	0.03	0.01	0.00	(0.40)	0.00	0.06	(0.06)	0.38
GDUSX	0.04	0.01	0.00	(1.10)	0.00	0.10	(0.10)	0.48
GANPX	0.04	0.01	(0.64)	(0.73)	(0.14)	0.10	(0.10)	0.39
SNDPX	0.05	0.00	(0.56)	0.24	(0.10)	0.14	(0.07)	0.50
AIDYX	0.05	0.00	(0.76)	0.25	(0.11)	0.14	(0.07)	0.43
AIDZX	0.05	0.00	(0.76)	0.34	(0.10)	0.14	(0.07)	0.43

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