Pimco Corporate Correlations

PTY Fund

USD 13.05 0.01 0.08%

The current 90-days correlation between Pimco Corporate Income and Nuveen Preferred Income is 0.34 (i.e., Weak diversification). The correlation of Pimco Corporate 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 Corporate Correlation With Market

Average diversification

The correlation between Pimco Corporate Income and DJI is 0.13 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Pimco Corporate 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 Corporate 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 persons.

Related Correlations Analysis

	JPC	ACP-PA	ETY	NZF	YAFFX	YAFIX	EXG	ADX	NVG	CLM
JPC		0.37	0.19	0.4	0.74	0.74	0.83	0.68	0.8	0.65	JPC
ACP-PA	0.37		0.11	-0.03	0.23	0.23	0.29	0.27	0.43	0.01	ACP-PA
ETY	0.19	0.11		0.09	-0.14	-0.14	0.16	0.17	-0.08	0.27	ETY
NZF	0.4	-0.03	0.09		0.14	0.14	0.25	0.06	0.55	0.18	NZF
YAFFX	0.74	0.23	-0.14	0.14		1.0	0.94	0.79	0.76	0.83	YAFFX
YAFIX	0.74	0.23	-0.14	0.14	1.0		0.94	0.79	0.76	0.83	YAFIX
EXG	0.83	0.29	0.16	0.25	0.94	0.94		0.83	0.78	0.9	EXG
ADX	0.68	0.27	0.17	0.06	0.79	0.79	0.83		0.65	0.72	ADX
NVG	0.8	0.43	-0.08	0.55	0.76	0.76	0.78	0.65		0.57	NVG
CLM	0.65	0.01	0.27	0.18	0.83	0.83	0.9	0.72	0.57		CLM
	JPC	ACP-PA	ETY	NZF	YAFFX	YAFIX	EXG	ADX	NVG	CLM

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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

YAFIX	+ 1.0	YAFFX
EXG	+ 0.94	YAFFX
EXG	+ 0.94	YAFIX
CLM	+ 0.9	EXG
EXG	+ 0.83	JPC
CLM	+ 0.83	YAFFX

High negative correlations

YAFIX	- 0.14	ETY
YAFFX	- 0.14	ETY
NVG	- 0.08	ETY
NZF	- 0.03	ACP-PA

Risk-Adjusted Indicators

There is a big difference between Pimco Fund performing well and Pimco Corporate 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 Corporate'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
JPC	0.37	0.03	(0.07)	0.20	0.35	(0.44)	0.64	(0.75)	2.74
ACP-PA	0.42	(0.02)	0.00	(0.11)	0.00	0.00	1.14	(0.82)	2.90
ETY	0.63	(0.09)	0.00	(0.06)	0.00	0.00	1.38	(1.34)	3.53
NZF	0.42	0.05	(0.05)	0.39	0.46	(0.46)	1.21	(0.57)	2.88
YAFFX	0.80	0.42	0.43	1.81	0.00	(1.00)	1.41	(0.88)	15.86
YAFIX	0.80	0.42	0.44	1.84	0.00	(1.01)	1.36	(0.88)	16.03
EXG	0.60	0.06	0.03	0.19	0.61	(0.67)	1.26	(1.28)	3.15
ADX	0.68	0.02	(0.02)	0.12	0.72	(0.71)	1.51	(1.18)	3.09
NVG	0.38	0.09	0.02	1.64	0.05	(0.49)	1.15	(0.55)	2.72
CLM	0.46	(0.01)	(0.08)	0.07	0.58	(0.51)	1.01	(1.23)	2.97

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