Pimco High Correlations

PYMPX Fund

USD 8.58 0.01 0.12%

The current 90-days correlation between Pimco High Yield and Pimco Rae Worldwide is 0.2 (i.e., Modest diversification). The correlation of Pimco High 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 High Correlation With Market

Very good diversification

The correlation between Pimco High Yield and DJI is -0.29 (i.e., Very good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Pimco High Yield 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 High Yield. 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 american community survey.

Moving together with Pimco Mutual Fund

0.61	PFBPX	Pimco Foreign Bond	Pair Corr
0.71	PFIAX	Pimco Floating Income	Pair Corr
0.65	PFIIX	Pimco Floating Income	Pair Corr
0.91	PFMIX	Municipal Bond	Pair Corr
0.73	PFNCX	Pimco Floating Income	Pair Corr
0.71	PFNIX	Pimco Low Duration	Pair Corr
0.61	PFOAX	Pimco Foreign Bond	Pair Corr
0.65	PFOCX	Pimco Foreign Bond	Pair Corr
0.61	PFRAX	Pimco Foreign Bond	Pair Corr
0.71	PFTPX	Pimco Floating Income	Pair Corr
0.66	PFRRX	Pimco Foreign Bond	Pair Corr
0.8	PFSIX	Pimco Emerging Markets	Pair Corr
0.88	PGBIX	Global Bond Fund	Pair Corr

Related Correlations Analysis

	PWLEX	PWLBX	PWLMX	PWLIX	PFBPX	PFCJX	PFATX	PFANX	PFGAX	PFGCX
PWLEX		0.84	0.84	0.98	0.41	0.52	0.39	0.48	0.11	0.11	PWLEX
PWLBX	0.84		0.99	0.85	0.34	0.48	0.34	0.42	0.06	0.06	PWLBX
PWLMX	0.84	0.99		0.85	0.37	0.52	0.32	0.46	0.03	0.03	PWLMX
PWLIX	0.98	0.85	0.85		0.47	0.6	0.3	0.56	0.02	0.02	PWLIX
PFBPX	0.41	0.34	0.37	0.47		0.77	-0.13	0.75	-0.11	-0.11	PFBPX
PFCJX	0.52	0.48	0.52	0.6	0.77		-0.11	0.98	-0.36	-0.36	PFCJX
PFATX	0.39	0.34	0.32	0.3	-0.13	-0.11		-0.2	0.7	0.7	PFATX
PFANX	0.48	0.42	0.46	0.56	0.75	0.98	-0.2		-0.47	-0.48	PFANX
PFGAX	0.11	0.06	0.03	0.02	-0.11	-0.36	0.7	-0.47		1.0	PFGAX
PFGCX	0.11	0.06	0.03	0.02	-0.11	-0.36	0.7	-0.48	1.0		PFGCX
	PWLEX	PWLBX	PWLMX	PWLIX	PFBPX	PFCJX	PFATX	PFANX	PFGAX	PFGCX

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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

PFGCX	+ 1.0	PFGAX
PWLMX	+ 0.99	PWLBX
PWLIX	+ 0.98	PWLEX
PFANX	+ 0.98	PFCJX
PWLIX	+ 0.85	PWLBX
PWLIX	+ 0.85	PWLMX

High negative correlations

PFGCX	- 0.48	PFANX
PFGAX	- 0.47	PFANX
PFGCX	- 0.36	PFCJX
PFGAX	- 0.36	PFCJX
PFANX	- 0.2	PFATX
PFATX	- 0.13	PFBPX

Risk-Adjusted Indicators

There is a big difference between Pimco Mutual Fund performing well and Pimco High 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 High'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
PWLEX	0.28	0.01	(0.28)	0.44	0.27	(0.33)	0.62	(0.49)	1.85
PWLBX	0.29	0.02	(0.24)	0.32	0.27	(0.33)	0.62	(0.49)	1.86
PWLMX	0.28	0.02	(0.25)	0.30	0.24	(0.35)	0.73	(0.49)	1.84
PWLIX	0.28	0.01	(0.27)	0.42	0.27	(0.32)	0.50	(0.61)	1.72
PFBPX	0.14	0.01	(0.59)	(0.42)	0.05	(0.19)	0.30	(0.30)	0.92
PFCJX	0.10	0.01	(0.61)	0.49	0.00	(0.16)	0.22	(0.21)	0.65
PFATX	0.32	(0.06)	0.00	(0.44)	0.00	0.00	0.51	(0.87)	1.90
PFANX	0.10	0.01	(0.79)	0.73	0.00	(0.16)	0.22	(0.11)	0.54
PFGAX	0.54	(0.07)	0.00	0.41	0.00	0.00	1.14	(1.36)	3.52
PFGCX	0.54	(0.07)	0.00	0.42	0.00	0.00	1.14	(1.36)	3.52

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