Correlation Between Pimco Fundamental and Pimco Extended
Can any of the company-specific risk be diversified away by investing in both Pimco Fundamental and Pimco Extended at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining Pimco Fundamental and Pimco Extended into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Pimco Fundamental Advantage and Pimco Extended Duration, you can compare the effects of market volatilities on Pimco Fundamental and Pimco Extended and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in Pimco Fundamental with a short position of Pimco Extended. Check out your portfolio center. Please also check ongoing floating volatility patterns of Pimco Fundamental and Pimco Extended.
Diversification Opportunities for Pimco Fundamental and Pimco Extended
0.68 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Pimco and Pimco is 0.68. Overlapping area represents the amount of risk that can be diversified away by holding Pimco Fundamental Advantage and Pimco Extended Duration in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Pimco Extended Duration and Pimco Fundamental is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on Pimco Fundamental Advantage are associated (or correlated) with Pimco Extended. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Pimco Extended Duration has no effect on the direction of Pimco Fundamental i.e., Pimco Fundamental and Pimco Extended go up and down completely randomly.
Pair Corralation between Pimco Fundamental and Pimco Extended
Assuming the 90 days horizon Pimco Fundamental is expected to generate 2.43 times less return on investment than Pimco Extended. But when comparing it to its historical volatility, Pimco Fundamental Advantage is 2.99 times less risky than Pimco Extended. It trades about 0.09 of its potential returns per unit of risk. Pimco Extended Duration is currently generating about 0.08 of returns per unit of risk over similar time horizon. If you would invest 1,367 in Pimco Extended Duration on September 1, 2024 and sell it today you would earn a total of 35.00 from holding Pimco Extended Duration or generate 2.56% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Pimco Fundamental Advantage vs. Pimco Extended Duration
Performance |
| Timeline |
| Pimco Fundamental |
| Pimco Extended Duration |
Pimco Fundamental and Pimco Extended Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Pimco Fundamental and Pimco Extended
The main advantage of trading using opposite Pimco Fundamental and Pimco Extended positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Pimco Fundamental position performs unexpectedly, Pimco Extended can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Pimco Extended will offset losses from the drop in Pimco Extended's long position.| Pimco Fundamental vs. Touchstone Premium Yield | Pimco Fundamental vs. Ultra Short Fixed Income | Pimco Fundamental vs. Dreyfusstandish Global Fixed | Pimco Fundamental vs. Ab Bond Inflation |
| Pimco Extended vs. Vanguard Extended Duration | Pimco Extended vs. Pimco Long Term Credit | Pimco Extended vs. Pimco Extended Duration | Pimco Extended vs. Pimco Long Term Credit |
Check out your portfolio center.Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Theme Ratings module to determine theme ratings based on digital equity recommendations. Macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance.
Other Complementary Tools
| Equity Search Search for actively traded equities including funds and ETFs from over 30 global markets | |
| Balance Of Power Check stock momentum by analyzing Balance Of Power indicator and other technical ratios | |
| Watchlist Optimization Optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm | |
| Fundamental Analysis View fundamental data based on most recent published financial statements | |
| Portfolio Holdings Check your current holdings and cash postion to detemine if your portfolio needs rebalancing |