Correlation Between Long-term and Pimco Extended
Can any of the company-specific risk be diversified away by investing in both Long-term 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 Long-term and Pimco Extended into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Long Term Government Fund and Pimco Extended Duration, you can compare the effects of market volatilities on Long-term 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 Long-term with a short position of Pimco Extended. Check out your portfolio center. Please also check ongoing floating volatility patterns of Long-term and Pimco Extended.
Diversification Opportunities for Long-term and Pimco Extended
1.0 | Correlation Coefficient |
No risk reduction
The 3 months correlation between Long-term and Pimco is 1.0. Overlapping area represents the amount of risk that can be diversified away by holding Long Term Government Fund 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 Long-term 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 Long Term Government Fund 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 Long-term i.e., Long-term and Pimco Extended go up and down completely randomly.
Pair Corralation between Long-term and Pimco Extended
Assuming the 90 days horizon Long-term is expected to generate 1.49 times less return on investment than Pimco Extended. But when comparing it to its historical volatility, Long Term Government Fund is 1.72 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 1,368 in Pimco Extended Duration on September 3, 2024 and sell it today you would earn a total of 34.00 from holding Pimco Extended Duration or generate 2.49% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Long Term Government Fund vs. Pimco Extended Duration
Performance |
| Timeline |
| Long Term Government |
| Pimco Extended Duration |
Long-term and Pimco Extended Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Long-term and Pimco Extended
The main advantage of trading using opposite Long-term and Pimco Extended positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Long-term 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.| Long-term vs. Jhancock Diversified Macro | Long-term vs. Sentinel Small Pany | Long-term vs. Delaware Limited Term Diversified | Long-term vs. Tiaa Cref Smallmid Cap Equity |
| Pimco Extended vs. Fidelity Series Long Term | Pimco Extended vs. Vanguard Long Term Government | Pimco Extended vs. Us Treasury Long Term | Pimco Extended vs. Us Treasury Long Term |
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 Stock Screener module to find equities using a custom stock filter or screen asymmetry in trading patterns, price, volume, or investment outlook..
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