Correlation Between PIMCO Mortgage and PIMCO RAFI
Can any of the company-specific risk be diversified away by investing in both PIMCO Mortgage and PIMCO RAFI 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 Mortgage and PIMCO RAFI into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between PIMCO Mortgage Backed Securities and PIMCO RAFI Dynamic, you can compare the effects of market volatilities on PIMCO Mortgage and PIMCO RAFI 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 Mortgage with a short position of PIMCO RAFI. Check out your portfolio center. Please also check ongoing floating volatility patterns of PIMCO Mortgage and PIMCO RAFI.
Diversification Opportunities for PIMCO Mortgage and PIMCO RAFI
0.73 | Correlation Coefficient |
Poor diversification
The 3 months correlation between PIMCO and PIMCO is 0.73. Overlapping area represents the amount of risk that can be diversified away by holding PIMCO Mortgage Backed Securiti and PIMCO RAFI Dynamic in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PIMCO RAFI Dynamic and PIMCO Mortgage 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 Mortgage Backed Securities are associated (or correlated) with PIMCO RAFI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of PIMCO RAFI Dynamic has no effect on the direction of PIMCO Mortgage i.e., PIMCO Mortgage and PIMCO RAFI go up and down completely randomly.
Pair Corralation between PIMCO Mortgage and PIMCO RAFI
Given the investment horizon of 90 days PIMCO Mortgage is expected to generate 12.62 times less return on investment than PIMCO RAFI. But when comparing it to its historical volatility, PIMCO Mortgage Backed Securities is 1.85 times less risky than PIMCO RAFI. It trades about 0.03 of its potential returns per unit of risk. PIMCO RAFI Dynamic is currently generating about 0.23 of returns per unit of risk over similar time horizon. If you would invest 4,933 in PIMCO RAFI Dynamic on October 20, 2024 and sell it today you would earn a total of 152.00 from holding PIMCO RAFI Dynamic or generate 3.08% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
PIMCO Mortgage Backed Securiti vs. PIMCO RAFI Dynamic
Performance |
| Timeline |
| PIMCO Mortgage Backed |
| PIMCO RAFI Dynamic |
PIMCO Mortgage and PIMCO RAFI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with PIMCO Mortgage and PIMCO RAFI
The main advantage of trading using opposite PIMCO Mortgage and PIMCO RAFI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PIMCO Mortgage position performs unexpectedly, PIMCO RAFI 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 RAFI will offset losses from the drop in PIMCO RAFI's long position.| PIMCO Mortgage vs. Valued Advisers Trust | PIMCO Mortgage vs. Columbia Diversified Fixed | PIMCO Mortgage vs. Principal Exchange Traded Funds | PIMCO Mortgage vs. Doubleline Etf Trust |
| PIMCO RAFI vs. PIMCO RAFI Dynamic | PIMCO RAFI vs. PIMCO RAFI Dynamic | PIMCO RAFI vs. JPMorgan Diversified Return | PIMCO RAFI vs. JPMorgan Diversified Return |
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 Portfolio Holdings module to check your current holdings and cash postion to detemine if your portfolio needs rebalancing.
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