Correlation Between Pimco Rae and Moderate Duration
Can any of the company-specific risk be diversified away by investing in both Pimco Rae and Moderate Duration 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 Rae and Moderate Duration into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Pimco Rae Worldwide and Moderate Duration Fund, you can compare the effects of market volatilities on Pimco Rae and Moderate Duration 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 Rae with a short position of Moderate Duration. Check out your portfolio center. Please also check ongoing floating volatility patterns of Pimco Rae and Moderate Duration.
Diversification Opportunities for Pimco Rae and Moderate Duration
0.25 | Correlation Coefficient |
Modest diversification
The 3 months correlation between Pimco and Moderate is 0.25. Overlapping area represents the amount of risk that can be diversified away by holding Pimco Rae Worldwide and Moderate Duration Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Moderate Duration and Pimco Rae 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 Rae Worldwide are associated (or correlated) with Moderate Duration. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Moderate Duration has no effect on the direction of Pimco Rae i.e., Pimco Rae and Moderate Duration go up and down completely randomly.
Pair Corralation between Pimco Rae and Moderate Duration
Assuming the 90 days horizon Pimco Rae Worldwide is expected to generate 1.81 times more return on investment than Moderate Duration. However, Pimco Rae is 1.81 times more volatile than Moderate Duration Fund. It trades about 0.34 of its potential returns per unit of risk. Moderate Duration Fund is currently generating about 0.13 per unit of risk. If you would invest 805.00 in Pimco Rae Worldwide on September 1, 2024 and sell it today you would earn a total of 20.00 from holding Pimco Rae Worldwide or generate 2.48% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 95.45% |
| Values | Daily Returns |
Pimco Rae Worldwide vs. Moderate Duration Fund
Performance |
| Timeline |
| Pimco Rae Worldwide |
| Moderate Duration |
Pimco Rae and Moderate Duration Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Pimco Rae and Moderate Duration
The main advantage of trading using opposite Pimco Rae and Moderate Duration positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Pimco Rae position performs unexpectedly, Moderate Duration 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 Moderate Duration will offset losses from the drop in Moderate Duration's long position.| Pimco Rae vs. Ms Global Fixed | Pimco Rae vs. Ft 7934 Corporate | Pimco Rae vs. Ab Bond Inflation | Pimco Rae vs. Inflation Protected Bond Fund |
| Moderate Duration vs. Pimco Rae Worldwide | Moderate Duration vs. Pimco Rae Worldwide | Moderate Duration vs. Pimco Rae Worldwide | Moderate Duration vs. Pimco Rae Worldwide |
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 Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
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