Correlation Between PIMCO 1 and SPDR Bloomberg
Can any of the company-specific risk be diversified away by investing in both PIMCO 1 and SPDR Bloomberg 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 1 and SPDR Bloomberg into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between PIMCO 1 5 Year and SPDR Bloomberg 1 10, you can compare the effects of market volatilities on PIMCO 1 and SPDR Bloomberg 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 1 with a short position of SPDR Bloomberg. Check out your portfolio center. Please also check ongoing floating volatility patterns of PIMCO 1 and SPDR Bloomberg.
Diversification Opportunities for PIMCO 1 and SPDR Bloomberg
0.83 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between PIMCO and SPDR is 0.83. Overlapping area represents the amount of risk that can be diversified away by holding PIMCO 1 5 Year and SPDR Bloomberg 1 10 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR Bloomberg 1 and PIMCO 1 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 1 5 Year are associated (or correlated) with SPDR Bloomberg. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPDR Bloomberg 1 has no effect on the direction of PIMCO 1 i.e., PIMCO 1 and SPDR Bloomberg go up and down completely randomly.
Pair Corralation between PIMCO 1 and SPDR Bloomberg
Given the investment horizon of 90 days PIMCO 1 is expected to generate 1.1 times less return on investment than SPDR Bloomberg. But when comparing it to its historical volatility, PIMCO 1 5 Year is 1.44 times less risky than SPDR Bloomberg. It trades about 0.15 of its potential returns per unit of risk. SPDR Bloomberg 1 10 is currently generating about 0.11 of returns per unit of risk over similar time horizon. If you would invest 1,863 in SPDR Bloomberg 1 10 on August 28, 2024 and sell it today you would earn a total of 7.00 from holding SPDR Bloomberg 1 10 or generate 0.38% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
PIMCO 1 5 Year vs. SPDR Bloomberg 1 10
Performance |
| Timeline |
| PIMCO 1 5 |
| SPDR Bloomberg 1 |
PIMCO 1 and SPDR Bloomberg Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with PIMCO 1 and SPDR Bloomberg
The main advantage of trading using opposite PIMCO 1 and SPDR Bloomberg positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PIMCO 1 position performs unexpectedly, SPDR Bloomberg 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 SPDR Bloomberg will offset losses from the drop in SPDR Bloomberg's long position.| PIMCO 1 vs. Schwab TIPS ETF | PIMCO 1 vs. Vanguard Short Term Inflation Protected | PIMCO 1 vs. iShares Floating Rate | PIMCO 1 vs. iShares 0 5 Year |
| SPDR Bloomberg vs. SPDR Portfolio TIPS | SPDR Bloomberg vs. FlexShares iBoxx 5 Year | SPDR Bloomberg vs. FlexShares iBoxx 3 Year | SPDR Bloomberg vs. PIMCO Broad TIPS |
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 AI Portfolio Architect module to use AI to generate optimal portfolios and find profitable investment opportunities.
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