Fixed Income Correlations

FXICX Fund

USD 9.02 0.03 0.33%

The current 90-days correlation between Fixed Income Shares and Enhanced Large Pany is -0.05 (i.e., Good diversification). The correlation of Fixed Income is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak. If the correlation is 0, the equities are not correlated; they are entirely random.

Fixed Income Correlation With Market

Good diversification

The correlation between Fixed Income Shares and DJI is -0.05 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Fixed Income Shares and DJI in the same portfolio, assuming nothing else is changed.

Check out Investing Opportunities to better understand how to build diversified portfolios, which includes a position in Fixed Income Shares. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as signals in main economic indicators.

Moving together with Fixed Mutual Fund

0.75	PFATX	Pimco Fundamental	Pair Corr
0.95	PFGAX	Long Term Government	Pair Corr
0.95	PFGCX	Long Term Government	Pair Corr
0.79	PFMIX	Municipal Bond	Pair Corr
0.88	PFRCX	Foreign Bond	Pair Corr
0.91	PFSIX	Pimco Emerging Markets	Pair Corr
0.88	PFUUX	Pimco Foreign Bond	Pair Corr
0.88	PFUAX	Foreign Bond	Pair Corr
0.88	PFUIX	Foreign Bond	Pair Corr
0.88	PFUNX	Pimco International Bond	Pair Corr
0.88	PFUPX	Pimco Foreign Bond	Pair Corr
0.89	PGBIX	Global Bond Fund	Pair Corr

Moving against Fixed Mutual Fund

0.73

PFTCX

Short Term Fund

Pair Corr

Related Correlations Analysis

	DFELX	MSTSX	AAARX	PHJFX	JDVNX	LBISX
DFELX		0.72	0.95	0.4	0.97	0.95	DFELX
MSTSX	0.72		0.8	0.73	0.64	0.61	MSTSX
AAARX	0.95	0.8		0.63	0.93	0.91	AAARX
PHJFX	0.4	0.73	0.63		0.31	0.29	PHJFX
JDVNX	0.97	0.64	0.93	0.31		0.99	JDVNX
LBISX	0.95	0.61	0.91	0.29	0.99		LBISX
	DFELX	MSTSX	AAARX	PHJFX	JDVNX	LBISX

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Risk-Adjusted Indicators

There is a big difference between Fixed Mutual Fund performing well and Fixed Income Mutual Fund doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze Fixed Income's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
DFELX	0.56	0.00	(0.02)	0.11	0.70	(0.60)	1.15	(1.36)	3.90
MSTSX	0.49	(0.03)	(0.12)	0.06	0.52	(0.61)	1.21	(1.02)	2.80
AAARX	0.43	(0.01)	(0.10)	0.09	0.46	(0.51)	0.93	(0.70)	2.37
PHJFX	0.22	(0.02)	(0.35)	0.02	0.23	(0.26)	0.47	(0.56)	1.22
JDVNX	0.59	(0.01)	(0.01)	0.10	0.51	(0.72)	1.19	(0.99)	5.12
LBISX	0.57	0.02	0.01	0.13	0.37	(0.68)	1.14	(0.95)	4.72

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