Pimco Corporate Correlations

PCN Fund

USD 13.64 0.04 0.29%

The current 90-days correlation between Pimco Corporate Income and Pimco Dynamic Income is 0.09 (i.e., Significant diversification). A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Pimco Corporate moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Pimco Corporate Income moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

Pimco Corporate Correlation With Market

Modest diversification

The correlation between Pimco Corporate Income and DJI is 0.26 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Pimco Corporate Income and DJI in the same portfolio, assuming nothing else is changed.

Check out Your Equity Center to better understand how to build diversified portfolios, which includes a position in Pimco Corporate Income. Also, note that the market value of any fund could be closely tied with the direction of predictive economic indicators such as signals in main economic indicators.

Moving together with Pimco Fund

0.9	NEA	Nuveen Amt Free	Pair Corr
0.89	NVG	Nuveen Amt Free	Pair Corr
0.84	NAD	Nuveen Dividend Advantage	Pair Corr
0.88	NZF	Nuveen Municipal Credit	Pair Corr
0.87	NAC	Nuveen California	Pair Corr
0.77	DNP	Dnp Select Income	Pair Corr
0.79	UTF	Cohen And Steers	Pair Corr
0.74	PGLSX	Global Multi Strategy	Pair Corr
0.68	USGDX	Morgan Stanley Government	Pair Corr
0.73	TIMUX	Transamerica Intermediate	Pair Corr
0.83	SGDLX	Sprott Gold Equity	Pair Corr
0.79	ABNOX	Ab Bond Inflation	Pair Corr
0.83	GIOIX	Guggenheim Macro Opp	Pair Corr
0.89	DBIWX	Dws Global Macro	Pair Corr
0.73	HRBDX	Harbor Bond Fund	Pair Corr
0.8	HWACX	Hotchkis Wiley Value	Pair Corr
0.89	HTD	John Hancock Tax	Pair Corr
0.76	VICSX	Vanguard Intermediate-ter	Pair Corr

Related Correlations Analysis

	PDI	GOF	PDO	PHK	BLW	BHK	BSIG	MHD	PFN	PCM
PDI		0.93	0.92	0.84	0.82	0.72	0.0	0.59	0.95	-0.69	PDI
GOF	0.93		0.81	0.78	0.68	0.73	0.0	0.45	0.92	-0.55	GOF
PDO	0.92	0.81		0.82	0.85	0.55	0.0	0.68	0.93	-0.74	PDO
PHK	0.84	0.78	0.82		0.69	0.73	0.0	0.67	0.83	-0.48	PHK
BLW	0.82	0.68	0.85	0.69		0.51	0.0	0.8	0.84	-0.71	BLW
BHK	0.72	0.73	0.55	0.73	0.51		0.0	0.46	0.65	-0.09	BHK
BSIG	0.0	0.0	0.0	0.0	0.0	0.0		0.0	0.0	0.0	BSIG
MHD	0.59	0.45	0.68	0.67	0.8	0.46	0.0		0.64	-0.44	MHD
PFN	0.95	0.92	0.93	0.83	0.84	0.65	0.0	0.64		-0.68	PFN
PCM	-0.69	-0.55	-0.74	-0.48	-0.71	-0.09	0.0	-0.44	-0.68		PCM
	PDI	GOF	PDO	PHK	BLW	BHK	BSIG	MHD	PFN	PCM

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

PFN	+ 0.95	PDI
GOF	+ 0.93	PDI
PFN	+ 0.93	PDO
PDO	+ 0.92	PDI
PFN	+ 0.92	GOF
BLW	+ 0.85	PDO

High negative correlations

PCM	- 0.74	PDO
PCM	- 0.71	BLW
PCM	- 0.69	PDI
PCM	- 0.68	PFN
PCM	- 0.55	GOF
PCM	- 0.48	PHK

Risk-Adjusted Indicators

There is a big difference between Pimco Fund performing well and Pimco Corporate 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 Pimco Corporate'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
PDI	0.33	0.12	0.25	0.65	0.31	(0.36)	0.82	(0.71)	2.07
GOF	0.45	0.10	0.17	0.39	0.52	(0.46)	0.97	(1.02)	2.89
PDO	0.41	0.06	0.14	(0.43)	0.52	(0.41)	0.83	(1.08)	3.44
PHK	0.33	(0.01)	0.05	(2.08)	0.49	(0.38)	0.63	(0.82)	2.10
BLW	0.35	0.01	0.08	0.02	0.42	(0.37)	0.85	(0.64)	2.28
BHK	0.60	(0.01)	0.00	(0.07)	0.00	0.00	1.05	(1.15)	3.34
BSIG	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
MHD	0.50	(0.02)	0.00	(0.20)	0.00	0.00	0.94	(1.03)	2.80
PFN	0.26	0.05	0.23	0.59	0.21	(0.32)	0.54	(0.41)	1.36
PCM	0.86	(0.26)	0.00	2.71	0.00	0.00	1.38	(1.37)	14.71

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