Pimco California Correlations

PCQ Fund

USD 9.69 0.13 1.36%

The current 90-days correlation between Pimco California Mun and Pimco California Municipal is 0.64 (i.e., Poor diversification). The correlation of Pimco California 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.

Pimco California Correlation With Market

Good diversification

The correlation between Pimco California Municipal and DJI is -0.15 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Pimco California Municipal 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 California Municipal. 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 against Pimco Fund

0.35

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Pair Corr

Related Correlations Analysis

	PCK	NKX	EVM	VCV	PZC	BFZ	MUC	NAC	MVF
PCK		0.79	0.62	0.63	0.95	0.89	0.96	0.86	0.83	PCK
NKX	0.79		0.63	0.71	0.85	0.92	0.8	0.81	0.74	NKX
EVM	0.62	0.63		0.93	0.58	0.57	0.69	0.84	0.82	EVM
VCV	0.63	0.71	0.93		0.63	0.65	0.7	0.88	0.76	VCV
PZC	0.95	0.85	0.58	0.63		0.93	0.91	0.85	0.76	PZC
BFZ	0.89	0.92	0.57	0.65	0.93		0.88	0.83	0.76	BFZ
MUC	0.96	0.8	0.69	0.7	0.91	0.88		0.91	0.87	MUC
NAC	0.86	0.81	0.84	0.88	0.85	0.83	0.91		0.89	NAC
MVF	0.83	0.74	0.82	0.76	0.76	0.76	0.87	0.89		MVF
	PCK	NKX	EVM	VCV	PZC	BFZ	MUC	NAC	MVF

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Risk-Adjusted Indicators

There is a big difference between Pimco Fund performing well and Pimco California 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 California'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
PCK	0.44	0.00	(0.18)	0.02	0.54	(0.51)	1.02	(0.84)	3.02
NKX	0.54	(0.04)	0.00	1.91	0.00	0.00	1.01	(1.28)	4.62
EVM	0.35	0.00	(0.23)	0.20	0.45	(0.38)	0.76	(0.54)	2.24
VCV	0.57	0.00	0.00	0.17	0.00	0.00	1.09	(0.97)	3.87
PZC	0.48	0.00	(0.18)	0.08	0.63	(0.48)	0.83	(1.11)	3.28
BFZ	0.38	(0.02)	0.00	(7.13)	0.00	0.00	0.92	(1.00)	2.57
MUC	0.35	0.03	(0.17)	(2.09)	0.41	(0.38)	0.80	(0.73)	2.04
NAC	0.41	0.01	(0.21)	(0.03)	0.50	(0.43)	0.79	(0.78)	2.45
MVF	0.50	0.00	(0.15)	(0.25)	0.65	(0.56)	0.95	(1.09)	2.81

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Pimco California Correlations

Pimco California Correlation With Market

Good diversification

Moving against Pimco Fund

Related Correlations Analysis

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