Pimco Dynamic Correlations

PDI Fund

USD 19.89 0.02 0.10%

The current 90-days correlation between Pimco Dynamic Income and Guggenheim Strategic Opportunities is 0.61 (i.e., Poor diversification). The correlation of Pimco Dynamic 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.

Pimco Dynamic Correlation With Market

Weak diversification

The correlation between Pimco Dynamic Income and DJI is 0.38 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Pimco Dynamic 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 Dynamic 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 unemployment.

Moving together with Pimco Fund

0.72	PWLEX	Pimco Rae Worldwide	Pair Corr
0.75	PWLBX	Pimco Rae Worldwide	Pair Corr
0.75	PWLMX	Pimco Rae Worldwide	Pair Corr
0.8	PFGCX	Long Term Government	Pair Corr
0.76	PFIIX	Pimco Floating Income	Pair Corr
0.7	PFRCX	Foreign Bond	Pair Corr
0.98	PFRMX	Pimco Inflation Response	Pair Corr
0.74	PFTCX	Short Term Fund	Pair Corr
0.68	PFUUX	Pimco Foreign Bond	Pair Corr
0.64	PGAPX	Pimco Global Multi	Pair Corr
0.63	PGMAX	Pimco Global Multi	Pair Corr
0.68	PYMCX	Pimco High Yield	Pair Corr
0.7	PYMNX	Pimco High Yield	Pair Corr
0.76	PHDAX	High Yield Fund	Pair Corr
0.97	PZRMX	Pimco Inflation Response	Pair Corr
0.74	PIMIX	Pimco Income	Pair Corr
0.77	PLMIX	Pimco Emerging Markets	Pair Corr
0.69	PLRPX	Pimco Long Duration	Pair Corr
0.7	FXIMX	Fixed Income Shares	Pair Corr
0.61	PNRNX	Pimco Realestaterealre	Pair Corr
0.69	PPYPX	Pimco Rae Fundamental	Pair Corr
0.61	PRRSX	Realestaterealreturn	Pair Corr
0.7	PAIPX	Pimco Short Asset	Pair Corr
0.73	PAIQX	Pimco Short Asset	Pair Corr
0.71	PAMSX	Pimco Short Asset	Pair Corr
0.77	PALPX	Pimco All Asset	Pair Corr
0.75	PSAIX	Pimco Global Advantage	Pair Corr
0.78	PSDUX	Pimco Short Duration	Pair Corr
0.78	PSDIX	Short Duration Municipal	Pair Corr
0.91	PAUIX	Pimco All Asset	Pair Corr
0.78	PSKIX	Pimco International	Pair Corr
0.65	PSRIX	Pimco Senior Floating	Pair Corr

Moving against Pimco Fund

0.9	PQTAX	Pimco Trends Managed	Pair Corr
0.36	PSNSX	Pimco Stocksplus Small	Pair Corr

Related Correlations Analysis

	PCN	GOF	PDO	PHK	PAXS	PTY	DLY	RNP	RA	CLM
PCN		0.8	0.78	0.9	0.87	0.87	0.83	0.78	0.74	0.01	PCN
GOF	0.8		0.82	0.82	0.82	0.69	0.7	0.62	0.43	-0.41	GOF
PDO	0.78	0.82		0.82	0.9	0.87	0.6	0.53	0.59	-0.11	PDO
PHK	0.9	0.82	0.82		0.87	0.8	0.75	0.73	0.61	-0.17	PHK
PAXS	0.87	0.82	0.9	0.87		0.93	0.71	0.67	0.69	0.0	PAXS
PTY	0.87	0.69	0.87	0.8	0.93		0.72	0.69	0.81	0.17	PTY
DLY	0.83	0.7	0.6	0.75	0.71	0.72		0.92	0.72	-0.25	DLY
RNP	0.78	0.62	0.53	0.73	0.67	0.69	0.92		0.76	-0.22	RNP
RA	0.74	0.43	0.59	0.61	0.69	0.81	0.72	0.76		0.34	RA
CLM	0.01	-0.41	-0.11	-0.17	0.0	0.17	-0.25	-0.22	0.34		CLM
	PCN	GOF	PDO	PHK	PAXS	PTY	DLY	RNP	RA	CLM

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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

PTY	+ 0.93	PAXS
RNP	+ 0.92	DLY
PHK	+ 0.9	PCN
PAXS	+ 0.9	PDO
PAXS	+ 0.87	PCN
PTY	+ 0.87	PCN

High negative correlations

CLM	- 0.41	GOF
CLM	- 0.25	DLY
CLM	- 0.22	RNP
CLM	- 0.17	PHK
CLM	- 0.11	PDO
CLM	- 0.0	PAXS

Risk-Adjusted Indicators

There is a big difference between Pimco Fund performing well and Pimco Dynamic 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 Dynamic'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
PCN	0.34	0.01	0.09	(0.03)	0.60	(0.31)	0.68	(0.75)	1.96
GOF	0.47	0.09	0.19	0.29	0.58	(0.47)	0.97	(1.13)	2.89
PDO	0.41	0.08	0.19	0.28	0.52	(0.41)	0.83	(1.08)	3.44
PHK	0.33	0.00	0.10	(0.06)	0.49	(0.38)	0.63	(0.82)	2.10
PAXS	0.51	0.09	0.18	0.17	0.62	(0.52)	1.31	(0.91)	3.61
PTY	0.21	0.02	0.17	0.06	0.35	(0.21)	0.42	(0.50)	1.82
DLY	0.31	0.05	0.18	0.51	0.45	(0.30)	0.64	(0.80)	2.36
RNP	0.67	0.09	0.16	2.44	0.79	(0.73)	1.45	(1.41)	4.54
RA	0.29	0.01	0.18	0.03	0.32	(0.33)	0.68	(0.62)	1.45
CLM	0.93	(0.09)	0.00	(0.20)	0.00	0.00	1.39	(3.07)	9.55

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