Pimco Rae Correlations

PEAFX Fund  USD 10.42  0.02  0.19%   
The current 90-days correlation between Pimco Rae Fundamental and Pimco Rae Worldwide is 0.15 (i.e., Average diversification). The correlation of Pimco Rae 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 Rae Correlation With Market

Average diversification

The correlation between Pimco Rae Fundamental and DJI is 0.17 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Pimco Rae Fundamental 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 Rae Fundamental. 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 census.

Moving together with Pimco Mutual Fund

  0.77PFATX Pimco FundamentalPairCorr
  0.72PFGAX Long Term GovernmentPairCorr
  0.72PFGCX Long Term GovernmentPairCorr
  0.74PFRCX Foreign BondPairCorr
  0.86PFRMX Pimco Inflation ResponsePairCorr
  0.85PFSIX Pimco Emerging MarketsPairCorr
  0.73PFUUX Pimco Foreign BondPairCorr
  0.77PFUAX Foreign BondPairCorr
  0.75PFUIX Foreign BondPairCorr
  0.75PFUNX Pimco International BondPairCorr
  0.75PFUPX Pimco Foreign BondPairCorr

Moving against Pimco Mutual Fund

  0.4PFIUX Pimco Unconstrained BondPairCorr
  0.77PFTCX Short Term FundPairCorr
  0.39PFNUX Pimco Dynamic BondPairCorr
  0.32PFRRX Pimco Foreign BondPairCorr

Related Correlations Analysis

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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   
PWLBXPWLEX
PWLMXPWLBX
PWLIXPWLBX
PWLIXPWLMX
PFGCXPFGAX
PWLMXPWLEX
  
High negative correlations   
PFANXPFATX
PFATXPFBPX
PFATXPFCJX

Risk-Adjusted Indicators

There is a big difference between Pimco Mutual Fund performing well and Pimco Rae 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 Pimco Rae'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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
PWLEX  0.27 (0.03) 0.00 (0.19) 0.00 
 0.50 
 1.73 
PWLBX  0.28 (0.03) 0.00 (0.18) 0.00 
 0.62 
 1.60 
PWLMX  0.26 (0.03) 0.00 (0.15) 0.00 
 0.49 
 1.71 
PWLIX  0.27 (0.03) 0.00 (0.16) 0.00 
 0.49 
 1.94 
PFBPX  0.14 (0.01)(0.13)(0.21) 0.18 
 0.30 
 1.40 
PFCJX  0.09 (0.01) 0.00 (0.42) 0.00 
 0.22 
 0.75 
PFATX  0.34 (0.08) 0.00 (0.72) 0.00 
 0.64 
 2.79 
PFANX  0.09 (0.01)(0.19)(0.41) 0.11 
 0.21 
 0.75 
PFGAX  0.60 (0.16) 0.00  16.59  0.00 
 1.14 
 3.63 
PFGCX  0.60 (0.16) 0.00  20.25  0.00 
 1.14 
 3.63