Pimco Income Correlations

PFN Fund

USD 7.53 0.04 0.53%

The current 90-days correlation between Pimco Income Strategy and Pimco Corporate Income is 0.73 (i.e., Poor diversification). A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Pimco Income moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Pimco Income Strategy moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

Pimco Income Correlation With Market

Modest diversification

The correlation between Pimco Income Strategy and DJI is 0.22 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Pimco Income Strategy 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 Income Strategy. Also, note that the market value of any fund could be closely tied with the direction of predictive economic indicators such as signals in census.

Moving together with Pimco Fund

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

Related Correlations Analysis

	PCM	PCN	PGP	PHK	PDO	MEGI	XFLT	PTY	PFL	PDI
PCM		-0.41	-0.56	-0.5	-0.74	-0.52	0.28	-0.6	-0.73	-0.68	PCM
PCN	-0.41		0.83	0.9	0.78	0.6	-0.27	0.87	0.78	0.81	PCN
PGP	-0.56	0.83		0.87	0.87	0.78	-0.58	0.8	0.89	0.93	PGP
PHK	-0.5	0.9	0.87		0.82	0.75	-0.41	0.8	0.83	0.87	PHK
PDO	-0.74	0.78	0.87	0.82		0.67	-0.36	0.87	0.92	0.92	PDO
MEGI	-0.52	0.6	0.78	0.75	0.67		-0.67	0.46	0.76	0.76	MEGI
XFLT	0.28	-0.27	-0.58	-0.41	-0.36	-0.67		-0.17	-0.54	-0.6	XFLT
PTY	-0.6	0.87	0.8	0.8	0.87	0.46	-0.17		0.79	0.82	PTY
PFL	-0.73	0.78	0.89	0.83	0.92	0.76	-0.54	0.79		0.97	PFL
PDI	-0.68	0.81	0.93	0.87	0.92	0.76	-0.6	0.82	0.97		PDI
	PCM	PCN	PGP	PHK	PDO	MEGI	XFLT	PTY	PFL	PDI

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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

PDI	+ 0.97	PFL
PDI	+ 0.93	PGP
PFL	+ 0.92	PDO
PDI	+ 0.92	PDO
PHK	+ 0.9	PCN
PFL	+ 0.89	PGP

High negative correlations

PDO	- 0.74	PCM
PFL	- 0.73	PCM
PDI	- 0.68	PCM
XFLT	- 0.67	MEGI
PDI	- 0.6	XFLT
PTY	- 0.6	PCM

Risk-Adjusted Indicators

There is a big difference between Pimco Fund performing well and Pimco Income 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 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
PCM	0.86	(0.26)	0.00	2.55	0.00	0.00	1.38	(1.37)	14.71
PCN	0.34	0.01	0.09	(0.03)	0.60	(0.31)	0.68	(0.75)	1.96
PGP	0.64	0.05	0.13	0.58	0.80	(0.72)	1.14	(1.41)	5.75
PHK	0.33	0.00	0.10	(0.06)	0.49	(0.38)	0.63	(0.82)	2.10
PDO	0.41	0.08	0.19	0.28	0.52	(0.41)	0.83	(1.08)	3.44
MEGI	0.86	0.09	0.12	0.18	1.10	(0.94)	1.92	(2.23)	6.34
XFLT	0.69	(0.10)	0.00	(0.47)	0.00	0.00	1.25	(1.71)	5.36
PTY	0.21	0.02	0.17	0.06	0.35	(0.21)	0.42	(0.50)	1.82
PFL	0.26	0.07	0.37	0.48	0.10	(0.32)	0.83	(0.47)	1.82
PDI	0.34	0.13	0.30	0.58	0.31	(0.36)	0.82	(0.71)	2.07

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