Pimco Global Correlations

PGP Fund

USD 8.08 0.03 0.37%

The current 90-days correlation between Pimco Global Stocksplus and Blackrock Enhanced Capital is 0.23 (i.e., Modest diversification). The correlation of Pimco Global 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 Global Correlation With Market

Significant diversification

The correlation between Pimco Global Stocksplus and DJI is 0.06 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Pimco Global Stocksplus 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 Global Stocksplus. Also, note that the market value of any fund could be closely tied with the direction of predictive economic indicators such as signals in price.

Moving together with Pimco Fund

0.65	PEXTX	Putnam Tax Exempt	Pair Corr
0.65	PGFMX	Putnam Global Financials	Pair Corr
0.82	PGHAX	Putnam Global Health	Pair Corr
0.91	PIGWX	Putnam Intl Value	Pair Corr
0.89	PINHX	Putnam Income Fd	Pair Corr
0.92	PMOYX	Putnam Mortgage Oppo	Pair Corr
0.67	PMNYX	Putnam Minnesota	Pair Corr
0.88	PNCMX	Putnam Income	Pair Corr

Moving against Pimco Fund

0.6	PGTYX	Putnam Global Technology	Pair Corr
0.6	PGTAX	Putnam Global Technology	Pair Corr
0.45	PNOCX	Putnam Multi Cap	Pair Corr
0.43	PMVAX	Putnam Multi Cap	Pair Corr
0.43	PNOYX	Putnam Multi Cap	Pair Corr
0.62	PNSAX	Putnam Small Cap	Pair Corr
0.62	PNSCX	Putnam Small Cap	Pair Corr
0.44	PNORX	Putnam Multi Cap	Pair Corr
0.43	PNOTX	Putnam Sustainable Future	Pair Corr

Related Correlations Analysis

	PFN	PTY	PCN	PFL	RCS	CII	PCM	PHK	BTZ	PDO
PFN		0.85	0.89	0.96	-0.63	-0.09	-0.68	0.83	0.84	0.93	PFN
PTY	0.85		0.88	0.77	-0.52	0.25	-0.57	0.8	0.95	0.87	PTY
PCN	0.89	0.88		0.82	-0.45	0.14	-0.47	0.85	0.92	0.8	PCN
PFL	0.96	0.77	0.82		-0.67	-0.21	-0.73	0.78	0.75	0.92	PFL
RCS	-0.63	-0.52	-0.45	-0.67		-0.05	0.95	-0.47	-0.49	-0.71	RCS
CII	-0.09	0.25	0.14	-0.21	-0.05		-0.08	-0.11	0.3	-0.05	CII
PCM	-0.68	-0.57	-0.47	-0.73	0.95	-0.08		-0.48	-0.53	-0.74	PCM
PHK	0.83	0.8	0.85	0.78	-0.47	-0.11	-0.48		0.78	0.82	PHK
BTZ	0.84	0.95	0.92	0.75	-0.49	0.3	-0.53	0.78		0.81	BTZ
PDO	0.93	0.87	0.8	0.92	-0.71	-0.05	-0.74	0.82	0.81		PDO
	PFN	PTY	PCN	PFL	RCS	CII	PCM	PHK	BTZ	PDO

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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

PFL	+ 0.96	PFN
BTZ	+ 0.95	PTY
PCM	+ 0.95	RCS
PDO	+ 0.93	PFN
BTZ	+ 0.92	PCN
PDO	+ 0.92	PFL

High negative correlations

PDO	- 0.74	PCM
PCM	- 0.73	PFL
PDO	- 0.71	RCS
PCM	- 0.68	PFN
RCS	- 0.67	PFL
RCS	- 0.63	PFN

Risk-Adjusted Indicators

There is a big difference between Pimco Fund performing well and Pimco Global 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 Global'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
PFN	0.26	0.05	0.23	0.59	0.21	(0.32)	0.54	(0.41)	1.36
PTY	0.21	0.01	0.10	(0.16)	0.35	(0.21)	0.42	(0.50)	1.82
PCN	0.34	0.01	0.05	0.01	0.61	(0.30)	0.68	(0.75)	1.96
PFL	0.26	0.07	0.31	0.58	0.00	(0.32)	0.83	(0.47)	1.82
RCS	1.47	(0.19)	0.00	1.81	0.00	0.00	3.58	(2.04)	28.84
CII	0.77	(0.04)	0.00	(0.10)	0.00	0.00	1.54	(1.82)	4.39
PCM	0.86	(0.26)	0.00	2.71	0.00	0.00	1.38	(1.37)	14.71
PHK	0.33	(0.01)	0.05	(2.08)	0.49	(0.38)	0.63	(0.82)	2.10
BTZ	0.43	0.01	0.05	(0.01)	0.60	(0.43)	0.77	(0.93)	1.82
PDO	0.41	0.06	0.14	(0.43)	0.52	(0.41)	0.83	(1.08)	3.44

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