Pimco High Correlations

PHK Fund

USD 5.01 0.01 0.20%

The current 90-days correlation between Pimco High Income and Pimco Income Strategy is 0.2 (i.e., Modest diversification). A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Pimco High moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Pimco High Income moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

Pimco High Correlation With Market

Significant diversification

The correlation between Pimco High Income and DJI is 0.08 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Pimco High 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 High 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 rate.

Moving together with Pimco Fund

0.78	HIO	Western Asset High	Pair Corr
0.75	HIX	Western Asset High	Pair Corr
0.77	PCN	Pimco Corporate Income	Pair Corr
0.93	PFN	Pimco Income Strategy	Pair Corr
0.84	PTY	Pimco Corporate Income	Pair Corr
0.66	PABVX	Midcap Value	Pair Corr
0.8	LGPIX	Large Cap Growth	Pair Corr
0.77	WHIYX	Ivy High Income	Pair Corr
0.61	CPLIX	Calamos Phineus Longshort	Pair Corr
0.68	VSEQX	Vanguard Strategic Equity	Pair Corr
0.64	NAESX	Vanguard Small Cap	Pair Corr
0.84	THLCX	Thrivent Large Cap	Pair Corr
0.76	PWTAX	Ubs Allocation	Pair Corr
0.61	KMKNX	Kinetics Market Oppo Steady Growth	Pair Corr
0.63	PRDSX	T Rowe Price	Pair Corr
0.7	WCPSX	Mobile Telecommunicatio	Pair Corr
0.79	AMEIX	Equity Growth	Pair Corr
0.64	STENX	Northern Lights	Pair Corr
0.62	WWNPX	Kinetics Paradigm Steady Growth	Pair Corr
0.71	TRLCX	Tiaa-cref Large-cap	Pair Corr
0.79	SDGTX	Deutsche Capital Growth	Pair Corr
0.71	GUMPX	Guggenheim Market Neutral	Pair Corr
0.72	THOPX	Thompson Bond	Pair Corr
0.78	MUSDX	Us Real Estate	Pair Corr
0.81	WCEYX	Ivy E Equity	Pair Corr
0.69	TEGYX	Mid Cap Growth	Pair Corr
0.65	VFMFX	Vanguard Multifactor	Pair Corr

Moving against Pimco Fund

0.53

EHI

Western Asset Global

Pair Corr

Related Correlations Analysis

	PCM	PFL	PCN	PAXS	PTY	PDI	GOF	PDO	BTZ	PFN
PCM		0.69	0.71	0.36	0.9	0.42	0.91	0.17	-0.03	0.77	PCM
PFL	0.69		0.72	0.57	0.63	0.86	0.75	0.7	0.32	0.93	PFL
PCN	0.71	0.72		0.78	0.73	0.72	0.84	0.54	0.42	0.87	PCN
PAXS	0.36	0.57	0.78		0.37	0.64	0.52	0.7	0.64	0.65	PAXS
PTY	0.9	0.63	0.73	0.37		0.38	0.94	0.07	-0.08	0.76	PTY
PDI	0.42	0.86	0.72	0.64	0.38		0.56	0.83	0.58	0.86	PDI
GOF	0.91	0.75	0.84	0.52	0.94	0.56		0.32	0.08	0.87	GOF
PDO	0.17	0.7	0.54	0.7	0.07	0.83	0.32		0.66	0.63	PDO
BTZ	-0.03	0.32	0.42	0.64	-0.08	0.58	0.08	0.66		0.38	BTZ
PFN	0.77	0.93	0.87	0.65	0.76	0.86	0.87	0.63	0.38		PFN
	PCM	PFL	PCN	PAXS	PTY	PDI	GOF	PDO	BTZ	PFN

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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

GOF	+ 0.94	PTY
PFN	+ 0.93	PFL
GOF	+ 0.91	PCM
PTY	+ 0.9	PCM
PFN	+ 0.87	PCN
PFN	+ 0.87	GOF

High negative correlations

BTZ	- 0.08	PTY
BTZ	- 0.03	PCM

Risk-Adjusted Indicators

There is a big difference between Pimco Fund performing well and Pimco High 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 High'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	0.40	0.08	(0.04)	0.88	0.44	(0.43)	0.87	(0.87)	2.94
PFL	0.31	0.07	(0.09)	(0.80)	0.36	(0.37)	0.60	(0.71)	2.61
PCN	0.29	0.08	(0.03)	0.75	0.37	(0.30)	0.95	(0.43)	3.26
PAXS	0.74	0.09	0.01	0.39	0.82	(0.75)	1.71	(1.70)	4.49
PTY	0.17	0.07	(0.17)	3.26	0.00	(0.23)	0.50	(0.21)	1.26
PDI	0.52	0.02	(0.05)	0.24	0.99	(0.46)	1.04	(1.35)	5.57
GOF	0.36	0.12	0.00	40.38	0.18	(0.40)	0.98	(0.58)	1.94
PDO	0.47	0.04	(0.09)	0.60	0.70	(0.44)	0.92	(1.01)	2.88
BTZ	0.40	0.00	(0.18)	0.15	0.46	(0.43)	0.82	(0.74)	3.23
PFN	0.26	0.06	(0.10)	1.22	0.23	(0.35)	0.66	(0.53)	2.28

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