Pimco Municipal Correlations

PML Fund

USD 8.60 0.02 0.23%

The current 90-days correlation between Pimco Municipal Income and Pimco Municipal Income is 0.83 (i.e., Very poor diversification). A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Pimco Municipal moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Pimco Municipal Income moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

Pimco Municipal Correlation With Market

Modest diversification

The correlation between Pimco Municipal Income and DJI is 0.29 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Pimco Municipal 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 Municipal 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 population.

Moving together with Pimco Fund

0.96	NEA	Nuveen Amt Free	Pair Corr
0.97	NVG	Nuveen Amt Free	Pair Corr
0.96	NAD	Nuveen Dividend Advantage	Pair Corr
0.69	PTY	Pimco Corporate Income	Pair Corr
0.79	PZVNX	Pzena International Value	Pair Corr
0.67	RRQPX	American Funds Retirement	Pair Corr
0.61	LBHIX	Thrivent High Yield	Pair Corr
0.64	JHYUX	Jpmorgan High Yield	Pair Corr
0.7	TIERX	Tiaa Cref International	Pair Corr
0.81	DIEFX	Destinations International	Pair Corr
0.85	USGFX	Us Government Securities	Pair Corr
0.75	BERIX	Berwyn Income	Pair Corr
0.77	SEBFX	Saturna Sustainable Bond	Pair Corr
0.62	HYT	Blackrock Corporate High	Pair Corr
0.74	RRPPX	American Funds Retirement	Pair Corr
0.61	RQEAX	Resq Dynamic Allocation	Pair Corr
0.83	REIFX	Rems International Real	Pair Corr
0.68	TRIEX	Tiaa Cref International	Pair Corr
0.72	PBBIX	Fundvantage Trust	Pair Corr
0.62	DFCEX	Emerging Markets E	Pair Corr
0.69	REMVX	Rbc Emerging Markets	Pair Corr
0.68	PQDMX	Prudential Qma Intl	Pair Corr
0.69	BSIIX	Blackrock Strategic	Pair Corr
0.79	DHIYX	Diamond Hill Interna	Pair Corr
0.62	PAAOX	T Rowe Price	Pair Corr
0.8	PDVAX	Diversified Income	Pair Corr

Moving against Pimco Fund

0.87	SRPSX	Short Real Estate	Pair Corr
0.68	RYIFX	Guggenheim Managed	Pair Corr
0.52	NOM	Nuveen Missouri Quality	Pair Corr
0.63	SHRMX	Stone Ridge High	Pair Corr

Related Correlations Analysis

	PMX	NMZ	NUW	PNF	NVG	NEA	NAD	NUV	NZF
PMX		0.79	0.68	0.91	0.89	0.85	0.89	0.69	0.84	PMX
NMZ	0.79		0.86	0.84	0.95	0.93	0.91	0.92	0.95	NMZ
NUW	0.68	0.86		0.76	0.9	0.88	0.89	0.94	0.86	NUW
PNF	0.91	0.84	0.76		0.9	0.89	0.88	0.8	0.9	PNF
NVG	0.89	0.95	0.9	0.9		0.97	0.97	0.92	0.97	NVG
NEA	0.85	0.93	0.88	0.89	0.97		0.97	0.93	0.97	NEA
NAD	0.89	0.91	0.89	0.88	0.97	0.97		0.9	0.94	NAD
NUV	0.69	0.92	0.94	0.8	0.92	0.93	0.9		0.93	NUV
NZF	0.84	0.95	0.86	0.9	0.97	0.97	0.94	0.93		NZF
	PMX	NMZ	NUW	PNF	NVG	NEA	NAD	NUV	NZF

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Risk-Adjusted Indicators

There is a big difference between Pimco Fund performing well and Pimco Municipal 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 Municipal'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
PMX	0.55	(0.02)	0.00	(0.09)	0.00	0.00	1.08	(1.35)	3.16
NMZ	0.54	0.04	0.08	0.12	0.65	(0.55)	1.16	(1.07)	2.78
NUW	0.31	0.02	0.10	0.16	0.35	(0.36)	0.66	(0.67)	1.83
PNF	0.49	(0.02)	0.00	(0.09)	0.00	0.00	0.90	(1.08)	3.13
NVG	0.52	0.05	0.07	0.19	0.79	(0.48)	1.09	(1.30)	2.98
NEA	0.39	0.02	0.08	0.23	0.45	(0.46)	0.80	(0.70)	2.21
NAD	0.43	0.02	0.07	0.07	0.53	(0.44)	0.93	(0.94)	2.18
NUV	0.37	0.04	0.11	0.26	0.40	(0.43)	0.82	(0.68)	2.43
NZF	0.51	0.03	0.08	0.14	0.57	(0.60)	1.20	(1.02)	2.99

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