Pimco California Correlations

PZC Fund

USD 7.17 0.08 1.13%

The current 90-days correlation between Pimco California Mun and Eaton Vance Municipal is 0.63 (i.e., Poor diversification). The correlation of Pimco California 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.

Pimco California Correlation With Market

Good diversification

The correlation between Pimco California Municipal and DJI is -0.14 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Pimco California Municipal 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 California Municipal. Also, note that the market value of any fund could be closely tied with the direction of predictive economic indicators such as signals in nation.

Moving against Pimco Fund

0.72	BTO	John Hancock Financial	Pair Corr
0.64	TTP	Tortoise Pipeline And	Pair Corr
0.64	TLCYX	Touchstone Large Cap	Pair Corr
0.61	NDP	Tortoise Energy Inde	Pair Corr
0.58	EMO	Clearbridge Energy Mlp	Pair Corr
0.51	SAGAX	Ridgeworth Innovative	Pair Corr
0.5	AMGOX	Alger Mid Cap	Pair Corr
0.49	WWLAX	Westwood Largecap Value	Pair Corr
0.49	GAB	Gabelli Equity Trust	Pair Corr
0.48	ILESX	Fisher Investments	Pair Corr
0.47	AMGIX	Income Growth	Pair Corr
0.45	MLMAX	Global E Portfolio	Pair Corr
0.44	ACV	Allianzgi Diversified	Pair Corr
0.44	AMEIX	Equity Growth	Pair Corr
0.42	CSQ	Calamos Strategic Total	Pair Corr
0.41	DFMAX	Davidson Multi Cap	Pair Corr
0.4	VFINX	Vanguard 500 Index	Pair Corr
0.4	VFIAX	Vanguard 500 Index	Pair Corr
0.36	HIE	Millerhoward High Income	Pair Corr
0.34	VWELX	Vanguard Wellington	Pair Corr

Related Correlations Analysis

	CXH	EVN	DTF	444859BR2	SCRYY	AQUI	APAAX	SCRYX	LBHIX	MSTSX
CXH		0.56	0.44	-0.1	0.39	0.0	0.81	0.04	0.53	0.28	CXH
EVN	0.56		-0.04	0.39	-0.33	0.0	0.7	-0.45	-0.03	-0.03	EVN
DTF	0.44	-0.04		-0.37	0.43	0.0	0.12	0.48	0.44	0.09	DTF
444859BR2	-0.1	0.39	-0.37		-0.53	0.0	0.06	-0.55	-0.54	-0.45	444859BR2
SCRYY	0.39	-0.33	0.43	-0.53		0.0	0.14	0.57	0.48	0.34	SCRYY
AQUI	0.0	0.0	0.0	0.0	0.0		0.0	0.0	0.0	0.0	AQUI
APAAX	0.81	0.7	0.12	0.06	0.14	0.0		-0.12	0.49	0.25	APAAX
SCRYX	0.04	-0.45	0.48	-0.55	0.57	0.0	-0.12		0.67	0.61	SCRYX
LBHIX	0.53	-0.03	0.44	-0.54	0.48	0.0	0.49	0.67		0.68	LBHIX
MSTSX	0.28	-0.03	0.09	-0.45	0.34	0.0	0.25	0.61	0.68		MSTSX
	CXH	EVN	DTF	444859BR2	SCRYY	AQUI	APAAX	SCRYX	LBHIX	MSTSX

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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

APAAX	+ 0.81	CXH
APAAX	+ 0.7	EVN
MSTSX	+ 0.68	LBHIX
LBHIX	+ 0.67	SCRYX
MSTSX	+ 0.61	SCRYX
SCRYX	+ 0.57	SCRYY

High negative correlations

SCRYX	- 0.55	444859BR2
LBHIX	- 0.54	444859BR2
SCRYY	- 0.53	444859BR2
MSTSX	- 0.45	444859BR2
SCRYX	- 0.45	EVN
444859BR2	- 0.37	DTF

Risk-Adjusted Indicators

There is a big difference between Pimco Fund performing well and Pimco California 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 California'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
CXH	0.34	0.05	(0.17)	(0.19)	0.40	(0.38)	0.86	(0.74)	2.10
EVN	0.46	0.00	(0.19)	0.23	0.60	(0.51)	1.02	(1.05)	2.73
DTF	0.23	0.01	(0.35)	(0.09)	0.23	(0.28)	0.54	(0.36)	1.96
444859BR2	1.36	(0.08)	0.00	(0.21)	0.00	0.00	5.93	(5.79)	16.62
SCRYY	2.07	0.29	0.08	1.93	2.02	(2.85)	5.61	(4.09)	12.99
AQUI	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
APAAX	0.14	0.02	(0.35)	(0.09)	0.15	(0.18)	0.31	(0.31)	1.13
SCRYX	0.95	(0.04)	0.02	0.09	0.91	(1.09)	2.10	(1.69)	7.88
LBHIX	0.12	0.01	(0.39)	0.51	0.00	(0.28)	0.24	(0.24)	0.96
MSTSX	0.49	(0.03)	(0.12)	0.06	0.52	(0.61)	1.21	(1.02)	2.80

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