Correlation Between Pimco Global and Pimco Extended

Can any of the company-specific risk be diversified away by investing in both Pimco Global and Pimco Extended at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining Pimco Global and Pimco Extended into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Pimco Global Multi Asset and Pimco Extended Duration, you can compare the effects of market volatilities on Pimco Global and Pimco Extended and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in Pimco Global with a short position of Pimco Extended. Check out your portfolio center. Please also check ongoing floating volatility patterns of Pimco Global and Pimco Extended.

Diversification Opportunities for Pimco Global and Pimco Extended

-0.26

Correlation Coefficient

Pimco Global  Pimco Extended

Very good diversification

The 3 months correlation between Pimco and Pimco is -0.26. Overlapping area represents the amount of risk that can be diversified away by holding Pimco Global Multi Asset and Pimco Extended Duration in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Pimco Extended Duration and Pimco Global is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on Pimco Global Multi Asset are associated (or correlated) with Pimco Extended. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Pimco Extended Duration has no effect on the direction of Pimco Global i.e., Pimco Global and Pimco Extended go up and down completely randomly.

Pair Corralation between Pimco Global and Pimco Extended

Assuming the 90 days horizon Pimco Global is expected to generate 7.36 times less return on investment than Pimco Extended. But when comparing it to its historical volatility, Pimco Global Multi Asset is 26.89 times less risky than Pimco Extended. It trades about 0.12 of its potential returns per unit of risk. Pimco Extended Duration is currently generating about 0.03 of returns per unit of risk over similar time horizon. If you would invest  1,476  in Pimco Extended Duration on September 14, 2024 and sell it today you would lose (129.00) from holding Pimco Extended Duration or give up 8.74% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	100.0%
Values	Daily Returns

Pimco Global Multi Asset  vs.  Pimco Extended Duration

Pimco Global Multi

Risk-Adjusted Performance

9 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Pimco Global Multi Asset are ranked lower than 9 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Pimco Global is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pimco Extended Duration

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Pimco Extended Duration has generated negative risk-adjusted returns adding no value to fund investors. In spite of weak performance in the last few months, the Fund's basic indicators remain fairly strong which may send shares a bit higher in January 2025. The current disturbance may also be a sign of long term up-swing for the fund investors.

Pair Trading with Pimco Global and Pimco Extended

The main advantage of trading using opposite Pimco Global and Pimco Extended positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Pimco Global position performs unexpectedly, Pimco Extended can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Pimco Extended will offset losses from the drop in Pimco Extended's long position.

The idea behind Pimco Global Multi Asset and Pimco Extended Duration pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

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Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the FinTech Suite module to use AI to screen and filter profitable investment opportunities.