PIMCO RAFI Correlations

MFEM Etf

USD 22.66 0.15 0.67%

The current 90-days correlation between PIMCO RAFI Dynamic and Strategy Shares is 0.57 (i.e., Very weak diversification). A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as PIMCO RAFI moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if PIMCO RAFI Dynamic moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

PIMCO RAFI Correlation With Market

Average diversification

The correlation between PIMCO RAFI Dynamic and DJI is 0.1 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding PIMCO RAFI Dynamic and DJI in the same portfolio, assuming nothing else is changed.

Build AI portfolio with PIMCO Etf

Check out Correlation Analysis to better understand how to build diversified portfolios, which includes a position in PIMCO RAFI Dynamic. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in commodities.

Moving together with PIMCO Etf

0.84	VWO	Vanguard FTSE Emerging	Pair Corr
0.89	IEMG	iShares Core MSCI	Pair Corr
0.89	EEM	iShares MSCI Emerging	Pair Corr
0.85	SPEM	SPDR Portfolio Emerging	Pair Corr
0.92	FNDE	Schwab Fundamental	Pair Corr
0.88	ESGE	iShares ESG Aware	Pair Corr
0.97	SFGRX	Seafarer Overseas	Pair Corr
0.92	XSOE	WisdomTree Emerging	Pair Corr
0.85	SIXD	AIM ETF Products	Pair Corr
0.75	TCAI	Tortoise Capital Series	Pair Corr
0.83	GE	GE Aerospace	Pair Corr
0.7	INTC	Intel Buyout Trend	Pair Corr
0.75	AA	Alcoa Corp	Pair Corr
0.8	CAT	Caterpillar	Pair Corr
0.68	MMM	3M Company	Pair Corr
0.64	DD	Dupont De Nemours	Pair Corr
0.75	BAC	Bank of America	Pair Corr
0.78	AXP	American Express	Pair Corr

Moving against PIMCO Etf

0.41	VIXY	ProShares VIX Short	Pair Corr
0.4	VXX	iPath Series B	Pair Corr
0.39	REKT	Direxion Shares ETF	Pair Corr
0.62	BA	Boeing	Pair Corr
0.48	HD	Home Depot	Pair Corr
0.42	MCD	McDonalds Sell-off Trend	Pair Corr

Related Correlations Analysis

	DHSB	MBOX	DIEM	MCHI	DIPS	DISO	DIVB	DIVD	DIVG
DHSB		0.32	0.88	0.42	-0.64	-0.22	0.53	0.42	0.19	DHSB
MBOX	0.32		0.15	0.72	-0.01	0.03	0.56	0.15	0.62	MBOX
DIEM	0.88	0.15		0.37	-0.71	-0.31	0.36	0.44	-0.05	DIEM
MCHI	0.42	0.72	0.37		-0.36	0.12	0.55	0.11	0.45	MCHI
DIPS	-0.64	-0.01	-0.71	-0.36		-0.06	-0.19	-0.09	0.2	DIPS
DISO	-0.22	0.03	-0.31	0.12	-0.06		0.13	-0.27	0.08	DISO
DIVB	0.53	0.56	0.36	0.55	-0.19	0.13		0.59	0.79	DIVB
DIVD	0.42	0.15	0.44	0.11	-0.09	-0.27	0.59		0.37	DIVD
DIVG	0.19	0.62	-0.05	0.45	0.2	0.08	0.79	0.37		DIVG
	DHSB	MBOX	DIEM	MCHI	DIPS	DISO	DIVB	DIVD	DIVG

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

DIEM	+ 0.88	DHSB
DIVG	+ 0.79	DIVB
MCHI	+ 0.72	MBOX
DIVG	+ 0.62	MBOX
DIVD	+ 0.59	DIVB
DIVB	+ 0.56	MBOX

High negative correlations

DIPS	- 0.71	DIEM
DIPS	- 0.64	DHSB
DIPS	- 0.36	MCHI
DISO	- 0.31	DIEM
DIVD	- 0.27	DISO
DISO	- 0.22	DHSB

PIMCO RAFI Constituents Risk-Adjusted Indicators

There is a big difference between PIMCO Etf performing well and PIMCO RAFI ETF 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 RAFI'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
DHSB	0.15	0.01	(0.15)	1.25	0.19	(0.16)	0.39	(0.43)	1.12
MBOX	0.52	0.02	(0.06)	0.19	0.60	(0.61)	1.17	(1.08)	3.23
DIEM	0.60	0.08	0.02	1.05	0.85	(0.59)	1.14	(1.19)	4.59
MCHI	1.02	0.00	(0.01)	0.06	1.40	(1.05)	1.74	(1.66)	8.40
DIPS	1.42	0.12	0.01	(0.10)	1.97	(1.46)	3.39	(3.20)	8.89
DISO	0.88	(0.17)	0.00	(0.10)	0.00	0.00	1.66	(1.46)	8.66
DIVB	0.52	(0.03)	(0.05)	0.03	0.69	(0.51)	1.04	(1.07)	3.36
DIVD	0.48	0.01	(0.02)	0.08	0.47	(0.55)	1.26	(0.85)	2.82
DIVG	0.52	(0.03)	(0.07)	0.02	0.69	(0.52)	0.97	(1.17)	2.82

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