Pimco Credit Correlations

PCCRX Fund  USD 9.55  0.02  0.21%   
The current 90-days correlation between Pimco Credit Absolute and Pimco Credit Absolute is 0.95 (i.e., Almost no diversification). The correlation of Pimco Credit 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. If the correlation is 0, the equities are not correlated; they are entirely random.

Pimco Credit Correlation With Market

Average diversification

The correlation between Pimco Credit Absolute and DJI is 0.12 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Pimco Credit Absolute 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 Credit Absolute. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as signals in metropolitan statistical area.

Moving together with Pimco Mutual Fund

  0.88PFBPX Pimco Foreign BondPairCorr
  0.81PFCJX Pimco Preferred AndPairCorr
  0.81PFANX Pimco Capital SecPairCorr
  0.88PFIAX Pimco Floating IncomePairCorr
  0.91PFIIX Pimco Floating IncomePairCorr
  0.93PFIUX Pimco Unconstrained BondPairCorr
  0.82PFINX Pimco Capital SecPairCorr
  0.88PFNCX Pimco Floating IncomePairCorr
  0.88PFONX Pimco International BondPairCorr
  0.92PFORX Pimco Foreign BondPairCorr
  0.83PFNNX Pimco Preferred AndPairCorr
  0.9PFNIX Pimco Low DurationPairCorr
  0.9PFNUX Pimco Dynamic BondPairCorr
  0.88PFOAX Pimco Foreign BondPairCorr
  0.87PFOCX Pimco Foreign BondPairCorr
  0.9PFRCX Foreign BondPairCorr
  0.91PFRAX Pimco Foreign BondPairCorr
  0.89PFRMX Pimco Inflation ResponsePairCorr
  0.82PFPNX Pimco Capital SecPairCorr
  0.72PFTCX Short Term FundPairCorr
  0.9PFTPX Pimco Floating IncomePairCorr
  0.91PFRRX Pimco Foreign BondPairCorr
  0.86PFSIX Pimco Emerging MarketsPairCorr
  0.91PFUUX Pimco Foreign BondPairCorr
  0.88PFUAX Foreign BondPairCorr
  0.91PFUIX Foreign BondPairCorr
  0.91PFUNX Pimco International BondPairCorr
  0.91PFUPX Pimco Foreign BondPairCorr
  0.74PGAPX Pimco Global MultiPairCorr
  0.74PXTIX Fundamental IndexplusPairCorr
  0.74PXTNX Pimco Rae PlusPairCorr
  0.95PGBIX Global Bond FundPairCorr

Moving against Pimco Mutual Fund

  0.81PWLBX Pimco Rae WorldwidePairCorr
  0.51PWLEX Pimco Rae WorldwidePairCorr
  0.45PWLMX Pimco Rae WorldwidePairCorr
  0.44PWLIX Pimco Rae WorldwidePairCorr

Related Correlations Analysis

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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   
PFANXPFCJX
PWLIXPWLEX
PWLIXPWLMX
PFCJXPCKAX
PFANXPCKAX
PWLMXPWLEX
  
High negative correlations   
PFANXPWLBX
PFCJXPWLBX
PWLBXPCARX
PWLBXPCKAX
PFBPXPWLBX
PFANXPWLEX

Risk-Adjusted Indicators

There is a big difference between Pimco Mutual Fund performing well and Pimco Credit Mutual 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 Credit'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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
PCARX  0.14  0.02 (0.47) 1.17  0.00 
 0.31 
 0.83 
PCKAX  0.97  0.31  0.12 (1.74) 0.92 
 2.27 
 6.49 
PWLEX  0.38 (0.02) 0.00  0.56  0.00 
 0.79 
 2.43 
PWLBX  0.44 (0.08) 0.00 (1.17) 0.00 
 0.77 
 4.30 
PWLMX  0.37 (0.01) 0.00  0.31  0.00 
 0.79 
 2.40 
PWLIX  0.40 (0.01) 0.00  0.34  0.00 
 0.79 
 2.54 
PFBPX  0.14  0.02 (0.59)(2.03) 0.00 
 0.41 
 0.81 
PFCJX  0.13  0.07 (0.43)(3.27) 0.00 
 0.33 
 0.89 
PFATX  0.35  0.01 (0.23) 0.01  0.45 
 0.78 
 2.84 
PFANX  0.13  0.07 (0.39)(3.02) 0.00 
 0.33 
 1.11