Pimco Global Correlations

Funds . USA . 
Fund . Pimco Global Stocksplus
PGP Fund  USD 8.31  0.04  0.48%   
The current 90-days correlation between Pimco Global Stocksplus and Blackrock Enhanced Capital is 0.32 (i.e., Weak diversification). The correlation of Pimco Global 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 Global Correlation With Market

Modest diversification

The correlation between Pimco Global Stocksplus and DJI is 0.24 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Pimco Global Stocksplus 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 Global Stocksplus. Also, note that the market value of any fund could be closely tied with the direction of predictive economic indicators such as signals in price.

Moving together with Pimco Fund

  0.95PGFMX Putnam Global FinancialsPairCorr
  0.93PTTEX Putnam Global TechnologyPairCorr
  0.93PCNTX Putnam ConvertiblePairCorr
  0.94TWN Taiwan ClosedPairCorr
  0.91KF Korea ClosedPairCorr
  0.92JOF Japan Smaller CapitaPairCorr
  0.93RYRUX Russell 2000 2x Steady GrowthPairCorr
  0.93LEQCX Locorr Dynamic EquityPairCorr
  0.69TRRPX Tiaa Cref RealPairCorr
  0.95PPLSX Deutsche Multi AssetPairCorr
  0.95VFIAX Vanguard 500 IndexPairCorr
  0.93KCLSX Knights Of UmbusPairCorr
  0.96DNHYX Dunham High YieldPairCorr
  0.61BBIIX Bbh Intermediate MunPairCorr

Related Correlations Analysis

Click cells to compare fundamentals   Check Volatility   Backtest Portfolio

Risk-Adjusted Indicators

There is a big difference between Pimco Fund performing well and Pimco Global 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 Global'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
PFN  0.32  0.07 (0.17) 0.49  0.00 
(0.42)
 0.85 
(0.71)
 1.87 
PTY  0.31  0.05 (0.23) 0.36  0.00 
(0.41)
 1.03 
(0.51)
 2.61 
PCN  0.33 (0.01)(0.29) 0.14  0.49 
(0.34)
 0.64 
(1.04)
 2.71 
PFL  0.28  0.03 (0.30) 0.33  0.10 
(0.38)
 0.75 
(0.49)
 2.25 
RCS  0.71  0.39  0.29  1.72  0.00 
(0.99)
 2.31 
(0.81)
 5.19 
CII  0.58  0.20  0.16  0.51  0.00 
(0.72)
 1.81 
(0.91)
 4.32 
PCM  0.64  0.02 (0.11) 0.25  0.80 
(0.72)
 1.51 
(1.24)
 6.23 
PHK  0.31  0.10 (0.20) 0.88  0.00 
(0.48)
 0.88 
(0.43)
 2.17 
BTZ  0.34  0.15 (0.15)(121.98) 0.00 
(0.48)
 0.96 
(0.40)
 2.25 
PDO  0.29  0.00 (0.23) 0.22  0.34 
(0.33)
 0.87 
(0.60)
 3.37 

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