Pimco High Correlations

Funds . USA . 
Fund . Pimco High Income
PHK Fund  USD 4.79  0.01  0.21%   
The current 90-days correlation between Pimco High Income and Pimco Income Strategy is 0.47 (i.e., Very weak diversification). A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Pimco High moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Pimco High Income moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

Pimco High Correlation With Market

Modest diversification

The correlation between Pimco High Income and DJI is 0.27 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Pimco High Income 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 High Income. Also, note that the market value of any fund could be closely tied with the direction of predictive economic indicators such as signals in rate.

Moving together with Pimco Fund

  0.92TDF Templeton Dragon ClosedPairCorr
  0.89TWN Taiwan ClosedPairCorr
  0.84PEO Adams Natural ResourcesPairCorr
  0.94NCV Allianzgi ConvertiblePairCorr
  0.93ERH Allspring Utilities AndPairCorr
  0.95NCZ Allianzgi ConvertiblePairCorr
  0.93DHLTX Diamond Hill AllPairCorr
  0.61AACRX Strategic AllocationPairCorr
  0.62GCSSX Goldman Sachs SmallPairCorr
  0.79LSIIX Loomis Sayles InvestmentPairCorr
  0.8GRECX Goldman Sachs RealPairCorr
  0.94HGOTX Hartford Growth OppoPairCorr
  0.94MSPIX Mainstay Sp 500PairCorr
  0.95PRSIX Trowe Price PersonalPairCorr
  0.73PGCAX Investment Grade PoratePairCorr
  0.95GMWZX Mydestination 2025PairCorr
  0.95ATECX Ab Sustainable GlobalPairCorr
  0.94VFINX Vanguard 500 IndexPairCorr
  0.95INPSX Internet UltrasectorPairCorr
  0.93JSOCX Jpmorgan Strategic IncomePairCorr
  0.73BIMIX Baird Intermediate BondPairCorr
  0.93TILCX T Rowe PricePairCorr
  0.65LPREX Blackrock LifepathPairCorr
  0.73ANGLX Angel Oak MultiPairCorr
  0.92GCIIX Goldman Sachs InternPairCorr
  0.96JGMNX Janus TritonPairCorr
  0.96JGMRX Janus TritonPairCorr
  0.71WACSX Western Asset EPairCorr

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 High 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 High'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
PCM  0.62  0.13  0.01  4.09  0.70 
(0.74)
 1.51 
(1.14)
 6.23 
PFL  0.30  0.07 (0.09) 0.49  0.00 
(0.42)
 0.77 
(0.49)
 2.52 
PCN  0.34  0.02 (0.15) 0.21  0.48 
(0.36)
 0.66 
(1.04)
 2.71 
PAXS  0.52  0.03 (0.09) 0.21  0.60 
(0.54)
 1.11 
(1.00)
 3.60 
PTY  0.33  0.09 (0.02) 0.49  0.00 
(0.44)
 1.03 
(0.51)
 2.61 
PDI  0.36  0.09  0.01  0.36  0.44 
(0.38)
 0.89 
(0.65)
 3.63 
GOF  0.46  0.04 (0.06) 0.24  0.53 
(0.48)
 1.10 
(0.91)
 2.41 
PDO  0.33  0.05 (0.08) 0.31  0.33 
(0.39)
 0.91 
(0.70)
 4.11 
BTZ  0.36  0.14  0.07  1.10  0.00 
(0.51)
 1.05 
(0.47)
 2.28 
PFN  0.34  0.10  0.00  0.59  0.00 
(0.43)
 0.85 
(0.71)
 2.03 

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