Pimco Rae Correlations

PZRIX Fund  USD 10.67  0.06  0.56%   
The current 90-days correlation between Pimco Rae Fundamental and Pimco Rae Worldwide is 0.21 (i.e., Modest diversification). The correlation of Pimco Rae 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 Rae Correlation With Market

Poor diversification

The correlation between Pimco Rae Fundamental and DJI is 0.73 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Pimco Rae Fundamental 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 Rae Fundamental. 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 gross domestic product.

Moving together with Pimco Mutual Fund

  0.81PFBPX Pimco Foreign BondPairCorr
  0.95PFCJX Pimco Preferred AndPairCorr
  0.95PFANX Pimco Capital SecPairCorr
  0.9PFIAX Pimco Floating IncomePairCorr
  0.9PFIIX Pimco Floating IncomePairCorr
  0.83PFIUX Pimco Unconstrained BondPairCorr
  0.95PFINX Pimco Capital SecPairCorr
  0.62PFMIX Municipal BondPairCorr
  0.9PFNCX Pimco Floating IncomePairCorr
  0.81PFONX Pimco International BondPairCorr
  0.78PFORX Pimco Foreign BondPairCorr
  0.94PFNNX Pimco Preferred AndPairCorr
  0.89PFNIX Pimco Low DurationPairCorr
  0.83PFNUX Pimco Dynamic BondPairCorr
  0.8PFOAX Pimco Foreign BondPairCorr
  0.75PFOCX Pimco Foreign BondPairCorr
  0.81PFRCX Foreign BondPairCorr
  0.8PFRAX Pimco Foreign BondPairCorr
  0.95PFRMX Pimco Inflation ResponsePairCorr
  0.95PFPNX Pimco Capital SecPairCorr
  0.87PFTCX Short Term FundPairCorr
  0.89PFTPX Pimco Floating IncomePairCorr
  0.78PFRRX Pimco Foreign BondPairCorr
  0.94PFSIX Pimco Emerging MarketsPairCorr
  0.82PFUUX Pimco Foreign BondPairCorr
  0.82PFUAX Foreign BondPairCorr
  0.81PFUIX Foreign BondPairCorr
  0.82PFUNX Pimco International BondPairCorr
  0.82PFUPX Pimco Foreign BondPairCorr
  0.98PGAPX Pimco Global MultiPairCorr
  0.95PXTIX Fundamental IndexplusPairCorr
  0.95PXTNX Pimco Rae PlusPairCorr
  0.85PGBIX Global Bond FundPairCorr

Moving against Pimco Mutual Fund

  0.47PWLBX 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
PFGCXPFGAX
PWLMXPWLEX
PWLIXPWLEX
PWLIXPWLMX
PFCJXPFBPX
  
High negative correlations   
PFANXPWLBX
PFCJXPWLBX
PFBPXPWLBX
PFATXPWLBX
PFANXPWLEX
PFCJXPWLEX

Risk-Adjusted Indicators

There is a big difference between Pimco Mutual Fund performing well and Pimco Rae 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 Rae'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
PWLEX  0.40 (0.01)(0.45) 0.08  0.43 
 0.94 
 2.42 
PWLBX  0.45 (0.06) 0.00 (1.01) 0.00 
 0.94 
 4.42 
PWLMX  0.38  0.00 (0.50) 0.17  0.38 
 1.07 
 2.27 
PWLIX  0.41  0.00 (0.47) 0.18  0.42 
 0.93 
 2.40 
PFBPX  0.16  0.00 (0.89) 0.48  0.14 
 0.41 
 0.82 
PFCJX  0.15  0.07 (0.58)(1.81) 0.00 
 0.34 
 0.90 
PFATX  0.40 (0.01) 0.00  0.31  0.00 
 0.78 
 2.32 
PFANX  0.15  0.08 (0.50)(1.65) 0.00 
 0.44 
 1.12 
PFGAX  0.69 (0.11) 0.00 (0.25) 0.00 
 1.11 
 2.88 
PFGCX  0.69 (0.11) 0.00 (0.26) 0.00 
 1.11 
 2.88