Pair Correlation Between PIMCO Equitiy and Vanguard FTSE

This module allows you to analyze existing cross correlation between PIMCO Equitiy Series RAFI Dynamic Multi-Factor Emerging Markets Equity and Vanguard FTSE Emerging Markets ETF. You can compare the effects of market volatilities on PIMCO Equitiy and Vanguard FTSE and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in PIMCO Equitiy with a short position of Vanguard FTSE. See also your portfolio center. Please also check ongoing floating volatility patterns of PIMCO Equitiy and Vanguard FTSE.
 Time Horizon     30 Days    Login   to change
Symbolsvs
 PIMCO Equitiy Series RAFI Dyna  vs   Vanguard FTSE Emerging Markets
 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, PIMCO Equitiy is expected to generate 1.18 times less return on investment than Vanguard FTSE. But when comparing it to its historical volatility, PIMCO Equitiy Series RAFI Dynamic Multi-Factor Emerging Markets Equity is 1.07 times less risky than Vanguard FTSE. It trades about 0.74 of its potential returns per unit of risk. Vanguard FTSE Emerging Markets ETF is currently generating about 0.81 of returns per unit of risk over similar time horizon. If you would invest  4,483  in Vanguard FTSE Emerging Markets ETF on December 20, 2017 and sell it today you would earn a total of  462  from holding Vanguard FTSE Emerging Markets ETF or generate 10.31% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between PIMCO Equitiy and Vanguard FTSE
1.0

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthVery Strong
Accuracy100.0%
ValuesDaily Returns

Diversification

No risk reduction

Overlapping area represents the amount of risk that can be diversified away by holding PIMCO Equitiy Series RAFI Dyna and Vanguard FTSE Emerging Markets in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Vanguard FTSE Emerging and PIMCO Equitiy is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on PIMCO Equitiy Series RAFI Dynamic Multi-Factor Emerging Markets Equity are associated (or correlated) with Vanguard FTSE. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Vanguard FTSE Emerging has no effect on the direction of PIMCO Equitiy i.e. PIMCO Equitiy and Vanguard FTSE go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 
      Returns 

PIMCO Equitiy Series

  
48 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in PIMCO Equitiy Series RAFI Dynamic Multi-Factor Emerging Markets Equity are ranked lower than 48 (%) of all global equities and portfolios over the last 30 days.

Vanguard FTSE Emerging

  
53 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Vanguard FTSE Emerging Markets ETF are ranked lower than 53 (%) of all global equities and portfolios over the last 30 days.