Correlation Analysis Between PIMCO 1 and iShares TIPS

This module allows you to analyze existing cross correlation between PIMCO 1 5 Year US TIPS ETF and iShares TIPS Bond ETF. You can compare the effects of market volatilities on PIMCO 1 and iShares TIPS 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 1 with a short position of iShares TIPS. See also your portfolio center. Please also check ongoing floating volatility patterns of PIMCO 1 and iShares TIPS.
Horizon     30 Days    Login   to change
Compare Efficiency

Comparative Performance

PIMCO 1 5  

Risk-Adjusted Performance

Over the last 30 days PIMCO 1 5 Year US TIPS ETF has generated negative risk-adjusted returns adding no value to investors with long positions.
iShares TIPS Bond  

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in iShares TIPS Bond ETF are ranked lower than 4 (%) of all global equities and portfolios over the last 30 days.

PIMCO 1 and iShares TIPS Volatility Contrast

 Predicted Return Density 

PIMCO 1 5 Year US TIPS ETF  vs.  iShares TIPS Bond ETF

 Performance (%) 

Pair Volatility

Given the investment horizon of 30 days, PIMCO 1 is expected to generate 26.33 times less return on investment than iShares TIPS. But when comparing it to its historical volatility, PIMCO 1 5 Year US TIPS ETF is 1.65 times less risky than iShares TIPS. It trades about 0.0 of its potential returns per unit of risk. iShares TIPS Bond ETF is currently generating about 0.07 of returns per unit of risk over similar time horizon. If you would invest  10,906  in iShares TIPS Bond ETF on December 21, 2018 and sell it today you would earn a total of  68.00  from holding iShares TIPS Bond ETF or generate 0.62% return on investment over 30 days.

Pair Corralation between PIMCO 1 and iShares TIPS

Time Period2 Months [change]
ValuesDaily Returns

Diversification Opportunities for PIMCO 1 and iShares TIPS

PIMCO 1 5 Year US TIPS ETF diversification synergy

Very weak diversification

Overlapping area represents the amount of risk that can be diversified away by holding PIMCO 1 5 Year US TIPS ETF and iShares TIPS Bond ETF in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on iShares TIPS Bond and PIMCO 1 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 1 5 Year US TIPS ETF are associated (or correlated) with iShares TIPS. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares TIPS Bond has no effect on the direction of PIMCO 1 i.e. PIMCO 1 and iShares TIPS go up and down completely randomly.

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