Correlation Between PIMCO 1 and PIMCO 15
Can any of the company-specific risk be diversified away by investing in both PIMCO 1 and PIMCO 15 at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining PIMCO 1 and PIMCO 15 into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between PIMCO 1 5 Year and PIMCO 15 Year, you can compare the effects of market volatilities on PIMCO 1 and PIMCO 15 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 PIMCO 15. Check out your portfolio center. Please also check ongoing floating volatility patterns of PIMCO 1 and PIMCO 15.
Diversification Opportunities for PIMCO 1 and PIMCO 15
Significant diversification
The 3 months correlation between PIMCO and PIMCO is 0.07. Overlapping area represents the amount of risk that can be diversified away by holding PIMCO 1 5 Year and PIMCO 15 Year in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PIMCO 15 Year 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 are associated (or correlated) with PIMCO 15. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of PIMCO 15 Year has no effect on the direction of PIMCO 1 i.e., PIMCO 1 and PIMCO 15 go up and down completely randomly.
Pair Corralation between PIMCO 1 and PIMCO 15
Given the investment horizon of 90 days PIMCO 1 5 Year is expected to generate 0.18 times more return on investment than PIMCO 15. However, PIMCO 1 5 Year is 5.58 times less risky than PIMCO 15. It trades about -0.03 of its potential returns per unit of risk. PIMCO 15 Year is currently generating about -0.24 per unit of risk. If you would invest 5,135 in PIMCO 1 5 Year on January 26, 2024 and sell it today you would lose (5.00) from holding PIMCO 1 5 Year or give up 0.1% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 95.45% |
| Values | Daily Returns |
PIMCO 1 5 Year vs. PIMCO 15 Year
Performance |
| Timeline |
| PIMCO 1 5 |
| PIMCO 15 Year |
PIMCO 1 and PIMCO 15 Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with PIMCO 1 and PIMCO 15
The main advantage of trading using opposite PIMCO 1 and PIMCO 15 positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PIMCO 1 position performs unexpectedly, PIMCO 15 can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in PIMCO 15 will offset losses from the drop in PIMCO 15's long position.| PIMCO 1 vs. iShares iBoxx Investment | PIMCO 1 vs. iShares 1 3 Year | PIMCO 1 vs. iShares 7 10 Year | PIMCO 1 vs. iShares Core Aggregate |
| PIMCO 15 vs. iShares iBoxx Investment | PIMCO 15 vs. iShares 1 3 Year | PIMCO 15 vs. iShares 7 10 Year | PIMCO 15 vs. iShares Core Aggregate |
Check out your portfolio center.Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Pattern Recognition module to use different Pattern Recognition models to time the market across multiple global exchanges.
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