Correlation Between Pimco Income and Janus Multi-sector

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Can any of the company-specific risk be diversified away by investing in both Pimco Income and Janus Multi-sector 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 Income and Janus Multi-sector into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Pimco Income Fund and Janus Multi Sector Income, you can compare the effects of market volatilities on Pimco Income and Janus Multi-sector 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 Income with a short position of Janus Multi-sector. Check out your portfolio center. Please also check ongoing floating volatility patterns of Pimco Income and Janus Multi-sector.

Diversification Opportunities for Pimco Income and Janus Multi-sector

0.82
  Correlation Coefficient

Very poor diversification

The 3 months correlation between Pimco and Janus is 0.82. Overlapping area represents the amount of risk that can be diversified away by holding PIMCO INCOME FUND and JANUS MULTI-SECTOR INCOME in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Janus Multi-sector Income and Pimco Income 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 Income Fund are associated (or correlated) with Janus Multi-sector. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Janus Multi-sector Income has no effect on the direction of Pimco Income i.e., Pimco Income and Janus Multi-sector go up and down completely randomly.

Pair Corralation between Pimco Income and Janus Multi-sector

Assuming the 90 days horizon Pimco Income Fund is expected to generate 0.88 times more return on investment than Janus Multi-sector. However, Pimco Income Fund is 1.14 times less risky than Janus Multi-sector. It trades about 0.35 of its potential returns per unit of risk. Janus Multi Sector Income is currently generating about 0.28 per unit of risk. If you would invest  1,045  in Pimco Income Fund on December 29, 2023 and sell it today you would earn a total of  17.00  from holding Pimco Income Fund or generate 1.63% return on investment over 90 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthStrong
Accuracy95.45%
ValuesDaily Returns

PIMCO INCOME FUND  vs.  JANUS MULTI-SECTOR INCOME

 Performance 
       Timeline  
Pimco Income Fund 

Risk-Adjusted Performance

4 of 100

 
Low
 
High
Modest
Compared to the overall equity markets, risk-adjusted returns on investments in Pimco Income Fund are ranked lower than 4 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong fundamental indicators, Pimco Income is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.
Janus Multi-sector Income 

Risk-Adjusted Performance

3 of 100

 
Low
 
High
Insignificant
Compared to the overall equity markets, risk-adjusted returns on investments in Janus Multi Sector Income are ranked lower than 3 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong fundamental indicators, Janus Multi-sector is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pimco Income and Janus Multi-sector Volatility Contrast

   Predicted Return Density   
       Returns  

Pair Trading with Pimco Income and Janus Multi-sector

The main advantage of trading using opposite Pimco Income and Janus Multi-sector positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Pimco Income position performs unexpectedly, Janus Multi-sector 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 Janus Multi-sector will offset losses from the drop in Janus Multi-sector's long position.
The idea behind Pimco Income Fund and Janus Multi Sector Income pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.
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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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.

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