As PIMCO expands beyond fixed income, I thought it might be helpful to look at correlation of PIMCO mutual funds to the S&P 500. Unfortunately due to the large number of funds, I cannot use the chart.Correlation from PerformanceAnalytics. I think I have made a pretty correlation heatmap of PIMCO institutional share funds with inception prior to 5 years ago. Of course this eliminates many of the new strategies, but it is easy in the code to adjust the list. I added the Vanguard S&P 500 fund (VFINX) as a reference point. Then, I orderded the correlation heat map by correlation to VFINX.
As expected there are two fairly distinct groups of funds: those (mostly fixed income) with negative/low correlation to the S&P 500 and those with strong positive correlation.
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| From TimelyPortfolio |
Here is the more standard heat map with dendrogram ordering, which has its purpose but gets a little busy.
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| From TimelyPortfolio |
If we are only interested in the correlation to the S&P 500 (VFINX), then this might be more helpful.
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| From TimelyPortfolio |
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