Pretty Correlation Map of PIMCO Funds

June 14, 2012
By

(This article was first published on Timely Portfolio, and kindly contributed to R-bloggers)

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.

From TimelyPortfolio

Here is the more standard heat map with dendrogram ordering, which has its purpose but gets a little busy.

From TimelyPortfolio

If we are only interested in the correlation to the S&P 500 (VFINX), then this might be more helpful.

From TimelyPortfolio

R code from GIST:

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