Pretty Correlation Map of PIMCO Funds

June 14, 2012
By

[This article was first published on Timely Portfolio, and kindly contributed to R-bloggers]. (You can report issue about the content on this page here)
Want to share your content on R-bloggers? click here if you have a blog, or here if you don't.

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:

To leave a comment for the author, please follow the link and comment on their blog: Timely Portfolio.

R-bloggers.com offers daily e-mail updates about R news and tutorials about learning R and many other topics. Click here if you're looking to post or find an R/data-science job.
Want to share your content on R-bloggers? click here if you have a blog, or here if you don't.



If you got this far, why not subscribe for updates from the site? Choose your flavor: e-mail, twitter, RSS, or facebook...

Tags:

Comments are closed.

Search R-bloggers

Sponsors

Never miss an update!
Subscribe to R-bloggers to receive
e-mails with the latest R posts.
(You will not see this message again.)

Click here to close (This popup will not appear again)