Pimco Commoditiesplus Correlations

PCLIX Fund

USD 6.63 0.02 0.30%

The current 90-days correlation between Pimco Commoditiesplus and Commodityrealreturn Strategy Fund is 0.9 (i.e., Almost no diversification). The correlation of Pimco Commoditiesplus is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak. If the correlation is 0, the equities are not correlated; they are entirely random.

Pimco Commoditiesplus Correlation With Market

Good diversification

The correlation between Pimco Moditiesplus Strategy and DJI is -0.02 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Pimco Moditiesplus Strategy and DJI in the same portfolio, assuming nothing else is changed.

Check out Your Equity Center to better understand how to build diversified portfolios, which includes a position in Pimco Moditiesplus Strategy. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as signals in gross domestic product.

Moving together with Pimco Mutual Fund

0.61	PFINX	Pimco Capital Sec	Pair Corr
0.62	PFPNX	Pimco Capital Sec	Pair Corr
0.7	PGAPX	Pimco Global Multi	Pair Corr

Moving against Pimco Mutual Fund

0.42	PFGAX	Long Term Government	Pair Corr
0.42	PFGCX	Long Term Government	Pair Corr
0.42	PGOVX	Long Term Government	Pair Corr

Related Correlations Analysis

	PCRIX	PAIDX	PEFIX	PEBIX	PIGIX
PCRIX		0.27	0.78	0.44	0.04	PCRIX
PAIDX	0.27		-0.21	-0.22	-0.71	PAIDX
PEFIX	0.78	-0.21		0.59	0.42	PEFIX
PEBIX	0.44	-0.22	0.59		0.79	PEBIX
PIGIX	0.04	-0.71	0.42	0.79		PIGIX
	PCRIX	PAIDX	PEFIX	PEBIX	PIGIX

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

PIGIX	+ 0.79	PEBIX
PEFIX	+ 0.78	PCRIX
PEBIX	+ 0.59	PEFIX
PEBIX	+ 0.44	PCRIX
PIGIX	+ 0.42	PEFIX
PAIDX	+ 0.27	PCRIX

High negative correlations

PIGIX	- 0.71	PAIDX
PEBIX	- 0.22	PAIDX
PEFIX	- 0.21	PAIDX

Risk-Adjusted Indicators

There is a big difference between Pimco Mutual Fund performing well and Pimco Commoditiesplus Mutual Fund doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze Pimco Commoditiesplus' multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
PCRIX	0.66	0.02	(0.11)	1.35	0.90	(0.62)	1.43	(1.35)	3.76
PAIDX	0.05	0.01	0.00	5.76	0.00	0.00	0.10	0.00	0.71
PEFIX	0.69	(0.08)	0.00	(0.32)	0.00	0.00	1.32	(1.30)	5.64
PEBIX	0.21	0.01	(0.39)	0.35	0.20	(0.25)	0.47	(0.46)	1.53
PIGIX	0.24	0.00	(0.39)	0.27	0.29	(0.28)	0.44	(0.65)	1.45

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