Pimco Commoditiesplus Correlations

PCPCX Fund

USD 5.58 0.05 0.90%

The current 90-days correlation between Pimco Commoditiesplus and Pimco Rae Worldwide is 0.03 (i.e., Significant 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

Weak diversification

The correlation between Pimco Moditiesplus Strategy and DJI is 0.33 (i.e., Weak 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 unemployment.

Moving together with Pimco Mutual Fund

0.62	PFMIX	Municipal Bond	Pair Corr
0.64	PGAPX	Pimco Global Multi	Pair Corr
0.64	PGAIX	Pimco Global Multi	Pair Corr
0.65	PGMAX	Pimco Global Multi	Pair Corr

Moving against Pimco Mutual Fund

0.35

PGOVX

Long Term Government

Pair Corr

Related Correlations Analysis

	PWLEX	PWLBX	PWLMX	PWLIX	PFBPX	PFCJX	PFATX	PFANX	PFGAX	PFGCX
PWLEX		1.0	1.0	0.87	-0.27	0.26	0.3	0.13	-0.13	-0.14	PWLEX
PWLBX	1.0		1.0	0.87	-0.28	0.28	0.3	0.12	-0.14	-0.14	PWLBX
PWLMX	1.0	1.0		0.87	-0.28	0.28	0.31	0.12	-0.14	-0.15	PWLMX
PWLIX	0.87	0.87	0.87		-0.27	0.3	0.36	0.07	-0.16	-0.16	PWLIX
PFBPX	-0.27	-0.28	-0.28	-0.27		0.44	0.09	0.65	0.3	0.29	PFBPX
PFCJX	0.26	0.28	0.28	0.3	0.44		0.21	0.6	0.24	0.22	PFCJX
PFATX	0.3	0.3	0.31	0.36	0.09	0.21		0.6	-0.66	-0.68	PFATX
PFANX	0.13	0.12	0.12	0.07	0.65	0.6	0.6		-0.19	-0.21	PFANX
PFGAX	-0.13	-0.14	-0.14	-0.16	0.3	0.24	-0.66	-0.19		1.0	PFGAX
PFGCX	-0.14	-0.14	-0.15	-0.16	0.29	0.22	-0.68	-0.21	1.0		PFGCX
	PWLEX	PWLBX	PWLMX	PWLIX	PFBPX	PFCJX	PFATX	PFANX	PFGAX	PFGCX

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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

PWLBX	+ 1.0	PWLEX
PWLMX	+ 1.0	PWLEX
PWLMX	+ 1.0	PWLBX
PFGCX	+ 1.0	PFGAX
PWLIX	+ 0.87	PWLEX
PWLIX	+ 0.87	PWLBX

High negative correlations

PFGCX	- 0.68	PFATX
PFGAX	- 0.66	PFATX
PFBPX	- 0.28	PWLMX
PFBPX	- 0.28	PWLBX
PFBPX	- 0.27	PWLIX
PFBPX	- 0.27	PWLEX

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
PWLEX	0.40	0.00	(0.15)	(0.21)	0.48	(0.48)	0.95	(0.68)	2.73
PWLBX	0.40	0.00	(0.15)	(0.10)	0.49	(0.50)	1.09	(0.68)	3.00
PWLMX	0.40	0.00	(0.15)	(0.12)	0.49	(0.50)	0.95	(0.68)	2.96
PWLIX	0.41	0.00	(0.13)	0.20	0.50	(0.48)	0.95	(0.68)	2.96
PFBPX	0.10	0.01	(0.42)	0.27	0.00	(0.15)	0.20	(0.20)	0.71
PFCJX	0.12	0.01	(0.25)	0.19	0.07	(0.20)	0.21	(0.21)	2.41
PFATX	0.46	0.08	0.01	0.59	0.39	(0.56)	1.13	(0.84)	2.41
PFANX	0.12	0.03	(0.34)	2.46	0.00	(0.18)	0.21	(0.21)	1.80
PFGAX	0.36	(0.03)	0.00	(0.07)	0.00	0.00	0.57	(0.92)	2.53
PFGCX	0.36	(0.03)	0.00	(0.09)	0.00	0.00	0.57	(0.92)	2.46

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