Commodityrealreturn Correlations

PCRIX Fund

USD 14.84 0.32 2.20%

The current 90-days correlation between Commodityrealreturn and Commodityrealreturn Strategy Fund is -0.1 (i.e., Good diversification). The correlation of Commodityrealreturn 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.

Commodityrealreturn Correlation With Market

Average diversification

The correlation between Commodityrealreturn Strategy F and DJI is 0.15 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Commodityrealreturn Strategy F 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 Commodityrealreturn Strategy Fund. 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 Commodityrealreturn Mutual Fund

0.63	PFIUX	Pimco Unconstrained Bond	Pair Corr
0.78	PFNCX	Pimco Floating Income	Pair Corr
0.78	PFNIX	Pimco Low Duration	Pair Corr
0.63	PFNUX	Pimco Dynamic Bond	Pair Corr
0.69	PFTCX	Short Term Fund	Pair Corr
0.64	PGAPX	Pimco Global Multi	Pair Corr
0.73	PGBIX	Global Bond Fund	Pair Corr
0.65	PGAIX	Pimco Global Multi	Pair Corr
0.72	PGMAX	Pimco Global Multi	Pair Corr
0.64	PGMCX	Pimco Global Multi	Pair Corr
0.79	PHFNX	Pimco High Yield	Pair Corr
0.63	PHIYX	High Yield Fund	Pair Corr

Moving against Commodityrealreturn Mutual Fund

0.49	PFGAX	Long Term Government	Pair Corr
0.48	PFGCX	Long Term Government	Pair Corr

Related Correlations Analysis

	PCRAX	PISIX	PIPAX	MDLRX	FTXNX	JPYRX	JPBRX	RRTAX	FSCIX	PRUAX
PCRAX		0.43	0.33	0.49	0.38	0.57	0.57	0.46	0.61	-0.05	PCRAX
PISIX	0.43		0.82	0.32	0.34	0.58	0.57	0.1	0.65	-0.43	PISIX
PIPAX	0.33	0.82		0.3	0.19	0.53	0.53	0.03	0.51	-0.41	PIPAX
MDLRX	0.49	0.32	0.3		0.49	0.62	0.63	0.84	0.74	0.22	MDLRX
FTXNX	0.38	0.34	0.19	0.49		0.72	0.73	0.56	0.72	0.13	FTXNX
JPYRX	0.57	0.58	0.53	0.62	0.72		1.0	0.56	0.81	0.01	JPYRX
JPBRX	0.57	0.57	0.53	0.63	0.73	1.0		0.57	0.81	0.02	JPBRX
RRTAX	0.46	0.1	0.03	0.84	0.56	0.56	0.57		0.6	0.58	RRTAX
FSCIX	0.61	0.65	0.51	0.74	0.72	0.81	0.81	0.6		-0.16	FSCIX
PRUAX	-0.05	-0.43	-0.41	0.22	0.13	0.01	0.02	0.58	-0.16		PRUAX
	PCRAX	PISIX	PIPAX	MDLRX	FTXNX	JPYRX	JPBRX	RRTAX	FSCIX	PRUAX

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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

JPBRX	+ 1.0	JPYRX
RRTAX	+ 0.84	MDLRX
PIPAX	+ 0.82	PISIX
FSCIX	+ 0.81	JPYRX
FSCIX	+ 0.81	JPBRX
FSCIX	+ 0.74	MDLRX

High negative correlations

PRUAX	- 0.43	PISIX
PRUAX	- 0.41	PIPAX
PRUAX	- 0.16	FSCIX
PRUAX	- 0.05	PCRAX

Risk-Adjusted Indicators

There is a big difference between Commodityrealreturn Mutual Fund performing well and Commodityrealreturn 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 Commodityrealreturn's 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
PCRAX	0.75	(0.01)	(0.05)	0.07	0.85	(0.85)	1.70	(1.47)	3.84
PISIX	0.58	(0.01)	(0.04)	0.06	1.27	(0.57)	1.13	(1.12)	7.61
PIPAX	0.57	(0.01)	(0.04)	0.06	1.35	(0.56)	1.15	(1.13)	8.26
MDLRX	0.65	0.10	0.04	0.46	0.82	(0.67)	1.48	(1.15)	5.20
FTXNX	1.38	(0.04)	0.01	0.06	1.90	(1.37)	2.61	(3.61)	8.70
JPYRX	0.45	(0.05)	(0.09)	0.00	0.87	(0.40)	0.82	(0.97)	4.57
JPBRX	0.45	(0.05)	(0.09)	0.01	0.86	(0.40)	0.82	(0.97)	4.51
RRTAX	0.30	0.03	(0.04)	0.17	0.13	(0.35)	0.60	(0.53)	3.34
FSCIX	0.88	(0.03)	(0.01)	0.06	1.11	(0.85)	1.73	(1.74)	4.34
PRUAX	0.80	0.10	0.02	0.84	0.76	(0.91)	1.42	(1.24)	9.36

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