PIMCO COMMODITIESPLUS Downside Variance
| PCLIX Fund | | | USD 8.43 -0.45 -5.07% |
The Downside Variance calculation for PIMCO COMMODITIESPLUS draws on price and volume history. Each data point is derived from standardized price and volume feeds. Use
Your Equity Center to better understand diversified portfolio construction. This view summarizes available data without implying outcomes. Tracking PIMCO Moditiesplus Strategy in a portfolio provides context for performance attribution. All metrics are derived from available inputs and shown for reference. Broader economic conditions can influence PIMCO Moditiesplus Strategy's mutual fund valuation — related indicators include
signals in gross domestic product.
PIMCO Moditiesplus Strategy has current Downside Variance of 3.59. Downside Variance (or DV) is measured by target semi-variance and is termed downside volatility. It is expressed in percentages and therefore allows for rankings in the same way as variance. One way to view downside volatility is the annualized variance of returns below the target.
Downside Variance | = | SUM(RET DEV)2N(ER) |
| = | 3.59 | |
| SUM | = | Summation notation |
| RET DEV | = | Actual returns deviation over selected period |
| N(ER) | = | Number of points with returns less than expected return for the period |
Downside Variance Peers Comparison
Downside Variance Relative To Other Indicators
PIMCO Moditiesplus Strategy ranks first in downside variance among similar funds. It is currently under evaluation in maximum drawdown among similar funds reporting about
2.20 of Maximum Drawdown per Downside Variance. At
2.20 , PIMCO Moditiesplus Strategy's Maximum Drawdown-to-Downside Variance multiple reflects the spread between these metrics
Downside Variance is the probability-weighted squared below-target returns. The squaring of the below-target returns has the effect of penalizing failures at an exponential rate. This is consistent with observations made on the behavior of individual decision-making under.
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