Relative · Invesco BR Com Str;Y (BRCYX) N/A N/A IPATH ETN DJ-UBS CITR A (DJP) -2.33 15.94...
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Transcript of Relative · Invesco BR Com Str;Y (BRCYX) N/A N/A IPATH ETN DJ-UBS CITR A (DJP) -2.33 15.94...
*Source: Morningstar Data
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Relative Performance of the PIMCO Commodity Fund vs. the Bloomberg Commodity Index In Those Months When the Barclays Aggregate Bond Index Had
Negative Returns: 2006‐2014
The PIMCO Commodity Fund underperformed the Bloomberg Index in 85% of the selected monthly observations from 2006 to 2014 by an average of 1.19%. The median relative performance for the monthly observations was ‐0.69%.
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*Source: Morningstar Data
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Relative Performance of the Credit Suisse Commodity Fund vs. the Bloomberg Commodity Index In Those Months When the Barclays Aggregate Bond Index Had
Negative Returns: 2006‐2014
The Credit Suisse Commodity Fund underperformed the Bloomberg Index in 45% of the selected monthly observations from 2006 to 2014. On average it outperformed by 0.02%. The median relative performance in the monthly observations was +0.04%
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INTEGRITY. BALANCE. OBJECTIVITY.
*Source: Morningstar Data
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Relative Performance of the Invesco Balanced Risk Commodity Fund vs. the Bloomberg Commodity Index In Those Months When the Barclays Aggregate
Bond Index Had Negative Returns: 2006‐2014
The Invesco Commodity Fund underperformed the Bloomberg Index in 47% of the selected monthly observations from its December 2010 inception to 2014. On average it outperformed by 0.57%. The median relative performance in the monthly observations was +0.46%
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*Source: Morningstar Data
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Relative Performance of the iPath Bloomberg Commodity ETN vs. the Bloomberg Commodity Index In Those Months When the Barclays Aggregate Bond Index Had
Negative Returns: 2006‐2014
The iPath Commodity ETN underperformed the Bloomberg Index in 77% of the selected monthly observations from 2006 to 2014 by an average of 0.12% The median relative performance in the monthly observations was ‐0.10%
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TRACKING ERROR RELATIVE TO Bloomberg Commodity Index Total Return ROLLING 12 QUARTERS FOR 10 YEARS ENDED 09/30/14
CORRELATION RELATIVE TO Bloomberg Commodity Index Total Return ROLLING 12 QUARTERS FOR 10 YEARS ENDED 09/30/14
IM Commodities General (MF) as of 09/30/14
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PEER GROUP ANALYSIS - IM Commodities General (MF)
LastQuarter
YearTo Date
1Year
2Years
3Years
5Years
7Years
10Years
PIMCO:Comm RR Str;Inst (PCRIX) -13.36 (92) -4.52 (26) -6.70 (43) -12.46 (85) -4.32 (49) 1.87 (1) -2.26 (4) 0.95 (1)Crdt Suis Cmdty Rtn;Inst (CRSOX) -11.43 (41) -5.67 (50) -6.58 (43) -10.74 (65) -5.79 (71) -1.37 (76) -5.23 (37) N/AInvesco BR Com Str;Y (BRCYX) -11.51 (48) -9.12 (95) -12.09 (97) -14.46 (96) -5.49 (68) N/A N/A N/AIPATH ETN DJ-UBS CITR A (DJP) -12.86 (88) -6.61 (66) -7.85 (75) -11.92 (81) -6.47 (85) -2.33 (91) -6.20 (60) N/ABloomberg Commodity Index Total Return -11.83 (61) -5.59 (48) -6.58 (43) -10.55 (63) -5.34 (64) -1.37 (76) -5.24 (37) -1.04 (52)
5th Percentile -4.03 -0.98 -1.43 -3.59 0.41 1.66 -2.38 0.831st Quartile -10.64 -4.42 -4.76 -6.89 -2.09 1.15 -4.27 0.46Median -11.58 -5.67 -6.94 -9.36 -4.45 0.53 -5.73 -0.313rd Quartile -12.24 -7.32 -7.92 -11.42 -5.95 -1.37 -7.41 -5.6995th Percentile -13.52 -9.14 -11.11 -14.46 -8.50 -2.78 -10.26 -6.30
IM Commodities General (MF) as of 09/30/14
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UP/DOWN CAPTURE CHART - 3 YEARS
RETURNS VS. STANDARD DEVIATION - 5 YEARSRETURNS VS. STANDARD DEVIATION - 3 YEARS
UP/DOWN CAPTURE CHART - 5 YEARS
Return StandardDeviation
PIMCO:Comm RR Str;Inst (PCRIX) -4.32 14.18Crdt Suis Cmdty Rtn;Inst (CRSOX) -5.79 12.10Invesco BR Com Str;Y (BRCYX) -5.49 13.99IPATH ETN DJ-UBS CITR A (DJP) -6.47 13.24Bloomberg Commodity Index Total Return -5.34 12.52Median -4.45 13.21
Return StandardDeviation
PIMCO:Comm RR Str;Inst (PCRIX) 1.87 16.88Crdt Suis Cmdty Rtn;Inst (CRSOX) -1.37 14.97Invesco BR Com Str;Y (BRCYX) N/A N/AIPATH ETN DJ-UBS CITR A (DJP) -2.33 15.94Bloomberg Commodity Index Total Return -1.37 15.26Median 0.53 16.90
IM Commodities General (MF) as of 09/30/14
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Commodity Fund Strategies PIMCO Commodity Real Return Strategy Fund: PCRIX
The fund captures the performance potential of commodities through derivative exposure to the Bloomberg Commodity Index. The fund collateralizes its derivative exposure with a portfolio of TIPS and other fixed income instruments including bonds,
debt securities and other issuances of various U.S. and non-U.S. public or private-sector entities. TIPS and other fixed income products may decline in value if interest rates rise, and may be particularly sensitive if real
interest rates rise rapidly. Total assets: $10.6 billion. Expenses: 0.74%.
Credit Suisse Commodity Return Strategy Fund: CRSOX
The fund uses a wholly-owned subsidiary to invest in derivatives that provide exposure to the Bloomberg Commodity Index. It primarily uses swaps but can also hold futures and structured notes. The goal is to track the benchmark without much tracking error. Management tries to modestly outpace the benchmark by
picking favorably priced spots on commodity futures curves and employing low-risk cash management. Total assets: $4.8 billion. Expenses: 0.78%
Invesco Balanced-Risk Commodity Strategy Fund: BRCYX
The fund invests in derivatives and other commodity-linked instruments. The fund is actively managed to exploit opportunities caused by the theory of commodity storage: Invesco places strategic
allocation in commodities that are difficult or costly to store. They believe this property provides attractive expected returns. Total Assets: $726 million. Expenses: 0.97%
iPath Bloomberg Commodity ETN: DJP
The exchange-traded note (ETN) is a senior, unsecured, unsubordinated debt security issued by Barclays Bank PLC. The ETN is designed to provide exposure to the Bloomberg Commodity Index.
The notes entails credit risk, as it is backed by the credit worthiness of Barlcays Bank. Total assets: $1.68 billion. Expenses: 0.75%
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Criteria
Organization People Philosophy &Process
StyleConsistency Asset Base Performance Expenses Overall
Costs
Exp Ratio(%)
MedianExp Ratio
(%)
Ratio ofExp to
Median (%)PIMCO:Comm RR Str;Inst (PCRIX) 0.74 1.35 54.82Crdt Suis Cmdty Rtn;Inst (CRSOX) 0.79 1.35 58.52Invesco BR Com Str;Y (BRCYX) 0.97 1.42 68.31IPATH ETN DJ-UBS CITR A (DJP) 0.75 1.35 55.56
Legend For Overall CriteriaNo/Minimum ConcernsMinor ConcernMajor ConcernUnder Review
Manager Score Factor CommentsPIMCO:Comm RR Str;Inst (PCRIX) Organization The 2014 departures of the firm’s co-founder, Bill Gross, and his co-CIO, Mohamed El-Erian, will have significant implications for
the firm in the long run. In 2014 alone, PIMCO saw nearly $150 billion leave its assets under management. We are confident in the structure of PIMCO, still one of the largest active fixed income managers in the world; however the rapid change in leadership and assets bears concern.
PIMCO:Comm RR Str;Inst (PCRIX) Philosophy & Process The fund benefitted from falling interest rates due to its exposure to TIPS and other fixed income instruments in its collateral holdings. This exposure is likely to negatively impact the fund when rates normalize, and consumer prices rise in response to greater economic productivity.
PIMCO:Comm RR Str;Inst (PCRIX) Overall .
Manager Score Card
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