Principal Component analysis (PCA) is a useful statistical technique that is commonly used for multivariate analysis of correlated variables. It is usually applied as a dimension reduction method: the top principal components (PCs) explaining most of total variance are tested for association with a predictor of interest, and the remaining PCs are ignored. This strategy has been widely applied in genetic epidemiology, however some of its aspects are not well appreciated in the context of single nucleotide polymorphisms (SNPs) association testing. In this study, we review the theoretical basis of PCA and its behavior when testing for association between a SNP and two correlated traits under various scenarios. We then evaluate with simulations the power of several different PCA-based strategies when analyzing up to 100 correlated traits. We show that contrary to widespread practice that testing the top PCs only can be dramatically underpowered since PCs explaining a low amount of the total phenotypic variance can harbor substantial genetic associations. Furthermore, we demonstrate that PC-based strategies that use all PCs have great potential to detect negatively pleiotropic genetic variants (e.g. variants with opposite effects on positively correlated traits) and genetic variants that are exclusively associated with a single trait, but only achieve a moderate gain in power to detect positive pleiotropic genetic loci. Finally, the genome-wide association study of five correlated coagulation traits in 685 subjects from the MARTHA study confirms these results. The joint analysis of the five PCs from the coagulation traits identified two new candidate SNPs, which were most strongly associated with the 5th PC that explained the smallest amount of phenotypic variance.