Macroaxis considers PIMCO RAFI to be not too risky. PIMCO RAFI Dyn
maintains Sharpe Ratio (i.e. Efficiency) of -0.2306 which implies PIMCO RAFI Dyn
had -0.2306% of return per unit of volatility over the last 1 month. Macroaxis approach towards forecasting risk of any etf is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators
. PIMCO RAFI Dyn exposes twenty-one different technical indicators
which can help you to evaluate volatility that cannot be diversified away. Please be advised to check PIMCO RAFI Dyn Risk Adjusted Performance
of 0.01 to confirm risk estimate we provide. The etf holds Beta of 0.0 which implies the returns on MARKET and PIMCO RAFI are completely uncorrelated. Even though it is essential to pay attention to PIMCO RAFI Dyn
current trending patterns, it is always good to be careful when utilizing equity existing price patterns
. Macroaxis approach towards forecasting future performance of any etf is to check both, its past performance charts as well as the business as a whole, including all available technical indicators
. PIMCO RAFI Dyn exposes twenty-one different technical indicators which can help you to evaluate its performance.
|15 days auto-correlation||(0.71) |
Almost perfect reverse predictability
PIMCO RAFI Dyn Mlt Fctr Emrg Mkts Eq ETF has almost perfect reverse predictability. Overlapping area represents the amount of predictability between PIMCO RAFI time series from May 24, 2018 to June 8, 2018 and June 8, 2018 to June 23, 2018. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of PIMCO RAFI Dyn price movement. The serial correlation of -0.71 indicates that around 71.0% of current PIMCO RAFI price fluctuation can be explain by its past prices. Given that PIMCO RAFI Dyn Mlt Fctr Emrg Mkts Eq ETF has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of PIMCO RAFI for similar time interval.
|Correlation Coefficient|| -0.71|
|Spearman Rank Test|| -0.75|
|Price Variance|| 0.24|
|Lagged Price Variance|| 0.07|