PIMCO RAFI Backtesting

PIMCO RAFI Dyn Mlt Fctr Emrg Mkts Eq ETF -- USA Etf  

USD 26.64  0.41  1.52%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of PIMCO RAFI Dyn Mlt Fctr Emrg Mkts Eq ETF and determine expected loss or profit from investing in PIMCO RAFI over given investment horizon. Please see also PIMCO RAFI Hype Analysis, PIMCO RAFI Correlation, Portfolio Optimization, PIMCO RAFI Volatility as well as analyze PIMCO RAFI Alpha and Beta and PIMCO RAFI Performance
 Time Horizon     30 Days    Login   to change

PIMCO RAFI 'What if' Analysis

February 17, 2018
No Change 0.00  0.0%
In 31 days
March 19, 2018
If you would invest  0.00  in PIMCO RAFI on February 17, 2018 and sell it all today you would earn a total of 0.00 from holding PIMCO RAFI Dyn Mlt Fctr Emrg Mkts Eq ETF or generate 0.0% return on investment in PIMCO RAFI over 30 days. PIMCO RAFI is related to or competes with FlexShares Mstar, First Trust, Franklin FTSE, and Global X. The investment seeks to track the investment results of the RAFI Dynamic Multi-Factor Emerging Markets Index

PIMCO RAFI Upside/Downside Indicators


PIMCO RAFI Market Premium Indicators

PIMCO RAFI Dyn lagged returns against current returns

 Current and Lagged Values 

PIMCO RAFI regressed lagged prices vs. current prices

 Current vs Lagged Prices 

PIMCO RAFI Dyn Backtested Returns

Macroaxis considers PIMCO RAFI to be not too risky. PIMCO RAFI Dyn maintains Sharpe Ratio (i.e. Efficiency) of -0.0227 which implies PIMCO RAFI Dyn had -0.0227% 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 0.11 to confirm risk estimate we provide. The etf holds Beta of -0.1356 which implies as returns on market increase, returns on owning PIMCO RAFI are expected to decrease at a much smaller rate. During bear market, PIMCO RAFI is likely to outperform the market.. 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.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.01 

Virtually no predictability

PIMCO RAFI Dyn Mlt Fctr Emrg Mkts Eq ETF has virtually no predictability. Overlapping area represents the amount of predictability between PIMCO RAFI time series from February 17, 2018 to March 4, 2018 and March 4, 2018 to March 19, 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 0.01 indicates that just 1.0% of current PIMCO RAFI price fluctuation can be explain by its past prices.
Correlation Coefficient 0.01
Spearman Rank Test -0.85
Price Variance 0.05
Lagged Price Variance 0.09

PIMCO RAFI Lagged Returns

 Regressed Prices 

PIMCO RAFI Performance vs DOW

The median price of PIMCO RAFI for the period between Sat, Feb 17, 2018 and Mon, Mar 19, 2018 is 26.9 with a coefficient of variation of 1.01. The daily time series for the period is distributed with a sample standard deviation of 0.27, arithmetic mean of 26.93, and mean deviation of 0.23. The Etf received some media coverage during the period.
 Price Growth (%)  
Pimco Sells Australia Banks, Property Bonds as Risks Climb03/14/2018