PIMCO RAFI Backtesting

MFEM -- USA Etf  

USD 22.37  0.1  0.43%

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.
Horizon     30 Days    Login   to change
SymbolX
Backtest

PIMCO RAFI 'What if' Analysis

October 19, 2018
0.00
No Change 0.00  0.0%
In 2 months and 2 days
December 18, 2018
0.00
If you would invest  0.00  in PIMCO RAFI on October 19, 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 60 days. PIMCO RAFI is related to or competes with SPDR SP, PowerShares, iShares MSCI, WisdomTree EmMkts, First Trust, BLDRS Emerging, and First Trust. The investment seeks to track the investment results of the RAFI Dynamic Multi-Factor Emerging Markets Index

PIMCO RAFI Upside/Downside Indicators

Downside Deviation1.55
Information Ratio0.1255
Maximum Drawdown5.79
Value At Risk(1.98)
Potential Upside2.33
  

PIMCO RAFI Market Premium Indicators

Risk Adjusted Performance0.0062
Jensen Alpha(0.032294)
Total Risk Alpha0.1543
Sortino Ratio0.1033
Treynor Ratio0.0209

PIMCO RAFI Dyn Backtested Returns

Macroaxis considers PIMCO RAFI to be not too volatile. PIMCO RAFI Dyn maintains Sharpe Ratio (i.e. Efficiency) of -0.0143 which implies PIMCO RAFI Dyn had -0.0143% of return per unit of volatility over the last 2 months. 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-eight 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 0.0062 and Semi Deviation of 1.17 to confirm risk estimate we provide. The etf holds Beta of -0.175 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-eight different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.41) 
correlation synergy

Modest reverse predictability

PIMCO RAFI Dyn Mlt Fctr Emrg Mkts Eq ETF has modest reverse predictability. Overlapping area represents the amount of predictability between PIMCO RAFI time series from October 19, 2018 to November 18, 2018 and November 18, 2018 to December 18, 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 -0.41 indicates that just about 41.0% 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-0.41
Spearman Rank Test-0.17
Residual Average0.0
Price Variance0.07

PIMCO RAFI Dyn lagged returns against current returns

 Current and Lagged Values 
      Timeline 

PIMCO RAFI regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

PIMCO RAFI Lagged Returns

 Regressed Prices 
      Timeline 

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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. Please also try Portfolio File Import module to quickly import all of your third-party portfolios from your local drive in csv format.
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