PIMCO RAFI Backtesting

MFEM -- USA Etf  

USD 23.74  0.21  0.88%

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

August 22, 2018
0.00
No Change 0.00  0.0%
In 31 days
September 21, 2018
0.00
If you would invest  0.00  in PIMCO RAFI on August 22, 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 Vanguard FTSE, iShares Core, iShares MSCI, SPDR MSCI, iShares MSCI, JPMorgan Diversified, and USAA MSCI. The investment seeks to track the investment results of the RAFI Dynamic Multi-Factor Emerging Markets Index

PIMCO RAFI Upside/Downside Indicators

Information Ratio0.25
Maximum Drawdown2.55
Value At Risk1.48
Potential Upside1.05
  

PIMCO RAFI Market Premium Indicators

Risk Adjusted Performance0.040129
Jensen Alpha0.06
Total Risk Alpha0.28
Treynor Ratio0.2202

PIMCO RAFI Dyn Backtested Returns

Macroaxis considers PIMCO RAFI to be not too volatile. PIMCO RAFI Dyn maintains Sharpe Ratio (i.e. Efficiency) of -0.0139 which implies PIMCO RAFI Dyn had -0.0139% 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 0.040129 to confirm risk estimate we provide. The etf holds Beta of -0.442 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(0.66) 

Very good reverse predictability

PIMCO RAFI Dyn Mlt Fctr Emrg Mkts Eq ETF has very good reverse predictability. Overlapping area represents the amount of predictability between PIMCO RAFI time series from August 22, 2018 to September 6, 2018 and September 6, 2018 to September 21, 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 -0.66 indicates that around 66.0% 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-0.66
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 

Current Sentiment - MFEM

PIMCO RAFI Dyn Investor Sentiment

Most of Macroaxis users are now bullish on PIMCO RAFI Dyn Mlt Fctr Emrg Mkts Eq ETF. What is your perspective on investing in PIMCO RAFI Dyn Mlt Fctr Emrg Mkts Eq ETF? Are you bullish or bearish?
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Bearish
98% Bullish
2% Bearish
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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 Fundamentals Matrix module to view fundamentals matrix and analyze how accounts are interrelated and interconnected with each other.
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