Pimco Rae Fundamental Fund Market Value
| PEIFX Fund | USD 10.28 0.01 0.1% |
| Symbol | Pimco |
Pimco Rae 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to Pimco Rae's mutual fund what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of Pimco Rae.
| 10/20/2023 |
| 04/17/2024 |
If you would invest 0.00 in Pimco Rae on October 20, 2023 and sell it all today you would earn a total of 0.00 from holding Pimco Rae Fundamental or generate 0.0% return on investment in Pimco Rae over 180 days. Pimco Rae is related to or competes with Pimco Rae, Pimco Rae, Pimco Rae, Pimco Rae, Pimco Foreign, Pimco Preferred, and Pimco Fundamental. The fund seeks to achieve its investment objective by investing under normal circumstances at least 80 percent of its as... More
Pimco Rae Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure Pimco Rae's mutual fund current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess Pimco Rae Fundamental upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.8856 | |||
| Information Ratio | 0.0162 | |||
| Maximum Drawdown | 4.03 | |||
| Value At Risk | (1.32) | |||
| Potential Upside | 1.24 |
Pimco Rae Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Pimco Rae's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Pimco Rae's standard deviation. In reality, there are many statistical measures that can use Pimco Rae historical prices to predict the future Pimco Rae's volatility.| Risk Adjusted Performance | 0.0584 | |||
| Jensen Alpha | 0.0259 | |||
| Total Risk Alpha | 4.0E-4 | |||
| Sortino Ratio | 0.0145 | |||
| Treynor Ratio | 0.0836 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Pimco Rae's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Pimco Rae Fundamental Backtested Returns
We consider Pimco Rae very steady. Pimco Rae Fundamental maintains Sharpe Ratio (i.e., Efficiency) of 0.15, which implies the entity had a 0.15% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Pimco Rae Fundamental, which you can use to evaluate the volatility of the fund. Please check Pimco Rae's Risk Adjusted Performance of 0.0584, semi deviation of 0.7917, and Coefficient Of Variation of 1118.6 to confirm if the risk estimate we provide is consistent with the expected return of 0.11%. The fund holds a Beta of 0.73, which implies possible diversification benefits within a given portfolio. As returns on the market increase, Pimco Rae's returns are expected to increase less than the market. However, during the bear market, the loss of holding Pimco Rae is expected to be smaller as well.
Auto-correlation | 0.76 |
Good predictability
Pimco Rae Fundamental has good predictability. Overlapping area represents the amount of predictability between Pimco Rae time series from 20th of October 2023 to 18th of January 2024 and 18th of January 2024 to 17th of April 2024. 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 Rae Fundamental price movement. The serial correlation of 0.76 indicates that around 76.0% of current Pimco Rae price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.76 | |
| Spearman Rank Test | 0.73 | |
| Residual Average | 0.0 | |
| Price Variance | 0.07 |
Pimco Rae Fundamental lagged returns against current returns
Autocorrelation, which is Pimco Rae mutual fund's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting Pimco Rae's mutual fund expected returns. We can calculate the autocorrelation of Pimco Rae returns to help us make a trade decision. For example, suppose you find that Pimco Rae has exhibited high autocorrelation historically, and you observe that the mutual fund is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
Pimco Rae regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If Pimco Rae mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Pimco Rae mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Pimco Rae mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Pimco Rae Lagged Returns
When evaluating Pimco Rae's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Pimco Rae mutual fund have on its future price. Pimco Rae autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, Pimco Rae autocorrelation shows the relationship between Pimco Rae mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Pimco Rae Fundamental.
Regressed Prices |
| Timeline |
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Check out Pimco Rae Correlation, Pimco Rae Volatility and Pimco Rae Alpha and Beta module to complement your research on Pimco Rae. Note that the Pimco Rae Fundamental information on this page should be used as a complementary analysis to other Pimco Rae's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Commodity Directory module to find actively traded commodities issued by global exchanges.
Pimco Rae technical mutual fund analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, fund market cycles, or different charting patterns.