Pimco Global Multi Asset Fund Market Value
| PGMAX Fund | USD 13.21 0.08 0.61% |
| Symbol | Pimco |
Pimco Global '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 Global'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 Global.
| 05/04/2022 |
| 04/23/2024 |
If you would invest 0.00 in Pimco Global on May 4, 2022 and sell it all today you would earn a total of 0.00 from holding Pimco Global Multi Asset or generate 0.0% return on investment in Pimco Global over 720 days. Pimco Global 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 in a combination of affiliate... More
Pimco Global 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 Global'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 Global Multi Asset upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.5227 | |||
| Information Ratio | (0.05) | |||
| Maximum Drawdown | 3.1 | |||
| Value At Risk | (0.95) | |||
| Potential Upside | 0.7413 |
Pimco Global Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Pimco Global's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Pimco Global's standard deviation. In reality, there are many statistical measures that can use Pimco Global historical prices to predict the future Pimco Global's volatility.| Risk Adjusted Performance | 0.0754 | |||
| Jensen Alpha | 0.0467 | |||
| Total Risk Alpha | (0.01) | |||
| Sortino Ratio | (0.05) | |||
| Treynor Ratio | 0.5245 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Pimco Global'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 Global Multi Backtested Returns
We consider Pimco Global very steady. Pimco Global Multi maintains Sharpe Ratio (i.e., Efficiency) of 0.11, which implies the entity had a 0.11% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Pimco Global Multi, which you can use to evaluate the volatility of the fund. Please check Pimco Global's Coefficient Of Variation of 795.98, semi deviation of 0.3851, and Risk Adjusted Performance of 0.0754 to confirm if the risk estimate we provide is consistent with the expected return of 0.0586%. The fund holds a Beta of 0.1, which implies not very significant fluctuations relative to the market. As returns on the market increase, Pimco Global's returns are expected to increase less than the market. However, during the bear market, the loss of holding Pimco Global is expected to be smaller as well.
Auto-correlation | 0.36 |
Below average predictability
Pimco Global Multi Asset has below average predictability. Overlapping area represents the amount of predictability between Pimco Global time series from 4th of May 2022 to 29th of April 2023 and 29th of April 2023 to 23rd 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 Global Multi price movement. The serial correlation of 0.36 indicates that just about 36.0% of current Pimco Global price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.36 | |
| Spearman Rank Test | 0.02 | |
| Residual Average | 0.0 | |
| Price Variance | 0.47 |
Pimco Global Multi lagged returns against current returns
Autocorrelation, which is Pimco Global 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 Global's mutual fund expected returns. We can calculate the autocorrelation of Pimco Global returns to help us make a trade decision. For example, suppose you find that Pimco Global 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 Global 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 Global mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Pimco Global 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 Global mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Pimco Global Lagged Returns
When evaluating Pimco Global's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Pimco Global mutual fund have on its future price. Pimco Global 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 Global autocorrelation shows the relationship between Pimco Global mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Pimco Global Multi Asset.
Regressed Prices |
| Timeline |
Some investors attempt to determine whether the market's mood is bullish or bearish by monitoring changes in market sentiment. Unlike more traditional methods such as technical analysis, investor sentiment usually refers to the aggregate attitude towards Pimco Global in the overall investment community. So, suppose investors can accurately measure the market's sentiment. In that case, they can use it for their benefit. For example, some tools to gauge market sentiment could be utilized using contrarian indexes, Pimco Global's short interest history, or implied volatility extrapolated from Pimco Global options trading.
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Macroaxis puts the power of mathematics on your side. We analyze your portfolios and positions such as Pimco Global Multi using complex mathematical models and algorithms, but make them easy to understand. There is no real person involved in your portfolio analysis. We perform a number of calculations to compute absolute and relative portfolio volatility, correlation between your assets, value at risk, expected return as well as over 100 different fundamental and technical indicators.Build Optimal Portfolios
Align your risk with return expectations
Check out Pimco Global Correlation, Pimco Global Volatility and Pimco Global Alpha and Beta module to complement your research on Pimco Global. Note that the Pimco Global Multi information on this page should be used as a complementary analysis to other Pimco Global'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 Portfolio Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.
Pimco Global 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.