PIMCO 1 Backtesting

STPZ -- USA Etf  

USD 51.00  0.05  0.1%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of PIMCO 1 5 Year US TIPS ETF and determine expected loss or profit from investing in PIMCO 1 over given investment horizon. Also please take a look at PIMCO 1 Hype Analysis, PIMCO 1 Correlation, Portfolio Optimization, PIMCO 1 Volatility as well as analyze PIMCO 1 Alpha and Beta and PIMCO 1 Performance.
Horizon     30 Days    Login   to change
SymbolX
Backtest

PIMCO 1 'What if' Analysis

November 18, 2018
0.00
No Change 0.00  0.0%
In 2 months and 2 days
January 17, 2019
0.00
If you would invest  0.00  in PIMCO 1 on November 18, 2018 and sell it all today you would earn a total of 0.00 from holding PIMCO 1 5 Year US TIPS ETF or generate 0.0% return on investment in PIMCO 1 over 60 days. PIMCO 1 is related to or competes with iShares TIPS, iShares 0, SPDR Blmbg, FlexShares iBoxx, SPDR Blmbg, and PIMCO Broad. The investment seeks to provide total return that closely corresponds, before fees and expenses, to the total return of ...

PIMCO 1 Upside/Downside Indicators

Downside Deviation0.1295
Information Ratio1.36
Maximum Drawdown0.5201
Value At Risk(0.18)
Potential Upside0.2165
  

PIMCO 1 Market Premium Indicators

Risk Adjusted Performance(0.045581)
Jensen Alpha(0.00279)
Total Risk Alpha0.0083
Sortino Ratio1.37
Treynor Ratio(0.75)

PIMCO 1 5 Backtested Returns

Macroaxis considers PIMCO 1 to be not too risky. PIMCO 1 5 maintains Sharpe Ratio (i.e. Efficiency) of -0.0313 which implies PIMCO 1 5 had -0.0313% 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 1 5 exposes twenty-eight different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check PIMCO 1 5 Risk Adjusted Performance of (0.045581) and Semi Deviation of 0.0852 to confirm risk estimate we provide. The etf holds Beta of 0.0049 which implies as returns on market increase, PIMCO 1 returns are expected to increase less than the market. However during bear market, the loss on holding PIMCO 1 will be expected to be smaller as well. . Even though it is essential to pay attention to PIMCO 1 5 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 1 5 exposes twenty-eight different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.70) 
correlation synergy

Very good reverse predictability

PIMCO 1 5 Year US TIPS ETF has very good reverse predictability. Overlapping area represents the amount of predictability between PIMCO 1 time series from November 18, 2018 to December 18, 2018 and December 18, 2018 to January 17, 2019. 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 1 5 price movement. The serial correlation of -0.7 indicates that around 70.0% of current PIMCO 1 price fluctuation can be explain by its past prices. Given that PIMCO 1 5 Year US TIPS ETF has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of PIMCO 1 for similar time interval.
Correlation Coefficient-0.7
Spearman Rank Test-0.64
Residual Average0.0
Price Variance0.02

PIMCO 1 5 lagged returns against current returns

 Current and Lagged Values 
      Timeline 

PIMCO 1 regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

PIMCO 1 Lagged Returns

 Regressed Prices 
      Timeline 

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Also please take a look at PIMCO 1 Hype Analysis, PIMCO 1 Correlation, Portfolio Optimization, PIMCO 1 Volatility as well as analyze PIMCO 1 Alpha and Beta and PIMCO 1 Performance. Please also try Portfolio Suggestion module to get suggestions outside of your existing asset allocation including your own model portfolios.
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