PIMCO 1 Backtesting

PIMCO 1 5 Year US TIPS ETF -- USA Etf  

USD 51.9  0.03  0.0578%

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
 Time Horizon     30 Days    Login   to change

PIMCO 1 'What if' Analysis

December 24, 2017
No Change 0.00  0.0%
In 31 days
January 23, 2018
If you would invest  0.00  in PIMCO 1 on December 24, 2017 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 30 days. PIMCO 1 is related to or competes with iShares TIPS, FlexShares iBoxx, iShares 0, SPDR Blmbg, FlexShares iBoxx. The investment seeks to provide total return that closely corresponds, before fees and expenses, to the total return of ...

PIMCO 1 Upside/Downside Indicators


PIMCO 1 Market Premium Indicators

PIMCO 1 5 lagged returns against current returns

 Current and Lagged Values 

PIMCO 1 regressed lagged prices vs. current prices

 Current vs Lagged Prices 

PIMCO 1 5 Backtested Returns

We consider PIMCO 1 not too risky. PIMCO 1 5 maintains Sharpe Ratio (i.e. Efficiency) of 0.065 which implies PIMCO 1 5 had 0.065% of return per unit of volatility over the last 1 month. Our approach towards forecasting volatility of a etf is to use all available market data together with company specific technical indicators that cannot be diversified away. We have found twenty-seven technical indicators for PIMCO 1 5 which you can use to evaluate future volatility of the etf. Please check PIMCO 1 5 Risk Adjusted Performance of (0.045447) and Downside Deviation of 0.0548 to confirm if risk estimate we provide are consistent with the epected return of 0.0041%. The etf holds Beta of 0.0309 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.. Although it is extremely important to respect PIMCO 1 5 current trending patterns, it is better to be realistic regarding the information on equity existing price patterns. The approach towards forecasting future performance of any etf is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By inspecting PIMCO 1 5 technical indicators you can now evaluate if the expected return of 0.0041% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.56) 

Good reverse predictability

PIMCO 1 5 Year US TIPS ETF has good reverse predictability. Overlapping area represents the amount of predictability between PIMCO 1 time series from December 24, 2017 to January 8, 2018 and January 8, 2018 to January 23, 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 1 5 price movement. The serial correlation of -0.56 indicates that roughly 56.0% 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 -0.56
Spearman Rank Test -0.17
Average Price 51.92
Lagged Average Price 51.93

PIMCO 1 Lagged Returns

 Regressed Prices 

PIMCO 1 Performance vs DOW

The median price of PIMCO 1 for the period between Sun, Dec 24, 2017 and Tue, Jan 23, 2018 is 51.91 with a coefficient of variation of 0.08. The daily time series for the period is distributed with a sample standard deviation of 0.04, arithmetic mean of 51.91, and mean deviation of 0.04. The Etf received some media coverage during the period.
December 28, 2017PIMCO 1 Dividend Paid
Price Growth (%)  
PIMCO 1-5 Year US TIPS ETF Declines 0.02 percent for Jan 501/05/2018