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.
|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