PIMCO 1 Backtesting

STPZ -- USA Etf  

USD 51.62  0.08  0.16%

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
SymbolX
Backtest

PIMCO 1 'What if' Analysis

June 15, 2018
0.00
No Change 0.00  0.0%
In 31 days
July 15, 2018
0.00
If you would invest  0.00  in PIMCO 1 on June 15, 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 30 days. PIMCO 1 is related to or competes with ProShares Short, iShares Treasury, PIMCO 1, Health Care, Caterpillar, Procter Gamble, and UNITED TECH. PIMCO 1 5 Year US TIPS ETF is USA based ETF administrated by State Street Bank and Trust Company

PIMCO 1 Upside/Downside Indicators

Downside Deviation0.1327
Information Ratio1.02
Maximum Drawdown0.5029
Value At Risk0.1
Potential Upside0.1357
  

PIMCO 1 Market Premium Indicators

Risk Adjusted Performance0.0088
Jensen Alpha0.0047
Total Risk Alpha0.022732
Sortino Ratio0.84
Treynor Ratio0.0055

PIMCO 1 5 Backtested Returns

We consider PIMCO 1 not too risky. PIMCO 1 5 maintains Sharpe Ratio (i.e. Efficiency) of 0.0829 which implies PIMCO 1 5 had 0.0829% 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-one 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 0.0088 and Semi Deviation of 0.0715 to confirm if risk estimate we provide are consistent with the epected return of 0.0093%. The etf holds Beta of -0.0446 which implies as returns on market increase, returns on owning PIMCO 1 are expected to decrease at a much smaller rate. During bear market, PIMCO 1 is likely to outperform the market.. 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 0.0093% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.05) 

Very weak reverse predictability

PIMCO 1 5 Year US TIPS ETF has very weak reverse predictability. Overlapping area represents the amount of predictability between PIMCO 1 time series from June 15, 2018 to June 30, 2018 and June 30, 2018 to July 15, 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 -0.05 indicates that only as little as 5.0% 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 -0.05
Spearman Rank Test 0.02
Average Price 51.61
Lagged Average Price 51.63

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.