Macroaxis considers PIMCO Equitiy not too risky given 1 month investment horizon. PIMCO Equitiy Series maintains Sharpe Ratio (i.e. Efficiency) of 0.7389 which implies PIMCO Equitiy Series had 0.7389% 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 Equitiy Series which you can use to evaluate future volatility of the etf. Please employ PIMCO Equitiy Series Risk Adjusted Performance of 0.3398 to confirm if our risk estimates are consistent with your expectations.
|Time Horizon||30 Days Login to change|
PIMCO Equitiy Market Sensitivity
|As returns on market increase, returns on owning PIMCO Equitiy are expected to decrease at a much smaller rate. During bear market, PIMCO Equitiy is likely to outperform the market.One Month Beta |Analyze PIMCO Equitiy Series Demand TrendCheck current 30 days PIMCO Equitiy correlation with market (DOW)|
β = -0.5954
PIMCO Equitiy Series Technical Analysis
Projected Return Density Against MarketGiven the investment horizon of 30 days, PIMCO Equitiy Series RAFI Dynamic Multi-Factor Emerging Markets Equity has beta of -0.5954 indicating as returns on benchmark increase, returns on holding PIMCO Equitiy are expected to decrease at a much smaller rate. During bear market, however, PIMCO Equitiy Series RAFI Dynamic Multi-Factor Emerging Markets Equity is likely to outperform the market. Moreover, PIMCO Equitiy Series RAFI Dynamic Multi-Factor Emerging Markets Equity has an alpha of 0.5375 implying that it can potentially generate 0.5375% excess return over DOW after adjusting for the inherited market risk (beta).
Given the investment horizon of 30 days, the coefficient of variation of PIMCO Equitiy is 135.34. The daily returns are destributed with a variance of 0.29 and standard deviation of 0.54. The mean deviation of PIMCO Equitiy Series RAFI Dynamic Multi-Factor Emerging Markets Equity is currently at 0.45. For similar time horizon, the selected benchmark (DOW) has volatility of 0.45