PIMCO RAFI Risk Analysis

PIMCO RAFI Dyn Mlt Fctr Emrg Mkts Eq ETF -- USA Etf  

USD 25.83  0.26  1.02%

Macroaxis considers PIMCO RAFI to be not too volatile. PIMCO RAFI Dyn maintains Sharpe Ratio (i.e. Efficiency) of -0.1195 which implies PIMCO RAFI Dyn had -0.1195% 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 RAFI Dyn exposes twenty-eight different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check PIMCO RAFI Dyn Risk Adjusted Performance of 0.16 to confirm risk estimate we provide.
 Time Horizon     30 Days    Login   to change

PIMCO RAFI Market Sensitivity

As returns on market increase, returns on owning PIMCO RAFI are expected to decrease at a much smaller rate. During bear market, PIMCO RAFI is likely to outperform the market.
2 Months Beta |Analyze PIMCO RAFI Dyn Demand Trend
Check current 30 days PIMCO RAFI correlation with market (DOW)
β = -0.0931
PIMCO RAFI Almost negative betaPIMCO RAFI Dyn Beta Legend

PIMCO RAFI Dyn Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of thirty-nine. PIMCO RAFI Dyn Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input. View also all equity analysis or get more info about average price price transform indicator.

Projected Return Density Against Market

Given the investment horizon of 30 days, PIMCO RAFI Dyn Mlt Fctr Emrg Mkts Eq ETF has beta of -0.0931 indicating as returns on benchmark increase, returns on holding PIMCO RAFI are expected to decrease at a much smaller rate. During bear market, however, PIMCO RAFI Dyn Mlt Fctr Emrg Mkts Eq ETF is likely to outperform the market. Additionally, PIMCO RAFI Dyn Mlt Fctr Emrg Mkts Eq ETF has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW
 Predicted Return Density 
      Returns 
Given the investment horizon of 30 days, the coefficient of variation of PIMCO RAFI is -837.08. The daily returns are destributed with a variance of 1.35 and standard deviation of 1.16. The mean deviation of PIMCO RAFI Dyn Mlt Fctr Emrg Mkts Eq ETF is currently at 0.87. For similar time horizon, the selected benchmark (DOW) has volatility of 1.65
α
Alpha over DOW
=0.12
β
Beta against DOW=0.09
σ
Overall volatility
=1.16
Ir
Information ratio =0.08

Actual Return Volatility

PIMCO RAFI Dyn Mlt Fctr Emrg Mkts Eq ETF inherits 1.1601% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 1.4149% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

PIMCO RAFI Volatility Factors

60 Days Market Risk

Not too volatile

Chance of Distress in 24 months

60 Days Economic Sensitivity

Barely shadows market

Investment Outlook

PIMCO RAFI Investment Opportunity
DOW has a standard deviation of returns of 1.41 and is 1.22 times more volatile than PIMCO RAFI Dyn Mlt Fctr Emrg Mkts Eq ETF. 10% of all equities and portfolios are less risky than PIMCO RAFI. Compared to the overall equity markets, volatility of historical daily returns of PIMCO RAFI Dyn Mlt Fctr Emrg Mkts Eq ETF is lower than 10 (%) of all global equities and portfolios over the last 30 days. Use PIMCO RAFI Dyn Mlt Fctr Emrg Mkts Eq ETF to enhance returns of your portfolios. The etf experiences large bullish trend. Check odds of PIMCO RAFI to be traded at $28.41 in 30 days. As returns on market increase, returns on owning PIMCO RAFI are expected to decrease at a much smaller rate. During bear market, PIMCO RAFI is likely to outperform the market.

PIMCO RAFI correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding PIMCO RAFI Dyn Mlt Fctr Emrg M and equity matching DJI index in the same portfolio.
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