PIMCO RAFI Risk Analysis And Volatility Evaluation

MFEM -- USA Etf  

USD 24.51  0.12  0.49%

Macroaxis considers PIMCO RAFI to be not too risky. PIMCO RAFI Dyn maintains Sharpe Ratio (i.e. Efficiency) of -0.2306 which implies PIMCO RAFI Dyn had -0.2306% of return per unit of volatility over the last 1 month. 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-one 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 0.01 to confirm risk estimate we provide.
 Time Horizon     30 Days    Login   to change

PIMCO RAFI Dyn Technical Analysis

Transformation
null. The output start index for this execution was zero with a total number of output elements of zero. 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 has beta of 0.0 indicating unless we do not have required data, the returns on DOW and PIMCO RAFI are completely uncorrelated. Furthermore, PIMCO RAFI Dyn Mlt Fctr Emrg Mkts Eq ETFIt does not look like PIMCO RAFI alpha can have any bearing on the equity current valuation.
Given the investment horizon of 30 days, the coefficient of variation of PIMCO RAFI is -433.62. The daily returns are destributed with a variance of 0.77 and standard deviation of 0.88. The mean deviation of PIMCO RAFI Dyn Mlt Fctr Emrg Mkts Eq ETF is currently at 0.69. For similar time horizon, the selected benchmark (DOW) has volatility of 0.0
α
Alpha over DOW
=0.00
β
Beta against DOW=0.00
σ
Overall volatility
=0.88
Ir
Information ratio =0.00

Actual Return Volatility

PIMCO RAFI Dyn Mlt Fctr Emrg Mkts Eq ETF inherits 0.8778% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.0% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

PIMCO RAFI Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

30 Days Economic Sensitivity

Market Insensitive

Investment Outlook

PIMCO RAFI Investment Opportunity
PIMCO RAFI Dyn Mlt Fctr Emrg Mkts Eq ETF has a volatility of 0.88 and is 9.223372036854776E16 times more volatile than DOW. 8% 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 8 (%) of all global equities and portfolios over the last 30 days.

Volatility Indicators

PIMCO RAFI Current Risk Indicators
Please see also Stocks Correlation. Please also try Portfolio Quick Import module to import or update all your transactions via one easy-to-use interface.