PIMCO Equitiy Risk Analysis

PIMCO Equitiy Series RAFI Dynamic Multi-Factor Emerging Markets Equity -- USA Etf  

USD 27.6  0.28  1.02%

Macroaxis considers PIMCO Equitiy not too risky given 1 month investment horizon. PIMCO Equitiy Series maintains Sharpe Ratio (i.e. Efficiency) of 0.6705 which implies PIMCO Equitiy Series had 0.6705% 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-eight 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 0.3029 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 Trend
Check current 30 days PIMCO Equitiy correlation with market (DOW)
β = -0.3683
PIMCO Equitiy Almost negative betaPIMCO Equitiy Series Beta Legend

PIMCO Equitiy Series Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. PIMCO Equitiy Series 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 Equitiy Series RAFI Dynamic Multi-Factor Emerging Markets Equity has beta of -0.3683 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 0.4347 implying that it can potentially generate 0.4347% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Given the investment horizon of 30 days, the coefficient of variation of PIMCO Equitiy is 149.14. The daily returns are destributed with a variance of 0.22 and standard deviation of 0.47. The mean deviation of PIMCO Equitiy Series RAFI Dynamic Multi-Factor Emerging Markets Equity is currently at 0.39. For similar time horizon, the selected benchmark (DOW) has volatility of 0.39
α
Alpha over DOW
=0.43
β
Beta against DOW=0.37
σ
Overall volatility
=0.47
Ir
Information ratio =0.27

Actual Return Volatility

PIMCO Equitiy Series RAFI Dynamic Multi-Factor Emerging Markets Equity inherits 0.4742% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.3852% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

PIMCO Equitiy Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

Very low

30 Days Economic Sensitivity

Almost neglects market

Largest Trends

PIMCO Equitiy Largest Period Trend

Investment Outlook

PIMCO Equitiy Investment Opportunity
PIMCO Equitiy Series RAFI Dynamic Multi-Factor Emerging Markets Equity has a volatility of 0.47 and is 1.21 times more volatile than DOW. 4% of all equities and portfolios are less risky than PIMCO Equitiy. Compared to the overall equity markets, volatility of historical daily returns of PIMCO Equitiy Series RAFI Dynamic Multi-Factor Emerging Markets Equity is lower than 4 (%) of all global equities and portfolios over the last 30 days. Use PIMCO Equitiy Series RAFI Dynamic Multi-Factor Emerging Markets Equity to enhance returns of your portfolios. The etf experiences large bullish trend. Check odds of PIMCO Equitiy to be traded at $30.36 in 30 days. 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.

PIMCO Equitiy correlation with market

Very good diversification
Overlapping area represents the amount of risk that can be diversified away by holding PIMCO Equitiy Series RAFI Dyna and equity matching DJI index in the same portfolio.

Volatility Indicators

PIMCO Equitiy Current Risk Indicators