We consider PIMCO RAFI not too risky. PIMCO RAFI Dyn maintains Sharpe Ratio (i.e. Efficiency) of 0.0516 which implies PIMCO RAFI Dyn had 0.0516% 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 RAFI Dyn which you can use to evaluate future volatility of the etf. Please check PIMCO RAFI Dyn Risk Adjusted Performance of 0.0525 and Semi Deviation of 1.19 to confirm if risk estimate we provide are consistent with the epected return of 0.0481%.
|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.One Month Beta |Analyze PIMCO RAFI Dyn Demand TrendCheck current 30 days PIMCO RAFI correlation with market (DOW)|
β = -0.0985
PIMCO RAFI Dyn Technical Analysis
Projected Return Density Against MarketGiven the investment horizon of 30 days, PIMCO RAFI Dyn Mlt Fctr Emrg Mkts Eq ETF has beta of -0.0985 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. Moreover, PIMCO RAFI Dyn Mlt Fctr Emrg Mkts Eq ETF has an alpha of 0.0312 implying that it can potentially generate 0.0312% 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 RAFI is 1938.02. The daily returns are destributed with a variance of 0.87 and standard deviation of 0.93. The mean deviation of PIMCO RAFI Dyn Mlt Fctr Emrg Mkts Eq ETF is currently at 0.66. For similar time horizon, the selected benchmark (DOW) has volatility of 1.04