We consider PIMCO 1 not too risky. PIMCO 1 5 maintains Sharpe Ratio (i.e. Efficiency) of 0.0044 which implies the entity had 0.0044% of return per unit of volatility over the last 2 months. Our approach towards forecasting volatility of an etf is to use all available market data together with etf specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for PIMCO 1 5 which you can use to evaluate future volatility of the etf. Please check PIMCO 1 5 Risk Adjusted Performance of
(0.15) to confirm if risk estimate we provide are consistent with the epected return of 6.0E-4%.
|Horizon||30 Days Login to change|
PIMCO 1 Market Sensitivity
|As returns on market increase, returns on owning PIMCO 1 are expected to decrease at a much smaller rate. During bear market, PIMCO 1 is likely to outperform the market. 2 Months Beta |Analyze PIMCO 1 5 Demand TrendCheck current 30 days PIMCO 1 correlation with market (DOW)|
β = -0.0017
PIMCO 1 Central Daily Price Deviation
PIMCO 1 5 Technical Analysis
PIMCO 1 Projected Return Density Against MarketGiven the investment horizon of 30 days, PIMCO 1 5 Year US TIPS ETF has beta of -0.0017 . This entails as returns on benchmark increase, returns on holding PIMCO 1 are expected to decrease at a much smaller rate. During bear market, however, PIMCO 1 5 Year US TIPS ETF is likely to outperform the market. Additionally, The company has a negative alpha implying that the risk taken by holding this equity is not justified. PIMCO 1 5 is significantly underperforming DOW.
Predicted Return Density
Given the investment horizon of 30 days, the coefficient of variation of PIMCO 1 is 22567.65. The daily returns are destributed with a variance of 0.02 and standard deviation of 0.13. The mean deviation of PIMCO 1 5 Year US TIPS ETF is currently at 0.1. For similar time horizon, the selected benchmark (DOW) has volatility of 1.94
|Alpha over DOW||=||0.01|
|Beta against DOW||=||0.0017|
PIMCO 1 Return Volatilitythe ETF inherits 0.1286% risk (volatility on return distribution) over the 30 days horizon. the entity inherits 1.9997% risk (volatility on return distribution) over the 30 days horizon.
DOW has a standard deviation of returns of 2.0 and is 15.38 times more volatile than PIMCO 1 5 Year US TIPS ETF. 1% of all equities and portfolios are less risky than PIMCO 1. Compared to the overall equity markets, volatility of historical daily returns of PIMCO 1 5 Year US TIPS ETF is lower than 1 (%) of all global equities and portfolios over the last 30 days. Use PIMCO 1 5 Year US TIPS ETF to protect your portfolios against small markets fluctuations. The etf experiences normal downward trend and little activity. Check odds of PIMCO 1 to be traded at $50.49 in 30 days. . As returns on market increase, returns on owning PIMCO 1 are expected to decrease at a much smaller rate. During bear market, PIMCO 1 is likely to outperform the market.
PIMCO 1 correlation with market