Macroaxis considers PIMCO 1 to be not too risky. PIMCO 1 5 maintains Sharpe Ratio (i.e. Efficiency) of -0.0161 which implies PIMCO 1 5 had -0.0161% 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 1 5 exposes twenty-seven different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check PIMCO 1 5 Risk Adjusted Performance of
(0.039269) and Downside Deviation of 0.0537 to confirm risk estimate we provide.
|Time 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.One Month Beta |Analyze PIMCO 1 5 Demand TrendCheck current 30 days PIMCO 1 correlation with market (DOW)|
β = -0.0677
PIMCO 1 5 Technical Analysis
Projected Return Density Against MarketGiven the investment horizon of 30 days, PIMCO 1 5 Year US TIPS ETF has beta of -0.0677 . 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. Moreover, PIMCO 1 5 Year US TIPS ETF has an alpha of 0.0084 implying that it can potentially generate 0.0084% 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 1 is -6213.71. The daily returns are destributed with a variance of 0.0 and standard deviation of 0.07. The mean deviation of PIMCO 1 5 Year US TIPS ETF is currently at 0.05. For similar time horizon, the selected benchmark (DOW) has volatility of 0.44