PIMCO 1 Risk Analysis And Volatility Evaluation

STPZ -- USA Etf  

USD 51.09  0.01  0.0196%

Macroaxis considers PIMCO 1 to be not too risky. PIMCO 1 5 maintains Sharpe Ratio (i.e. Efficiency) of -0.2218 which implies PIMCO 1 5 had -0.2218% 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-eight 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 0.41 to confirm risk estimate we provide.
Horizon     30 Days    Login   to change

PIMCO 1 Market Sensitivity

As returns on market increase, PIMCO 1 returns are expected to increase less than the market. However during bear market, the loss on holding PIMCO 1 will be expected to be smaller as well.
One Month Beta |Analyze PIMCO 1 5 Demand Trend
Check current 30 days PIMCO 1 correlation with market (DOW)
β = 0.0149
PIMCO 1 Small BetaPIMCO 1 5 Beta Legend

PIMCO 1 5 Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. PIMCO 1 5 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.

PIMCO 1 Projected Return Density Against Market

Given the investment horizon of 30 days, PIMCO 1 has beta of 0.0149 . This entails as returns on market go up, PIMCO 1 average returns are expected to increase less than the benchmark. However during bear market, the loss on holding PIMCO 1 5 Year US TIPS ETF will be expected to be much smaller as well. Additionally, PIMCO 1 5 Year US TIPS ETF has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW
 Predicted Return Density 
      Returns 
Given the investment horizon of 30 days, the coefficient of variation of PIMCO 1 is -450.9. The daily returns are destributed with a variance of 0.0 and standard deviation of 0.06. The mean deviation of PIMCO 1 5 Year US TIPS ETF is currently at 0.04. For similar time horizon, the selected benchmark (DOW) has volatility of 1.09
α
Alpha over DOW
=0.02
β
Beta against DOW=0.0149
σ
Overall volatility
=0.06
Ir
Information ratio =2.68

PIMCO 1 Return Volatility

PIMCO 1 5 Year US TIPS ETF inherits 0.056% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 1.0175% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

PIMCO 1 Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

Almost imposible

30 Days Economic Sensitivity

Barely shadows market

Investment Outlook

PIMCO 1 Investment Opportunity

DOW has a standard deviation of returns of 1.02 and is 17.0 times more volatile than PIMCO 1 5 Year US TIPS ETF. 0% 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 0 (%) of all global equities and portfolios over the last 30 days. Use PIMCO 1 5 Year US TIPS ETF to protect against small markets fluctuations. The etf experiences normal downward trend and little activity. Check odds of PIMCO 1 to be traded at $50.58 in 30 days. As returns on market increase, PIMCO 1 returns are expected to increase less than the market. However during bear market, the loss on holding PIMCO 1 will be expected to be smaller as well.

PIMCO 1 correlation with market

Modest diversification
Overlapping area represents the amount of risk that can be diversified away by holding PIMCO 1 5 Year US TIPS ETF and equity matching DJI index in the same portfolio.

PIMCO 1 Volatility Indicators

PIMCO 1 5 Year US TIPS ETF Current Risk Indicators

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