PIMCO Equitiy Backtesting

MFEM -- USA ETF  

USD 23.23  0.20  0.87%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of PIMCO Equitiy Series PIMCO RAFI and determine expected loss or profit from investing in PIMCO Equitiy over given investment horizon. Please see also PIMCO Equitiy Hype Analysis, PIMCO Equitiy Correlation, Portfolio Optimization, PIMCO Equitiy Volatility as well as analyze PIMCO Equitiy Alpha and Beta and PIMCO Equitiy Performance.
Horizon     30 Days    Login   to change
SymbolX
Backtest

PIMCO Equitiy 'What if' Analysis

June 22, 2019
0.00
No Change 0.00  0.0%
In 2 months and 31 days
September 20, 2019
0.00
If you would invest  0.00  in PIMCO Equitiy on June 22, 2019 and sell it all today you would earn a total of 0.00 from holding PIMCO Equitiy Series PIMCO RAFI or generate 0.0% return on investment in PIMCO Equitiy over 90 days. PIMCO Equitiy is related to or competes with Franklin FTSE, ProShares Ultra, ProShares Ultra, Portfolio, First Trust, AlphaMark Actively, and First Trust. The investment seeks to track the investment results of the RAFI Dynamic Multi-Factor Emerging Markets Index

PIMCO Equitiy Upside/Downside Indicators

Information Ratio(0.10)
Maximum Drawdown4.05
Value At Risk(1.33)
Potential Upside1.03

PIMCO Equitiy Market Premium Indicators

Risk Adjusted Performance(0.048613)
Jensen Alpha(0.06)
Total Risk Alpha(0.08)
Treynor Ratio(0.50)

PIMCO Equitiy Series Backtested Returns

Macroaxis considers PIMCO Equitiy to be very steady. PIMCO Equitiy Series maintains Sharpe Ratio (i.e. Efficiency) of -0.0723 which implies the entity had -0.0723% of return per unit of volatility over the last 3 months. 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 Equitiy Series exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check PIMCO Equitiy Series Risk Adjusted Performance of (0.048613) to confirm risk estimate we provide. The etf holds Beta of 0.1036 which implies as returns on market increase, PIMCO Equitiy returns are expected to increase less than the market. However during bear market, the loss on holding PIMCO Equitiy will be expected to be smaller as well. Even though it is essential to pay attention to PIMCO Equitiy Series current trending patterns, it is always good to be careful when utilizing equity existing price patterns. Macroaxis approach towards forecasting future performance of any etf is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. PIMCO Equitiy Series exposes twenty-one different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.75) 
correlation synergy

Almost perfect reverse predictability

PIMCO Equitiy Series PIMCO RAFI has almost perfect reverse predictability. Overlapping area represents the amount of predictability between PIMCO Equitiy time series from June 22, 2019 to August 6, 2019 and August 6, 2019 to September 20, 2019. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of PIMCO Equitiy Series price movement. The serial correlation of -0.75 indicates that around 75.0% of current PIMCO Equitiy price fluctuation can be explain by its past prices. Given that PIMCO Equitiy Series PIMCO RAFI has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of PIMCO Equitiy for similar time interval.
Correlation Coefficient-0.75
Spearman Rank Test-0.27
Residual Average0.0
Price Variance0.22

PIMCO Equitiy Series lagged returns against current returns

 Current and Lagged Values 
      Timeline 

PIMCO Equitiy regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

PIMCO Equitiy Lagged Returns

 Regressed Prices 
      Timeline 

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Please see also PIMCO Equitiy Hype Analysis, PIMCO Equitiy Correlation, Portfolio Optimization, PIMCO Equitiy Volatility as well as analyze PIMCO Equitiy Alpha and Beta and PIMCO Equitiy Performance. Please also try Analyst Recommendations module to analyst recommendations and target price estimates broken down by several categories.
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