Pimco Commodityrealreturn Strategy Fund Market Value
| PCRNX Fund | USD 13.26 0.16 1.19% |
| Symbol | PIMCO |
Pimco Commodityrealret 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to Pimco Commodityrealret's mutual fund what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of Pimco Commodityrealret.
| 04/07/2024 |
| 05/07/2024 |
If you would invest 0.00 in Pimco Commodityrealret on April 7, 2024 and sell it all today you would earn a total of 0.00 from holding Pimco Commodityrealreturn Strategy or generate 0.0% return on investment in Pimco Commodityrealret over 30 days. Pimco Commodityrealret is related to or competes with Pimco Rae, Pimco Rae, Pimco Rae, Pimco Rae, Pimco Foreign, Pimco Preferred, and Pimco Fundamental. The fund seeks to achieve its investment objective by investing under normal circumstances in commodity-linked derivativ... More
Pimco Commodityrealret Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure Pimco Commodityrealret's mutual fund current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess Pimco Commodityrealreturn Strategy upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.6637 | |||
| Information Ratio | (0.04) | |||
| Maximum Drawdown | 3.33 | |||
| Value At Risk | (1.01) | |||
| Potential Upside | 0.9174 |
Pimco Commodityrealret Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Pimco Commodityrealret's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Pimco Commodityrealret's standard deviation. In reality, there are many statistical measures that can use Pimco Commodityrealret historical prices to predict the future Pimco Commodityrealret's volatility.| Risk Adjusted Performance | 0.0503 | |||
| Jensen Alpha | 0.0438 | |||
| Total Risk Alpha | (0.02) | |||
| Sortino Ratio | (0.04) | |||
| Treynor Ratio | (0.59) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Pimco Commodityrealret's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Pimco Commodityrealret Backtested Returns
We consider Pimco Commodityrealret very steady. Pimco Commodityrealret maintains Sharpe Ratio (i.e., Efficiency) of 0.14, which implies the entity had a 0.14% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Pimco Commodityrealret, which you can use to evaluate the volatility of the fund. Please check Pimco Commodityrealret's Risk Adjusted Performance of 0.0503, semi deviation of 0.6116, and Coefficient Of Variation of 1237.91 to confirm if the risk estimate we provide is consistent with the expected return of 0.088%. The fund holds a Beta of -0.0671, which implies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Pimco Commodityrealret are expected to decrease at a much lower rate. During the bear market, Pimco Commodityrealret is likely to outperform the market.
Auto-correlation | 0.70 |
Good predictability
Pimco Commodityrealreturn Strategy has good predictability. Overlapping area represents the amount of predictability between Pimco Commodityrealret time series from 7th of April 2024 to 22nd of April 2024 and 22nd of April 2024 to 7th of May 2024. 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 Commodityrealret price movement. The serial correlation of 0.7 indicates that around 70.0% of current Pimco Commodityrealret price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.7 | |
| Spearman Rank Test | 0.5 | |
| Residual Average | 0.0 | |
| Price Variance | 0.02 |
Pimco Commodityrealret lagged returns against current returns
Autocorrelation, which is Pimco Commodityrealret mutual fund's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting Pimco Commodityrealret's mutual fund expected returns. We can calculate the autocorrelation of Pimco Commodityrealret returns to help us make a trade decision. For example, suppose you find that Pimco Commodityrealret has exhibited high autocorrelation historically, and you observe that the mutual fund is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
Pimco Commodityrealret regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If Pimco Commodityrealret mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Pimco Commodityrealret mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Pimco Commodityrealret mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Pimco Commodityrealret Lagged Returns
When evaluating Pimco Commodityrealret's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Pimco Commodityrealret mutual fund have on its future price. Pimco Commodityrealret autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, Pimco Commodityrealret autocorrelation shows the relationship between Pimco Commodityrealret mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Pimco Commodityrealreturn Strategy.
Regressed Prices |
| Timeline |
Some investors attempt to determine whether the market's mood is bullish or bearish by monitoring changes in market sentiment. Unlike more traditional methods such as technical analysis, investor sentiment usually refers to the aggregate attitude towards Pimco Commodityrealret in the overall investment community. So, suppose investors can accurately measure the market's sentiment. In that case, they can use it for their benefit. For example, some tools to gauge market sentiment could be utilized using contrarian indexes, Pimco Commodityrealret's short interest history, or implied volatility extrapolated from Pimco Commodityrealret options trading.
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Align your risk with return expectations
Check out Pimco Commodityrealret Correlation, Pimco Commodityrealret Volatility and Pimco Commodityrealret Alpha and Beta module to complement your research on Pimco Commodityrealret. You can also try the Equity Valuation module to check real value of public entities based on technical and fundamental data.
Pimco Commodityrealret technical mutual fund analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, fund market cycles, or different charting patterns.