Pimco Fundamental Advantage Fund Market Value
| PTFAX Fund | USD 8.20 0.02 0.24% |
| Symbol | PIMCO |
Pimco Fundamental '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 Fundamental'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 Fundamental.
| 01/26/2024 |
| 04/25/2024 |
If you would invest 0.00 in Pimco Fundamental on January 26, 2024 and sell it all today you would earn a total of 0.00 from holding Pimco Fundamental Advantage or generate 0.0% return on investment in Pimco Fundamental over 90 days. Pimco Fundamental is related to or competes with Victory Market, Victory Cemp, Victory Cemp, Blackrock Global, and Blackrock Global. The fund seeks to achieve its investment objective under normal circumstances by obtaining long exposure to a portfolio ... More
Pimco Fundamental 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 Fundamental'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 Fundamental Advantage upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.4923 | |||
| Information Ratio | (0.12) | |||
| Maximum Drawdown | 3.39 | |||
| Value At Risk | (0.50) | |||
| Potential Upside | 0.7585 |
Pimco Fundamental Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Pimco Fundamental's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Pimco Fundamental's standard deviation. In reality, there are many statistical measures that can use Pimco Fundamental historical prices to predict the future Pimco Fundamental's volatility.| Risk Adjusted Performance | 0.0413 | |||
| Jensen Alpha | 0.0157 | |||
| Total Risk Alpha | (0.04) | |||
| Sortino Ratio | (0.12) | |||
| Treynor Ratio | 0.2311 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Pimco Fundamental'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 Fundamental Backtested Returns
We consider Pimco Fundamental very steady. Pimco Fundamental maintains Sharpe Ratio (i.e., Efficiency) of 0.0626, which implies the entity had a 0.0626% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Pimco Fundamental, which you can use to evaluate the volatility of the fund. Please check Pimco Fundamental's Coefficient Of Variation of 1420.7, semi deviation of 0.4076, and Risk Adjusted Performance of 0.0413 to confirm if the risk estimate we provide is consistent with the expected return of 0.031%. The fund holds a Beta of 0.11, which implies not very significant fluctuations relative to the market. As returns on the market increase, Pimco Fundamental's returns are expected to increase less than the market. However, during the bear market, the loss of holding Pimco Fundamental is expected to be smaller as well.
Auto-correlation | -0.62 |
Very good reverse predictability
Pimco Fundamental Advantage has very good reverse predictability. Overlapping area represents the amount of predictability between Pimco Fundamental time series from 26th of January 2024 to 11th of March 2024 and 11th of March 2024 to 25th of April 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 Fundamental price movement. The serial correlation of -0.62 indicates that roughly 62.0% of current Pimco Fundamental price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.62 | |
| Spearman Rank Test | 0.0 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Pimco Fundamental lagged returns against current returns
Autocorrelation, which is Pimco Fundamental 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 Fundamental's mutual fund expected returns. We can calculate the autocorrelation of Pimco Fundamental returns to help us make a trade decision. For example, suppose you find that Pimco Fundamental 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 Fundamental 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 Fundamental mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Pimco Fundamental 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 Fundamental mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Pimco Fundamental Lagged Returns
When evaluating Pimco Fundamental's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Pimco Fundamental mutual fund have on its future price. Pimco Fundamental 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 Fundamental autocorrelation shows the relationship between Pimco Fundamental mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Pimco Fundamental Advantage.
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 Fundamental 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 Fundamental's short interest history, or implied volatility extrapolated from Pimco Fundamental options trading.
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Check out Pimco Fundamental Correlation, Pimco Fundamental Volatility and Pimco Fundamental Alpha and Beta module to complement your research on Pimco Fundamental. Note that the Pimco Fundamental information on this page should be used as a complementary analysis to other Pimco Fundamental's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Funds Screener module to find actively-traded funds from around the world traded on over 30 global exchanges.
Pimco Fundamental 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.