PIMCO Select (Ireland) Risk Analysis And Volatility Evaluation

F00000MFAK -- Ireland Fund  

GBp 1,425  1.00  0.07%

Macroaxis considers PIMCO Select to be unknown risk. PIMCO Select UK maintains Sharpe Ratio (i.e. Efficiency) of -0.5 which implies PIMCO Select UK had -0.5% of return per unit of volatility over the last 1 month. Macroaxis approach towards forecasting risk of any fund is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. PIMCO Select UK exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check PIMCO Select UK Risk Adjusted Performance of 0.0211 to confirm risk estimate we provide.
 Time Horizon     30 Days    Login   to change

PIMCO Select Market Sensitivity

As returns on market increase, returns on owning PIMCO Select are expected to decrease at a much smaller rate. During bear market, PIMCO Select is likely to outperform the market.
One Month Beta |Analyze PIMCO Select UK Demand Trend
Check current 30 days PIMCO Select correlation with market (DOW)
β = -0.0163
PIMCO Select Almost negative betaPIMCO Select UK Beta Legend

PIMCO Select UK Technical Analysis

Transformation
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Projected Return Density Against Market

Assuming 30 trading days horizon, PIMCO Select UK Income Bond Inst Acc has beta of -0.0163 suggesting as returns on benchmark increase, returns on holding PIMCO Select are expected to decrease at a much smaller rate. During bear market, however, PIMCO Select UK Income Bond Inst Acc is likely to outperform the market. Moreover, PIMCO Select UK Income Bond Inst Acc has an alpha of 0.0037 implying that it can potentially generate 0.0037% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of PIMCO Select is -200.0. The daily returns are destributed with a variance of 0.0 and standard deviation of 0.04. The mean deviation of PIMCO Select UK Income Bond Inst Acc is currently at 0.03. For similar time horizon, the selected benchmark (DOW) has volatility of 0.59
α
Alpha over DOW
=0.0037
β
Beta against DOW=0.02
σ
Overall volatility
=0.0351
Ir
Information ratio =1.3

Actual Return Volatility

PIMCO Select UK Income Bond Inst Acc accepts 0.0351% volatility on return distribution over the 30 days horizon. DOW inherits 0.5978% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

PIMCO Select Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

PIMCO Select Investment Opportunity
DOW has a standard deviation of returns of 0.6 and is 15.0 times more volatile than PIMCO Select UK Income Bond Inst Acc. 0% of all equities and portfolios are less risky than PIMCO Select. Compared to the overall equity markets, volatility of historical daily returns of PIMCO Select UK Income Bond Inst Acc is lower than 0 (%) of all global equities and portfolios over the last 30 days. Use PIMCO Select UK Income Bond Inst Acc to protect against small markets fluctuations. The fund experiences normal downward trend and little activity. Check odds of PIMCO Select to be traded at p;1410.75 in 30 days. As returns on market increase, returns on owning PIMCO Select are expected to decrease at a much smaller rate. During bear market, PIMCO Select is likely to outperform the market.

PIMCO Select correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding PIMCO Select UK Income Bond In and equity matching DJI index in the same portfolio.
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