PIMCO Select (Ireland) Risk Analysis And Volatility Evaluation

F00000MFAK -- Ireland Fund  

GBp 1,430  4.00  0.28%

We consider PIMCO Select unknown risk. PIMCO Select UK maintains Sharpe Ratio (i.e. Efficiency) of 9.0E-4 which implies PIMCO Select UK had 9.0E-4% of return per unit of volatility over the last 1 month. Our approach towards forecasting volatility of a fund is to use all available market data together with fund specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for PIMCO Select UK which you can use to evaluate future volatility of the fund. Please check PIMCO Select UK Risk Adjusted Performance of 0.0362 to confirm if risk estimate we provide are consistent with the epected return of 2.0E-4%.
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 = -0.0039
PIMCO Select Almost negative betaPIMCO Select UK Beta Legend

PIMCO Select UK Technical Analysis

Transformation
We are not able to run technical analysis function on this symbol. We either do not have that equity or its historical data is not available at this time. Please try again later.

PIMCO Select Projected Return Density Against Market

Assuming 30 trading days horizon, PIMCO Select UK Income Bond Inst Acc has beta of -0.0039 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 0.0057 implying that it can potentially generate 0.0057% 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 114350.4. The daily returns are destributed with a variance of 0.05 and standard deviation of 0.23. The mean deviation of PIMCO Select UK Income Bond Inst Acc is currently at 0.14. For similar time horizon, the selected benchmark (DOW) has volatility of 0.45
α
Alpha over DOW
=0.0057
β
Beta against DOW=0.0039
σ
Overall volatility
=0.23
Ir
Information ratio =1.83

PIMCO Select Return Volatility

PIMCO Select UK Income Bond Inst Acc accepts 0.2287% volatility on return distribution over the 30 days horizon. DOW inherits 0.444% 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 0.44 and is 1.91 times more volatile than PIMCO Select UK Income Bond Inst Acc. 2% 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 2 (%) of all global equities and portfolios over the last 30 days. Use PIMCO Select UK Income Bond Inst Acc to enhance returns of your portfolios. The fund experiences normal upward fluctuation. Check odds of PIMCO Select to be traded at p;1501.5 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.

PIMCO Select Volatility Indicators

PIMCO Select UK Income Bond Inst Acc Current Risk Indicators

Additionally see Investing Opportunities. Please also try Correlation Analysis module to reduce portfolio risk simply by holding instruments which are not perfectly correlated.
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