PIMCO GIS (Ireland) Risk Analysis And Volatility Evaluation

F00000PA9Y -- Ireland Fund  

EUR 8.72  0.14  1.58%

Macroaxis considers PIMCO GIS to be unknown risk. PIMCO GIS Glbl maintains Sharpe Ratio (i.e. Efficiency) of -0.1049 which implies PIMCO GIS Glbl had -0.1049% 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 GIS Glbl exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check PIMCO GIS Glbl Risk Adjusted Performance of 0.25 to confirm risk estimate we provide.
Horizon     30 Days    Login   to change

PIMCO GIS Market Sensitivity

As returns on market increase, returns on owning PIMCO GIS are expected to decrease at a much smaller rate. During bear market, PIMCO GIS is likely to outperform the market.
One Month Beta |Analyze PIMCO GIS Glbl Demand Trend
Check current 30 days PIMCO GIS correlation with market (DOW)
β = -0.1432
PIMCO GIS Almost negative betaPIMCO GIS Glbl Beta Legend

PIMCO GIS Glbl Technical Analysis

Transformation
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PIMCO GIS Projected Return Density Against Market

Assuming 30 trading days horizon, PIMCO GIS Glbl AdvRlRet E EURPrtly H Acc has beta of -0.1432 suggesting as returns on benchmark increase, returns on holding PIMCO GIS are expected to decrease at a much smaller rate. During bear market, however, PIMCO GIS Glbl AdvRlRet E EURPrtly H Acc is likely to outperform the market. Additionally, PIMCO GIS Glbl AdvRlRet E EURPrtly H Acc has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of PIMCO GIS is -953.06. The daily returns are destributed with a variance of 0.63 and standard deviation of 0.8. The mean deviation of PIMCO GIS Glbl AdvRlRet E EURPrtly H Acc is currently at 0.53. For similar time horizon, the selected benchmark (DOW) has volatility of 1.02
α
Alpha over DOW
=0.23
β
Beta against DOW=0.14
σ
Overall volatility
=0.80
Ir
Information ratio =0.07

PIMCO GIS Return Volatility

PIMCO GIS Glbl AdvRlRet E EURPrtly H Acc accepts 0.7953% volatility on return distribution over the 30 days horizon. DOW inherits 1.023% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

PIMCO GIS Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

PIMCO GIS Investment Opportunity

DOW has a standard deviation of returns of 1.02 and is 1.27 times more volatile than PIMCO GIS Glbl AdvRlRet E EURPrtly H Acc. 7% of all equities and portfolios are less risky than PIMCO GIS. Compared to the overall equity markets, volatility of historical daily returns of PIMCO GIS Glbl AdvRlRet E EURPrtly H Acc is lower than 7 (%) of all global equities and portfolios over the last 30 days. Use PIMCO GIS Glbl AdvRlRet E EURPrtly H Acc to protect against small markets fluctuations. The fund experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of PIMCO GIS to be traded at €8.46 in 30 days. As returns on market increase, returns on owning PIMCO GIS are expected to decrease at a much smaller rate. During bear market, PIMCO GIS is likely to outperform the market.

PIMCO GIS correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding PIMCO GIS Glbl AdvRlRet E EURP and equity matching DJI index in the same portfolio.

PIMCO GIS Volatility Indicators

PIMCO GIS Glbl AdvRlRet E EURPrtly H Acc Current Risk Indicators

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