Macroaxis considers PIMCO Sel unknown risk given 2 months investment horizon. PIMCO Sel Eurodoll maintains Sharpe Ratio (i.e. Efficiency) of 0.866 which implies PIMCO Sel Eurodoll had 0.866% of return per unit of volatility over the last 2 months. 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 Sel Eurodoll which you can use to evaluate future volatility of the fund. Please employ PIMCO Sel Eurodoll Risk Adjusted Performance of
(0.046752) to confirm if our risk estimates are consistent with your expectations.
|Horizon||30 Days Login to change|
PIMCO Sel Market Sensitivity
|As returns on market increase, PIMCO Sel returns are expected to increase less than the market. However during bear market, the loss on holding PIMCO Sel will be expected to be smaller as well.2 Months Beta |Analyze PIMCO Sel Eurodoll Demand TrendCheck current 30 days PIMCO Sel correlation with market (DOW)|
β = 0.0166
PIMCO Sel Central Daily Price Deviation
PIMCO Sel Eurodoll Technical Analysis
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PIMCO Sel Projected Return Density Against MarketAssuming 30 trading days horizon, PIMCO Sel has beta of 0.0166 suggesting as returns on market go up, PIMCO Sel average returns are expected to increase less than the benchmark. However during bear market, the loss on holding PIMCO Sel Eurodoll Hi Qual InstJPYHdgAcc will be expected to be much smaller as well. Additionally, PIMCO Sel Eurodoll Hi Qual InstJPYHdgAcc 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
Assuming 30 trading days horizon, the coefficient of variation of PIMCO Sel is 115.47. The daily returns are destributed with a variance of 0.06 and standard deviation of 0.24. The mean deviation of PIMCO Sel Eurodoll Hi Qual InstJPYHdgAcc is currently at 0.2. For similar time horizon, the selected benchmark (DOW) has volatility of 1.3
|Alpha over DOW||=||0.02|
|Beta against DOW||=||0.0166|
PIMCO Sel Return VolatilityPIMCO Sel Eurodoll Hi Qual InstJPYHdgAcc accepts 0.2361% volatility on return distribution over the 30 days horizon. DOW inherits 1.3487% risk (volatility on return distribution) over the 30 days horizon.
DOW has a standard deviation of returns of 1.35 and is 5.63 times more volatile than PIMCO Sel Eurodoll Hi Qual InstJPYHdgAcc. 2% of all equities and portfolios are less risky than PIMCO Sel. Compared to the overall equity markets, volatility of historical daily returns of PIMCO Sel Eurodoll Hi Qual InstJPYHdgAcc is lower than 2 (%) of all global equities and portfolios over the last 30 days. Use PIMCO Sel Eurodoll Hi Qual InstJPYHdgAcc to enhance returns of your portfolios. The fund experiences normal upward fluctuation. Check odds of PIMCO Sel to be traded at ¥1033.2 in 30 days. As returns on market increase, PIMCO Sel returns are expected to increase less than the market. However during bear market, the loss on holding PIMCO Sel will be expected to be smaller as well.
PIMCO Sel correlation with market