PIMCO Sel (Ireland) Risk Analysis And Volatility Evaluation

F00000TQP0 -- Ireland Fund  

JPY 986.00  2.00  0.20%

We consider PIMCO Sel unknown risk. PIMCO Sel Eurodoll maintains Sharpe Ratio (i.e. Efficiency) of 0.5774 which implies PIMCO Sel Eurodoll had 0.5774% 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 company 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 check PIMCO Sel Eurodoll Risk Adjusted Performance of 0.0359 to confirm if risk estimate we provide are consistent with the epected return of 0.1699%.
 Time Horizon     30 Days    Login   to change

PIMCO Sel Market Sensitivity

As returns on market increase, returns on owning PIMCO Sel are expected to decrease at a much smaller rate. During bear market, PIMCO Sel is likely to outperform the market.
One Month Beta |Analyze PIMCO Sel Eurodoll Demand Trend
Check current 30 days PIMCO Sel correlation with market (DOW)
β = -0.0686
PIMCO Sel Almost negative betaPIMCO Sel Eurodoll Beta Legend

PIMCO Sel Eurodoll 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.

Projected Return Density Against Market

Assuming 30 trading days horizon, PIMCO Sel Eurodoll Hi Qual InstJPYHdgAcc has beta of -0.0686 suggesting as returns on benchmark increase, returns on holding PIMCO Sel are expected to decrease at a much smaller rate. During bear market, however, PIMCO Sel Eurodoll Hi Qual InstJPYHdgAcc is likely to outperform the market. 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 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of PIMCO Sel is 173.21. The daily returns are destributed with a variance of 0.09 and standard deviation of 0.29. The mean deviation of PIMCO Sel Eurodoll Hi Qual InstJPYHdgAcc is currently at 0.23. For similar time horizon, the selected benchmark (DOW) has volatility of 0.56
α
Alpha over DOW
=0.04
β
Beta against DOW=0.07
σ
Overall volatility
=0.29
Ir
Information ratio =0.19

Actual Return Volatility

PIMCO Sel Eurodoll Hi Qual InstJPYHdgAcc accepts 0.2943% volatility on return distribution over the 30 days horizon. DOW inherits 0.5506% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

PIMCO Sel Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

PIMCO Sel Investment Opportunity
DOW has a standard deviation of returns of 0.55 and is 1.9 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 protect against small markets fluctuations. The fund experiences normal downward trend and little activity. Check odds of PIMCO Sel to be traded at ¥976.14 in 30 days. As returns on market increase, returns on owning PIMCO Sel are expected to decrease at a much smaller rate. During bear market, PIMCO Sel is likely to outperform the market.

PIMCO Sel correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding PIMCO Sel Eurodoll Hi Qual Ins and equity matching DJI index in the same portfolio.

Volatility Indicators

PIMCO Sel Current Risk Indicators
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