PIMCO Sel (Ireland) Risk Analysis And Volatility Evaluation

F00000TQP0 -- Ireland Fund  

JPY 984.00  1.00  0.10%

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 Trend
Check current 30 days PIMCO Sel correlation with market (DOW)
β = 0.0166

PIMCO Sel Central Daily Price Deviation

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.

PIMCO Sel Projected Return Density Against Market

Assuming 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 
      Returns 
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
α
Alpha over DOW
=0.02
β
Beta against DOW=0.0166
σ
Overall volatility
=0.24
Ir
Information ratio =0.40

PIMCO Sel Return Volatility

PIMCO 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.
 Performance (%) 
      Timeline 

Market Risk Breakdown

PIMCO Sel Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

PIMCO Sel Investment Opportunity

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

correlation synergy
Significant 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.

PIMCO Sel Volatility Indicators

PIMCO Sel Eurodoll Hi Qual InstJPYHdgAcc Current Risk Indicators

Additionally see Investing Opportunities. Please also try Money Managers module to screen money managers from public funds and etfs managed around the world.
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