PIMCO GIS (Ireland) Risk Analysis And Volatility Evaluation

FOGBR05KHR -- Ireland Fund  

 6.41  0.05  0.79%

We consider PIMCO GIS unknown risk. PIMCO GIS Commodity maintains Sharpe Ratio (i.e. Efficiency) of 0.0697 which implies PIMCO GIS Commodity had 0.0697% 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 GIS Commodity which you can use to evaluate future volatility of the fund. Please check PIMCO GIS Commodity Risk Adjusted Performance of 0.02327 to confirm if risk estimate we provide are consistent with the epected return of 0.0403%.
Horizon     30 Days    Login   to change

PIMCO GIS Market Sensitivity

As returns on market increase, PIMCO GIS returns are expected to increase less than the market. However during bear market, the loss on holding PIMCO GIS will be expected to be smaller as well.
One Month Beta |Analyze PIMCO GIS Commodity Demand Trend
Check current 30 days PIMCO GIS correlation with market (DOW)
β = 0.1441
PIMCO GIS Small BetaPIMCO GIS Commodity Beta Legend

PIMCO GIS Commodity Technical Analysis

Transformation
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PIMCO GIS Projected Return Density Against Market

Assuming 30 trading days horizon, PIMCO GIS has beta of 0.1441 suggesting as returns on market go up, PIMCO GIS average returns are expected to increase less than the benchmark. However during bear market, the loss on holding PIMCO GIS Commodity Real Ret Int USD Acc will be expected to be much smaller as well. Additionally, PIMCO GIS Commodity Real Ret Int USD 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 1434.23. The daily returns are destributed with a variance of 0.33 and standard deviation of 0.58. The mean deviation of PIMCO GIS Commodity Real Ret Int USD Acc is currently at 0.37. For similar time horizon, the selected benchmark (DOW) has volatility of 0.39
α
Alpha over DOW
=0.06
β
Beta against DOW=0.14
σ
Overall volatility
=0.58
Ir
Information ratio =0.26

PIMCO GIS Return Volatility

PIMCO GIS Commodity Real Ret Int USD Acc accepts 0.578% volatility on return distribution over the 30 days horizon. DOW inherits 0.3914% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

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Investment Outlook

PIMCO GIS Investment Opportunity

PIMCO GIS Commodity Real Ret Int USD Acc has a volatility of 0.58 and is 1.49 times more volatile than DOW. 5% 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 Commodity Real Ret Int USD Acc is lower than 5 (%) of all global equities and portfolios over the last 30 days. Use PIMCO GIS Commodity Real Ret Int USD Acc to enhance returns of your portfolios. The fund experiences moderate upward volatility. Check odds of PIMCO GIS to be traded at 7.05 in 30 days. As returns on market increase, PIMCO GIS returns are expected to increase less than the market. However during bear market, the loss on holding PIMCO GIS will be expected to be smaller as well.

PIMCO GIS correlation with market

Average diversification
Overlapping area represents the amount of risk that can be diversified away by holding PIMCO GIS Commodity Real Ret I and equity matching DJI index in the same portfolio.

PIMCO GIS Volatility Indicators

PIMCO GIS Commodity Real Ret Int USD Acc Current Risk Indicators

Additionally see Investing Opportunities. Please also try Pair Correlation module to compare performance and examine historical correlation between any two equity instruments.
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