PIMCO GIS (Ireland) Risk Analysis And Volatility Evaluation

IE00B0V9TH54 -- Ireland Fund  

USD 15.89  0.00  0.00%

Macroaxis considers PIMCO GIS to be unknown risk. PIMCO GIS Global maintains Sharpe Ratio (i.e. Efficiency) of -0.8332 which implies PIMCO GIS Global had -0.8332% 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 Global 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 Global Risk Adjusted Performance of 0.19 to confirm risk estimate we provide.
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 Global Demand Trend
Check current 30 days PIMCO GIS correlation with market (DOW)
β = 9.0E-4
PIMCO GIS Small BetaPIMCO GIS Global Beta Legend

PIMCO GIS Global Technical Analysis

Transformation
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PIMCO GIS Projected Return Density Against Market

Assuming 30 trading days horizon, PIMCO GIS has beta of 9.0E-4 . This indicates 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 Global Bd ex US Instl will be expected to be much smaller as well. Additionally, PIMCO GIS Global Bd ex US Instl 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 -120.02. The daily returns are destributed with a variance of 0.01 and standard deviation of 0.09. The mean deviation of PIMCO GIS Global Bd ex US Instl is currently at 0.08. For similar time horizon, the selected benchmark (DOW) has volatility of 0.39
α
Alpha over DOW
=0.01
β
Beta against DOW=0.0009
σ
Overall volatility
=0.09
Ir
Information ratio =5.29

PIMCO GIS Return Volatility

PIMCO GIS Global Bd ex US Instl accepts 0.0942% volatility on return distribution over the 30 days horizon. DOW inherits 0.3947% 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

Unaffected

Investment Outlook

PIMCO GIS Investment Opportunity

DOW has a standard deviation of returns of 0.39 and is 4.33 times more volatile than PIMCO GIS Global Bd ex US Instl. 0% 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 Global Bd ex US Instl is lower than 0 (%) of all global equities and portfolios over the last 30 days. Use PIMCO GIS Global Bd ex US Instl to protect against small markets fluctuations. The fund experiences normal downward trend, but the immediate impact on correlations cannot be determined at the moment . Check odds of PIMCO GIS to be traded at $15.73 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

Significant diversification
Overlapping area represents the amount of risk that can be diversified away by holding PIMCO GIS Global Bd ex US Inst and equity matching DJI index in the same portfolio.

PIMCO GIS Volatility Indicators

PIMCO GIS Global Bd ex US Instl Current Risk Indicators

Please also check Risk vs Return Analysis. Please also try Commodity Channel Index module to use commodity channel index to analyze current equity momentum.
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