PIMCO GIS (Ireland) Risk Analysis And Volatility Evaluation

IE00BYM11F05 -- Ireland Fund  

EUR 10.84  0.00  0.00%

Macroaxis considers PIMCO GIS to be unknown risk. PIMCO GIS RAE maintains Sharpe Ratio (i.e. Efficiency) of -0.5774 which implies PIMCO GIS RAE had -0.5774% of return per unit of volatility over the last 2 months. 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 RAE 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 RAE Risk Adjusted Performance of 0.0374 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.
2 Months Beta |Analyze PIMCO GIS RAE Demand Trend
Check current 30 days PIMCO GIS correlation with market (DOW)
β = 0.0017

PIMCO GIS Central Daily Price Deviation

PIMCO GIS RAE 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 GIS Projected Return Density Against Market

Assuming 30 trading days horizon, PIMCO GIS has beta of 0.0017 . 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 RAE Fundamental Glbl will be expected to be much smaller as well. Moreover, PIMCO GIS RAE Fundamental Glbl has an alpha of 0.024 implying that it can potentially generate 0.024% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of PIMCO GIS is -173.21. The daily returns are destributed with a variance of 1.69 and standard deviation of 1.3. The mean deviation of PIMCO GIS RAE Fundamental Glbl is currently at 1.0. For similar time horizon, the selected benchmark (DOW) has volatility of 1.29
α
Alpha over DOW
=0.024
β
Beta against DOW=0.0017
σ
Overall volatility
=1.30
Ir
Information ratio =0.12

PIMCO GIS Return Volatility

PIMCO GIS RAE Fundamental Glbl accepts 1.3015% volatility on return distribution over the 30 days horizon. DOW inherits 1.2919% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

PIMCO GIS Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

PIMCO GIS Investment Opportunity

PIMCO GIS RAE Fundamental Glbl has a volatility of 1.3 and is 1.01 times more volatile than DOW. 11% 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 RAE Fundamental Glbl is lower than 11 (%) of all global equities and portfolios over the last 30 days.

PIMCO GIS Volatility Indicators

PIMCO GIS RAE Fundamental Glbl Current Risk Indicators

Please also check Risk vs Return Analysis. Please also try Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
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