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 TrendCheck current 30 days PIMCO GIS correlation with market (DOW)|
β = 0.0017
PIMCO GIS Central Daily Price Deviation
PIMCO GIS RAE Technical Analysis
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PIMCO GIS Projected Return Density Against MarketAssuming 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
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
|Alpha over DOW||=||0.024|
|Beta against DOW||=||0.0017|
PIMCO GIS Return VolatilityPIMCO 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.
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.