PIMCO Foreign Risk Analysis And Volatility

PFUAX -- USA Fund  

USD 9.48  0.00  0.00%

We consider PIMCO Foreign unknown risk. PIMCO Foreign Bond maintains Sharpe Ratio (i.e. Efficiency) of 0.3182 which implies the entity had 0.3182% 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 Foreign Bond which you can use to evaluate future volatility of the fund. Please check PIMCO Foreign Bond Risk Adjusted Performance of (0.09) to confirm if risk estimate we provide are consistent with the epected return of 0.1074%.
Horizon     30 Days    Login   to change

PIMCO Foreign Market Sensitivity

As returns on market increase, PIMCO Foreign returns are expected to increase less than the market. However during bear market, the loss on holding PIMCO Foreign will be expected to be smaller as well.
2 Months Beta |Analyze PIMCO Foreign Bond Demand Trend
Check current 30 days PIMCO Foreign correlation with market (DOW)
β = 0.0079

PIMCO Foreign Central Daily Price Deviation

PIMCO Foreign Bond Technical Analysis

Transformation
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PIMCO Foreign Projected Return Density Against Market

Assuming 30 trading days horizon, PIMCO Foreign has beta of 0.0079 . This implies as returns on market go up, PIMCO Foreign average returns are expected to increase less than the benchmark. However during bear market, the loss on holding PIMCO Foreign Bond A will be expected to be much smaller as well. Additionally, The company has a negative alpha implying that the risk taken by holding this equity is not justified. PIMCO Foreign Bond is significantly underperforming DOW.
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of PIMCO Foreign is 314.24. The daily returns are destributed with a variance of 0.11 and standard deviation of 0.34. The mean deviation of PIMCO Foreign Bond A is currently at 0.27. For similar time horizon, the selected benchmark (DOW) has volatility of 1.74
α
Alpha over DOW
=0.03
β
Beta against DOW=0.0079
σ
Overall volatility
=0.34
Ir
Information ratio =0.63

PIMCO Foreign Return Volatility

the fund shows 0.3374% volatility of returns over 30 trading days. the entity inherits 1.5467% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

PIMCO Foreign Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

PIMCO Foreign Investment Opportunity

DOW has a standard deviation of returns of 1.55 and is 4.56 times more volatile than PIMCO Foreign Bond A. 3% of all equities and portfolios are less risky than PIMCO Foreign. Compared to the overall equity markets, volatility of historical daily returns of PIMCO Foreign Bond A is lower than 3 (%) of all global equities and portfolios over the last 30 days. Use PIMCO Foreign Bond A to protect your portfolios 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 Foreign to be traded at $9.39 in 30 days. . As returns on market increase, PIMCO Foreign returns are expected to increase less than the market. However during bear market, the loss on holding PIMCO Foreign will be expected to be smaller as well.

PIMCO Foreign correlation with market

correlation synergy
Significant diversification
Overlapping area represents the amount of risk that can be diversified away by holding PIMCO Foreign Bond A and equity matching DJI index in the same portfolio.

PIMCO Foreign Volatility Indicators

PIMCO Foreign Bond A Current Risk Indicators

Additionally take a look at Your Equity Center. Please also try Correlation Analysis module to reduce portfolio risk simply by holding instruments which are not perfectly correlated.
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