PIMCO Foreign Risk Analysis And Volatility Evaluation

PFUIX -- USA Fund  

USD 9.77  0.04  0.41%

We consider PIMCO Foreign not too risky. PIMCO Foreign Bond maintains Sharpe Ratio (i.e. Efficiency) of 0.0014 which implies PIMCO Foreign Bond had 0.0014% 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 Foreign Bond which you can use to evaluate future volatility of the fund. Please check PIMCO Foreign Bond Risk Adjusted Performance of 0.002594 and Semi Deviation of 0.3924 to confirm if risk estimate we provide are consistent with the epected return of 4.0E-4%.
Horizon     30 Days    Login   to change

PIMCO Foreign Market Sensitivity

As returns on market increase, returns on owning PIMCO Foreign are expected to decrease at a much smaller rate. During bear market, PIMCO Foreign is likely to outperform the market.
One Month Beta |Analyze PIMCO Foreign Bond Demand Trend
Check current 30 days PIMCO Foreign correlation with market (DOW)
β = -0.1427
PIMCO Foreign Almost negative betaPIMCO Foreign Bond Beta Legend

PIMCO Foreign Bond Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. PIMCO Foreign Bond Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input. View also all equity analysis or get more info about average price price transform indicator.

PIMCO Foreign Projected Return Density Against Market

Assuming 30 trading days horizon, PIMCO Foreign Bond I has beta of -0.1427 . This implies as returns on benchmark increase, returns on holding PIMCO Foreign are expected to decrease at a much smaller rate. During bear market, however, PIMCO Foreign Bond I is likely to outperform the market. Moreover, PIMCO Foreign Bond I has an alpha of 0.0118 implying that it can potentially generate 0.0118% 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 Foreign is 69442.25. The daily returns are destributed with a variance of 0.09 and standard deviation of 0.3. The mean deviation of PIMCO Foreign Bond I is currently at 0.23. For similar time horizon, the selected benchmark (DOW) has volatility of 0.48
α
Alpha over DOW
=0.0118
β
Beta against DOW=0.14
σ
Overall volatility
=0.30
Ir
Information ratio =0.44

PIMCO Foreign Return Volatility

PIMCO Foreign Bond I shows 0.3034% volatility of returns over 30 trading days. DOW inherits 0.4541% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

PIMCO Foreign Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

Almost imposible

30 Days Economic Sensitivity

Indifferent to market move

Investment Outlook

PIMCO Foreign Investment Opportunity

DOW has a standard deviation of returns of 0.45 and is 1.5 times more volatile than PIMCO Foreign Bond I. 2% 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 I is lower than 2 (%) of all global equities and portfolios over the last 30 days. Use PIMCO Foreign Bond I to protect against small markets fluctuations. The fund experiences normal downward trend and little activity. Check odds of PIMCO Foreign to be traded at $9.67 in 30 days. As returns on market increase, returns on owning PIMCO Foreign are expected to decrease at a much smaller rate. During bear market, PIMCO Foreign is likely to outperform the market.

PIMCO Foreign correlation with market

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

PIMCO Foreign Volatility Indicators

PIMCO Foreign Bond I Current Risk Indicators

Additionally take a look at Your Equity Center. Please also try Commodity Channel Index module to use commodity channel index to analyze current equity momentum.
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