PIMCO Foreign Risk Analysis And Volatility Evaluation

PFUIX -- USA Fund  

USD 9.54  0.00  0.00%

Macroaxis considers PIMCO Foreign to be not too volatile. PIMCO Foreign Bond maintains Sharpe Ratio (i.e. Efficiency) of -0.1369 which implies PIMCO Foreign Bond had -0.1369% 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 Foreign Bond exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check PIMCO Foreign Bond Risk Adjusted Performance of 0.17 to confirm risk estimate we provide.
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.
One Month Beta |Analyze PIMCO Foreign Bond Demand Trend
Check current 30 days PIMCO Foreign correlation with market (DOW)
β = 0.0969

PIMCO Foreign Central Daily Price Deviation

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 has beta of 0.0969 . 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 I will be expected to be much smaller as well. Additionally, PIMCO Foreign Bond I 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 Foreign is -730.48. The daily returns are destributed with a variance of 0.13 and standard deviation of 0.36. The mean deviation of PIMCO Foreign Bond I is currently at 0.27. For similar time horizon, the selected benchmark (DOW) has volatility of 1.22
α
Alpha over DOW
=0.04
β
Beta against DOW=0.1
σ
Overall volatility
=0.36
Ir
Information ratio =0.07

PIMCO Foreign Return Volatility

PIMCO Foreign Bond I shows 0.3566% volatility of returns over 30 trading days. DOW inherits 1.222% 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 volatile

Chance of Distress in 24 months

Almost imposible

30 Days Economic Sensitivity

Barely shadows market

Investment Outlook

PIMCO Foreign Investment Opportunity

DOW has a standard deviation of returns of 1.22 and is 3.39 times more volatile than PIMCO Foreign Bond I. 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 I is lower than 3 (%) 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, but the immediate impact on correlations cannot be determined at the moment . Check odds of PIMCO Foreign to be traded at $9.44 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
Weak 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 Alpha Finder module to use alpha and beta coefficients to find investment opportunities after accounting for the risk.
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