Pimco Mutual Fund Volatility

PFNNX -  USA Fund  

USD 11.35  0.02  0.18%

We consider Pimco Preferred very steady. Pimco Preferred And maintains Sharpe Ratio (i.e., Efficiency) of 0.0649, which implies the entity had 0.0649% of return per unit of risk over the last 3 months. Our standpoint towards forecasting the 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 Preferred And, which you can use to evaluate the future volatility of the fund. Please check Pimco Preferred And Coefficient Of Variation of 10308.09, semi deviation of 0.1575, and Risk Adjusted Performance of (0.034892) to confirm if the risk estimate we provide is consistent with the expected return of 0.0114%.

Pimco Volatility 

 
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Pimco Preferred Mutual Fund volatility depicts how high the prices fluctuate around the mean (or its average) price. In other words, it is a statistical measure of the distribution of Pimco daily returns, and it is calculated using variance and standard deviation. We also use Pimco's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Pimco Preferred volatility.

90 Days Market Risk

Very steady

Chance of Distress

Very Small

90 Days Economic Sensitivity

Barely shadows the market

Pimco Preferred Market Sensitivity And Downside Risk

Pimco Preferred's beta coefficient measures the volatility of Pimco mutual fund compared to the systematic risk of the entire stock market represented by your selected benchmark. In mathematical terms, beta represents the slope of the line through a regression of data points where each of these points represents Pimco mutual fund's returns against your selected market. In other words, Pimco Preferred's beta of 0.0126 provides an investor with an approximation of how much risk Pimco Preferred mutual fund can potentially add to one of your existing portfolios.
Let's try to break down what Pimco's beta means in this case. As returns on the market increase, Pimco Preferred returns are expected to increase less than the market. However, during the bear market, the loss on holding Pimco Preferred will be expected to be smaller as well.
3 Months Beta |Analyze Pimco Preferred And Demand Trend
Check current 90 days Pimco Preferred correlation with market (DOW)

Pimco Beta

    
  0.0126  
Pimco standard deviation measures the daily dispersion of prices over your selected time horizon relative to its mean. Typical volatile equity has a high standard deviation, while the deviation of a stable instrument is usually low. As a downside, the standard deviation calculates all uncertainty as risk, even when it is in your favor, such as above-average returns.

Standard Deviation

    
  0.18  
It is essential to understand the difference between upside risk (as represented by Pimco Preferred's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Pimco Preferred stock's daily returns or price. Since the actual investment returns on holding a position in Pimco Preferred stock tend to have a non-normal distribution, there will be different probabilities for losses than for gains. The likelihood of losses is reflected in the downside risk of an investment in Pimco Preferred.

Pimco Preferred And Mutual Fund Volatility Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. The Median Price line plots median indexes of Pimco Preferred And price series. View also all equity analysis or get more info about median price price transform indicator.

Pimco Preferred Projected Return Density Against Market

Assuming the 90 days horizon Pimco Preferred has a beta of 0.0126 indicating as returns on the market go up, Pimco Preferred average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding Pimco Preferred And will be expected to be much smaller as well.
Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to Pimco Preferred or PIMCO sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that Pimco Preferred stock's price will be affected by overall stock market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a Pimco stock's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision.
The company has a negative alpha, implying that the risk taken by holding this instrument is not justified. Pimco Preferred And is significantly underperforming DOW.
 Predicted Return Density 
      Returns 

Pimco Preferred Mutual Fund Risk Measures

Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to Pimco Preferred or PIMCO sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that Pimco Preferred stock's price will be affected by overall stock market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a Pimco stock's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision.
Assuming the 90 days horizon the coefficient of variation of Pimco Preferred is 1539.72. The daily returns are distributed with a variance of 0.03 and standard deviation of 0.18. The mean deviation of Pimco Preferred And is currently at 0.11. For similar time horizon, the selected benchmark (DOW) has volatility of 0.78
α
Alpha over DOW
-0.0088
β
Beta against DOW0.0126
σ
Overall volatility
0.18
Ir
Information ratio -0.18

Pimco Preferred Mutual Fund Return Volatility

Pimco Preferred historical daily return volatility represents how much Pimco Preferred stock's price daily returns swing around its mean daily price change - it is a statistical measure of its dispersion of returns. The fund shows 0.1755% volatility of returns over 90 . By contrast, DOW inherits 0.7144% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
      Timeline 

About Pimco Preferred Volatility

Volatility is a rate at which the price of Pimco Preferred or any other equity instrument increases or decreases for a given set of returns. It is measured by calculating the standard deviation of the annualized returns over a given period of time and shows the range to which the price of Pimco Preferred may increase or decrease. In other words, similar to Pimco's beta indicator, it measures the risk of Pimco Preferred and helps estimate the fluctuations that may happen in a short period of time. So if prices of Pimco Preferred fluctuate rapidly in a short time span, it is termed to have high volatility, and if it swings slowly in a more extended period, it is understood to have low volatility.
Please read more on our technical analysis page.
The investment seeks maximum total return, consistent with prudent investment management. Pimco Preferred is traded on NASDAQ Exchange in the United States.

Pimco Preferred Investment Opportunity

DOW has a standard deviation of returns of 0.71 and is 3.94 times more volatile than Pimco Preferred And. of all equities and portfolios are less risky than Pimco Preferred. Compared to the overall equity markets, volatility of historical daily returns of Pimco Preferred And is lower than 1 () of all global equities and portfolios over the last 90 days. Use Pimco Preferred And to enhance returns of your portfolios. The mutual fund experiences a normal upward fluctuation. Check odds of Pimco Preferred to be traded at $11.92 in 90 days. . Let's try to break down what Pimco's beta means in this case. As returns on the market increase, Pimco Preferred returns are expected to increase less than the market. However, during the bear market, the loss on holding Pimco Preferred will be expected to be smaller as well.

Significant diversification

The correlation between Pimco Preferred And and DJI is Significant diversification for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Pimco Preferred And and DJI in the same portfolio assuming nothing else is changed.

Pimco Preferred Additional Risk Indicators

The analysis of Pimco Preferred's secondary risk indicators is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in Pimco Preferred's investment and either accepting that risk or mitigating it. Along with some common measures of Pimco Preferred stock risk such as standard deviation, beta, or value at risk, we also provide a set of secondary indicators that can assist in the individual investment decision or help in hedging the risk of your existing portfolios.
Risk Adjusted Performance(0.034892)
Market Risk Adjusted Performance(0.67)
Mean Deviation0.0922
Semi Deviation0.1575
Downside Deviation0.2772
Coefficient Of Variation10308.09
Standard Deviation0.1489
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential stock investments, we recommend comparing similar equities with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.

Pimco Preferred Suggested Diversification Pairs

Pair trading is one of the very effective strategies used by professional day traders and hedge funds capitalizing on short-time and mid-term market inefficiencies. The approach is based on the fact that the ratio of prices of two correlating shares is long-term stable and oscillates around the average value. If the correlation ratio comes outside the common area, you can speculate with a high success rate that the ratio will return to the mean value and collect a profit.
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The effect of pair diversification on risk is to reduce it, but we should note this doesn't apply to all risk types. When we trade pairs against Pimco Preferred as a counterpart, there is always some inherent risk that will never be diversified away no matter what. This volatility limits the effect of tactical diversification using pair trading. Pimco Preferred's systematic risk is the inherent uncertainty of the entire market, and therefore cannot be mitigated even by pair-trading it against the equity that is not highly correlated to it. On the other hand, Pimco Preferred's unsystematic risk describes the types of risk that we can protect against, at least to some degree, by selecting a matching pair that is not perfectly correlated to Pimco Preferred And.
Please check Your Equity Center. Note that the Pimco Preferred And information on this page should be used as a complementary analysis to other Pimco Preferred's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try Efficient Frontier module to plot and analyze your portfolio and positions against risk-return landscape of the market..

Complementary Tools for Pimco Mutual Fund analysis

When running Pimco Preferred And price analysis, check to measure Pimco Preferred's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy Pimco Preferred is operating at the current time. Most of Pimco Preferred's value examination focuses on studying past and present price action to predict the probability of Pimco Preferred's future price movements. You can analyze the entity against its peers and financial market as a whole to determine factors that move Pimco Preferred's price. Additionally, you may evaluate how the addition of Pimco Preferred to your portfolios can decrease your overall portfolio volatility.
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Please note, there is a significant difference between Pimco Preferred's value and its price as these two are different measures arrived at by different means. Investors typically determine Pimco Preferred value by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, Pimco Preferred's price is the amount at which it trades on the open market and represents the number that a seller and buyer find agreeable to each party.