Pimco Mutual Fund Volatility

PFRAX -  USA Fund  

USD 10.77  0.01  0.09%

Pimco International Bond maintains Sharpe Ratio (i.e., Efficiency) of -0.22, which implies the entity had -0.22% of return per unit of risk over the last 3 months. Macroaxis standpoint towards forecasting the risk of any fund is to look at both systematic and unsystematic factors of the business, including all available market data and technical indicators. Pimco International Bond exposes twenty-six different technical indicators, which can help you to evaluate volatility that cannot be diversified away. Please be advised to check Pimco International Bond risk adjusted performance of (0.21), and Coefficient Of Variation of (458.39) to confirm the risk estimate we provide.

Pimco Volatility 

 
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Pimco International 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 International volatility.

30 Days Market Risk

Very steady

Chance of Distress

Very Small

30 Days Economic Sensitivity

Barely shadows the market

Pimco International Market Sensitivity And Downside Risk

Pimco International'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 International's beta of 0.0074 provides an investor with an approximation of how much risk Pimco International 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 International returns are expected to increase less than the market. However, during the bear market, the loss on holding Pimco International will be expected to be smaller as well.
3 Months Beta |Analyze Pimco International Bond Demand Trend
Check current 90 days Pimco International correlation with market (DOW)

Pimco Beta

    
  0.0074  
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

    
  0.1  
It is essential to understand the difference between upside risk (as represented by Pimco International's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Pimco International stock's daily returns or price. Since the actual investment returns on holding a position in Pimco International 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 International.

Pimco International Bond Mutual Fund Volatility Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. Pimco International 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 International Projected Return Density Against Market

Assuming the 90 days horizon Pimco International has a beta of 0.0074 indicating as returns on the market go up, Pimco International average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding Pimco International Bond 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 International 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 International 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 International Bond is significantly underperforming DOW.
 Predicted Return Density 
      Returns 

Pimco International 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 International 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 International 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 International is -449.25. The daily returns are distributed with a variance of 0.01 and standard deviation of 0.1. The mean deviation of Pimco International Bond is currently at 0.08. For similar time horizon, the selected benchmark (DOW) has volatility of 0.71
α
Alpha over DOW
-0.03
β
Beta against DOW0.0074
σ
Overall volatility
0.10
Ir
Information ratio -0.58

Pimco International Mutual Fund Return Volatility

Pimco International historical daily return volatility represents how much Pimco International 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 0.1017% volatility of returns over 90 . By contrast, DOW inherits 0.7021% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
      Timeline 

About Pimco International Volatility

Volatility is a rate at which the price of Pimco International 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 International may increase or decrease. In other words, similar to Pimco's beta indicator, it measures the risk of Pimco International and helps estimate the fluctuations that may happen in a short period of time. So if prices of Pimco International 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 preservation of capital and prudent investment management. The fund seeks to achieve its investment objective by investing under normal circumstances at least 80 percent of its assets in Fixed Income Instruments. It will invest under normal circumstances in Fixed Income Instruments that are economically tied to at least three non-U.S. countries. The fund invests primarily in investment grade debt securities, but may invest up to 10 percent of its total assets in junk bonds as rated by Moodys, SP or Fitch, or, if unrated, as determined by PIMCO. It is non-diversified.

Pimco International Investment Opportunity

DOW has a standard deviation of returns of 0.7 and is 7.0 times more volatile than Pimco International Bond. of all equities and portfolios are less risky than Pimco International. Compared to the overall equity markets, volatility of historical daily returns of Pimco International Bond is lower than 0 () of all global equities and portfolios over the last 90 days. Use Pimco International Bond to protect your portfolios against small market fluctuations. The mutual fund experiences a normal downward trend and little activity. Check odds of Pimco International to be traded at $10.66 in 90 days. . Let's try to break down what Pimco's beta means in this case. As returns on the market increase, Pimco International returns are expected to increase less than the market. However, during the bear market, the loss on holding Pimco International will be expected to be smaller as well.

Significant diversification

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

Pimco International Additional Risk Indicators

The analysis of Pimco International'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 International's investment and either accepting that risk or mitigating it. Along with some common measures of Pimco International 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(0.21)
Market Risk Adjusted Performance(4.54)
Mean Deviation0.0913
Coefficient Of Variation(458.39)
Standard Deviation0.1085
Variance0.0118
Information Ratio(0.58)
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 International 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 International 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 International'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 International'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 International Bond.
Please check Your Equity Center. Note that the Pimco International Bond information on this page should be used as a complementary analysis to other Pimco International'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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.

Complementary Tools for Pimco Mutual Fund analysis

When running Pimco International Bond price analysis, check to measure Pimco International'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 International is operating at the current time. Most of Pimco International's value examination focuses on studying past and present price action to predict the probability of Pimco International's future price movements. You can analyze the entity against its peers and financial market as a whole to determine factors that move Pimco International's price. Additionally, you may evaluate how the addition of Pimco International to your portfolios can decrease your overall portfolio volatility.
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Please note, there is a significant difference between Pimco International's value and its price as these two are different measures arrived at by different means. Investors typically determine Pimco International value by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, Pimco International'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.