PIMCO 1 Risk Analysis And Volatility

STPZ -- USA Etf  

USD 52.40  0.02  0.0382%

We consider PIMCO 1 very steady. PIMCO 1 5 maintains Sharpe Ratio (i.e. Efficiency) of 0.0601 which implies the entity had 0.0601% of return per unit of volatility over the last 3 months. Our approach towards forecasting volatility of an etf is to use all available market data together with etf specific technical indicators that cannot be diversified away. We have found twenty technical indicators for PIMCO 1 5 which you can use to evaluate future volatility of the etf. Please check PIMCO 1 5 Risk Adjusted Performance of 0.0299 and Downside Deviation of 0.1089 to confirm if risk estimate we provide are consistent with the epected return of 0.007%.

90 Days Market Risk

Very steady

Chance of Distress in 24 months

Very Small

90 Days Economic Sensitivity

Barely shadows market
Horizon     30 Days    Login   to change

PIMCO 1 Market Sensitivity

As returns on market increase, PIMCO 1 returns are expected to increase less than the market. However during bear market, the loss on holding PIMCO 1 will be expected to be smaller as well.
3 Months Beta |Analyze PIMCO 1 5 Demand Trend
Check current 30 days PIMCO 1 correlation with market (DOW)
β = 0.004

PIMCO 1 Central Daily Price Deviation

PIMCO 1 5 Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. PIMCO 1 Typical Price indicator is an average of each day price and can be used instead of closing price when creating different PIMCO 1 5 moving average lines. View also all equity analysis or get more info about typical price price transform indicator.

PIMCO 1 Projected Return Density Against Market

Given the investment horizon of 30 days, PIMCO 1 has beta of 0.004 . This entails as returns on market go up, PIMCO 1 average returns are expected to increase less than the benchmark. However during bear market, the loss on holding PIMCO 1 5 Year U S TIPS Index will be expected to be much smaller as well. Moreover, The company has an alpha of 0.0027 implying that it can potentially generate 0.0027% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Given the investment horizon of 30 days, the coefficient of variation of PIMCO 1 is 1663.69. The daily returns are destributed with a variance of 0.01 and standard deviation of 0.12. The mean deviation of PIMCO 1 5 Year U S TIPS Index is currently at 0.09. For similar time horizon, the selected benchmark (DOW) has volatility of 0.88
α
Alpha over DOW
=0.0027
β
Beta against DOW=0.004
σ
Overall volatility
=0.12
Ir
Information ratio =0.22

PIMCO 1 Return Volatility

the ETF inherits 0.1172% risk (volatility on return distribution) over the 30 days horizon. the entity inherits 0.9085% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

PIMCO 1 Investment Opportunity

DOW has a standard deviation of returns of 0.91 and is 7.58 times more volatile than PIMCO 1 5 Year U S TIPS Index. 1% of all equities and portfolios are less risky than PIMCO 1. Compared to the overall equity markets, volatility of historical daily returns of PIMCO 1 5 Year U S TIPS Index is lower than 1 (%) of all global equities and portfolios over the last 30 days. Use PIMCO 1 5 Year U S TIPS Index to protect your portfolios against small markets fluctuations. The etf experiences normal downward trend and little activity. Check odds of PIMCO 1 to be traded at $51.88 in 30 days. . As returns on market increase, PIMCO 1 returns are expected to increase less than the market. However during bear market, the loss on holding PIMCO 1 will be expected to be smaller as well.

PIMCO 1 correlation with market

correlation synergy
Significant diversification
Overlapping area represents the amount of risk that can be diversified away by holding PIMCO 1 5 Year U S TIPS Index and equity matching DJI index in the same portfolio.

PIMCO 1 Current Risk Indicators

PIMCO 1 Suggested Diversification Pairs

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