Pimco High Income Fund Market Value
| PHK Fund | USD 4.80 0.04 0.84% |
| Symbol | Pimco |
Pimco High 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to Pimco High's fund what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of Pimco High.
| 04/21/2024 |
| 05/21/2024 |
If you would invest 0.00 in Pimco High on April 21, 2024 and sell it all today you would earn a total of 0.00 from holding Pimco High Income or generate 0.0% return on investment in Pimco High over 30 days. Pimco High is related to or competes with Flaherty Crumrine, Flaherty Crumrine, Barings Participation, Cohen Steers, AllianzGI Convertible, and Blackrock Floating. PIMCO High Income Fund is a closed ended fixed income mutual fund launched and managed by Allianz Global Investors Fund ... More
Pimco High Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure Pimco High's fund current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess Pimco High Income upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.07 | |||
| Information Ratio | (0.09) | |||
| Maximum Drawdown | 4.65 | |||
| Value At Risk | (1.26) | |||
| Potential Upside | 1.26 |
Pimco High Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Pimco High's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Pimco High's standard deviation. In reality, there are many statistical measures that can use Pimco High historical prices to predict the future Pimco High's volatility.| Risk Adjusted Performance | 0.0072 | |||
| Jensen Alpha | (0.02) | |||
| Total Risk Alpha | (0.1) | |||
| Sortino Ratio | (0.07) | |||
| Treynor Ratio | (0.01) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Pimco High's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Pimco High Income Backtested Returns
We consider Pimco High not too volatile. Pimco High Income maintains Sharpe Ratio (i.e., Efficiency) of 0.0039, which implies the entity had a 0.0039% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Pimco High Income, which you can use to evaluate the volatility of the fund. Please check Pimco High's Semi Deviation of 0.8289, coefficient of variation of 12596.18, and Risk Adjusted Performance of 0.0072 to confirm if the risk estimate we provide is consistent with the expected return of 0.0031%. The fund holds a Beta of 0.26, which implies not very significant fluctuations relative to the market. As returns on the market increase, Pimco High's returns are expected to increase less than the market. However, during the bear market, the loss of holding Pimco High is expected to be smaller as well.
Auto-correlation | -0.21 |
Weak reverse predictability
Pimco High Income has weak reverse predictability. Overlapping area represents the amount of predictability between Pimco High time series from 21st of April 2024 to 6th of May 2024 and 6th of May 2024 to 21st of May 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Pimco High Income price movement. The serial correlation of -0.21 indicates that over 21.0% of current Pimco High price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.21 | |
| Spearman Rank Test | 0.03 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Pimco High Income lagged returns against current returns
Autocorrelation, which is Pimco High fund's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting Pimco High's fund expected returns. We can calculate the autocorrelation of Pimco High returns to help us make a trade decision. For example, suppose you find that Pimco High has exhibited high autocorrelation historically, and you observe that the fund is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
Pimco High regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If Pimco High fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Pimco High fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Pimco High fund over time.
Current vs Lagged Prices |
| Timeline |
Pimco High Lagged Returns
When evaluating Pimco High's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Pimco High fund have on its future price. Pimco High autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, Pimco High autocorrelation shows the relationship between Pimco High fund current value and its past values and can show if there is a momentum factor associated with investing in Pimco High Income.
Regressed Prices |
| Timeline |
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Check out Pimco High Correlation, Pimco High Volatility and Pimco High Alpha and Beta module to complement your research on Pimco High. Note that the Pimco High Income information on this page should be used as a complementary analysis to other Pimco High'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 the Portfolio Suggestion module to get suggestions outside of your existing asset allocation including your own model portfolios.
Pimco High technical fund analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, fund market cycles, or different charting patterns.