PIMCO Equitiy Backtesting

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MFEM -- USA Etf  

USD 24.39  0.59  2.48%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of PIMCO Equitiy Series PIMCO RAFI and determine expected loss or profit from investing in PIMCO Equitiy over given investment horizon. Additionally see PIMCO Equitiy Hype Analysis, PIMCO Equitiy Correlation, Portfolio Optimization, PIMCO Equitiy Volatility as well as analyze PIMCO Equitiy Alpha and Beta and PIMCO Equitiy Performance.
Horizon     30 Days    Login   to change

PIMCO Equitiy 'What if' Analysis

October 30, 2019
No Change 0.00  0.0 
In 2 months and 31 days
January 28, 2020
If you would invest  0.00  in PIMCO Equitiy on October 30, 2019 and sell it all today you would earn a total of 0.00 from holding PIMCO Equitiy Series PIMCO RAFI or generate 0.0% return on investment in PIMCO Equitiy over 90 days. PIMCO Equitiy is related to or competes with Xtrackers MSCI, SPDR Select, Invesco Fundamental, IShares Europe, SPDR Series, WisdomTree Emerging, and Direxion Daily. The investment seeks to track the investment results of the RAFI Dynamic Multi-Factor Emerging Markets Index

PIMCO Equitiy Upside/Downside Indicators

Downside Deviation0.7914
Information Ratio(0.07)
Maximum Drawdown3.77
Value At Risk(1.22)
Potential Upside1.31

PIMCO Equitiy Market Premium Indicators

Risk Adjusted Performance0.05
Jensen Alpha0.0452
Total Risk Alpha(0.11)
Sortino Ratio(0.06)
Treynor Ratio0.4383

PIMCO Equitiy Series Backtested Returns

We consider PIMCO Equitiy very steady. PIMCO Equitiy Series maintains Sharpe Ratio (i.e. Efficiency) of 0.0074 which implies the entity had 0.0074% 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-one technical indicators for PIMCO Equitiy Series which you can use to evaluate future volatility of the etf. Please check PIMCO Equitiy Series Risk Adjusted Performance of 0.05 and Semi Deviation of 0.699 to confirm if risk estimate we provide are consistent with the epected return of 0.006%. The etf holds Beta of 0.1381 which implies as returns on market increase, PIMCO Equitiy returns are expected to increase less than the market. However during bear market, the loss on holding PIMCO Equitiy will be expected to be smaller as well. Although it is extremely important to respect PIMCO Equitiy Series current trending patterns, it is better to be realistic regarding the information on equity existing price patterns. The approach towards forecasting future performance of any etf is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By inspecting PIMCO Equitiy Series technical indicators you can now evaluate if the expected return of 0.006% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.17 
correlation synergy

Very weak predictability

PIMCO Equitiy Series PIMCO RAFI has very weak predictability. Overlapping area represents the amount of predictability between PIMCO Equitiy time series from October 30, 2019 to December 14, 2019 and December 14, 2019 to January 28, 2020. 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 Equitiy Series price movement. The serial correlation of 0.17 indicates that over 17.0% of current PIMCO Equitiy price fluctuation can be explain by its past prices.
Correlation Coefficient0.17
Spearman Rank Test0.03
Residual Average0.0
Price Variance0.08

PIMCO Equitiy Series lagged returns against current returns

 Current and Lagged Values 

PIMCO Equitiy regressed lagged prices vs. current prices

 Current vs Lagged Prices 

PIMCO Equitiy Lagged Returns

 Regressed Prices 

Current Sentiment - MFEM

PIMCO Equitiy Series Investor Sentiment

Most of Macroaxis users are now bullish on PIMCO Equitiy Series PIMCO RAFI. What is your perspective on investing in PIMCO Equitiy Series PIMCO RAFI? Are you bullish or bearish?
98% Bullish
2% Bearish

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Additionally see PIMCO Equitiy Hype Analysis, PIMCO Equitiy Correlation, Portfolio Optimization, PIMCO Equitiy Volatility as well as analyze PIMCO Equitiy Alpha and Beta and PIMCO Equitiy Performance. Please also try Competition Analyzer module to analyze and compare many basic indicators for a group of related or unrelated entities.