Pimco Multi Sector Income Fund Market Value
| PIX-UN Fund | 7.94 0.01 0.13% |
| Symbol | PIMCO |
PIMCO Multi '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 Multi'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 Multi.
| 11/23/2024 |
| 12/23/2024 |
If you would invest 0.00 in PIMCO Multi on November 23, 2024 and sell it all today you would earn a total of 0.00 from holding PIMCO Multi Sector Income or generate 0.0% return on investment in PIMCO Multi over 30 days.
PIMCO Multi 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 Multi'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 Multi Sector Income upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.15) | |||
| Maximum Drawdown | 3.57 | |||
| Value At Risk | (1.41) | |||
| Potential Upside | 0.9501 |
PIMCO Multi Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for PIMCO Multi's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as PIMCO Multi's standard deviation. In reality, there are many statistical measures that can use PIMCO Multi historical prices to predict the future PIMCO Multi's volatility.| Risk Adjusted Performance | (0.09) | |||
| Jensen Alpha | (0.09) | |||
| Total Risk Alpha | (0.11) | |||
| Treynor Ratio | (0.35) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of PIMCO Multi'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 Multi Sector Backtested Returns
PIMCO Multi Sector maintains Sharpe Ratio (i.e., Efficiency) of -0.16, which implies the entity had a -0.16% return per unit of volatility over the last 3 months. PIMCO Multi Sector exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check PIMCO Multi's coefficient of variation of (931.14), and Risk Adjusted Performance of (0.09) to confirm the risk estimate we provide. The fund holds a Beta of 0.25, which implies not very significant fluctuations relative to the market. As returns on the market increase, PIMCO Multi's returns are expected to increase less than the market. However, during the bear market, the loss of holding PIMCO Multi is expected to be smaller as well.
Auto-correlation | 0.54 |
Modest predictability
PIMCO Multi Sector Income has modest predictability. Overlapping area represents the amount of predictability between PIMCO Multi time series from 23rd of November 2024 to 8th of December 2024 and 8th of December 2024 to 23rd of December 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 Multi Sector price movement. The serial correlation of 0.54 indicates that about 54.0% of current PIMCO Multi price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.54 | |
| Spearman Rank Test | 0.28 | |
| Residual Average | 0.0 | |
| Price Variance | 0.02 |
PIMCO Multi Sector lagged returns against current returns
Autocorrelation, which is PIMCO Multi 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 Multi's fund expected returns. We can calculate the autocorrelation of PIMCO Multi returns to help us make a trade decision. For example, suppose you find that PIMCO Multi 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 Multi 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 Multi fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if PIMCO Multi fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in PIMCO Multi fund over time.
Current vs Lagged Prices |
| Timeline |
PIMCO Multi Lagged Returns
When evaluating PIMCO Multi's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of PIMCO Multi fund have on its future price. PIMCO Multi 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 Multi autocorrelation shows the relationship between PIMCO Multi fund current value and its past values and can show if there is a momentum factor associated with investing in PIMCO Multi Sector Income.
Regressed Prices |
| Timeline |
Pair Trading with PIMCO Multi
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if PIMCO Multi position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in PIMCO Multi will appreciate offsetting losses from the drop in the long position's value.Moving against PIMCO Fund
| 0.55 | 0P0000706A | RBC Select Balanced | PairCorr |
| 0.55 | 0P00007069 | RBC Portefeuille | PairCorr |
| 0.48 | 0P0001FAU8 | TD Comfort Balanced | PairCorr |
| 0.47 | 0P0000OXA6 | PHN Multi Style | PairCorr |
| 0.44 | 0P00012UCU | RBC Global Equity | PairCorr |
The ability to find closely correlated positions to PIMCO Multi could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace PIMCO Multi when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back PIMCO Multi - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling PIMCO Multi Sector Income to buy it.
The correlation of PIMCO Multi is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as PIMCO Multi moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if PIMCO Multi Sector moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for PIMCO Multi can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.| Piotroski F Score Get Piotroski F Score based on the binary analysis strategy of nine different fundamentals | |
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