Pimco Tactical Income Fund Market Value
| PTO-UN Fund | 7.58 0.16 2.16% |
| Symbol | PIMCO |
PIMCO Tactical '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 Tactical'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 Tactical.
| 10/26/2024 |
| 12/25/2024 |
If you would invest 0.00 in PIMCO Tactical on October 26, 2024 and sell it all today you would earn a total of 0.00 from holding PIMCO Tactical Income or generate 0.0% return on investment in PIMCO Tactical over 60 days.
PIMCO Tactical 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 Tactical'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 Tactical Income upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.6646 | |||
| Information Ratio | (0.05) | |||
| Maximum Drawdown | 2.88 | |||
| Value At Risk | (1.05) | |||
| Potential Upside | 0.9138 |
PIMCO Tactical Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for PIMCO Tactical's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as PIMCO Tactical's standard deviation. In reality, there are many statistical measures that can use PIMCO Tactical historical prices to predict the future PIMCO Tactical's volatility.| Risk Adjusted Performance | 0.0151 | |||
| Jensen Alpha | 0.0028 | |||
| Total Risk Alpha | (0.02) | |||
| Sortino Ratio | (0.05) | |||
| Treynor Ratio | 0.1397 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of PIMCO Tactical'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 Tactical Income Backtested Returns
PIMCO Tactical Income maintains Sharpe Ratio (i.e., Efficiency) of -0.0339, which implies the entity had a -0.0339% return per unit of volatility over the last 3 months. PIMCO Tactical Income exposes thirty different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check PIMCO Tactical's risk adjusted performance of 0.0151, and Semi Deviation of 0.6087 to confirm the risk estimate we provide. The fund holds a Beta of 0.0271, which implies not very significant fluctuations relative to the market. As returns on the market increase, PIMCO Tactical's returns are expected to increase less than the market. However, during the bear market, the loss of holding PIMCO Tactical is expected to be smaller as well.
Auto-correlation | -0.34 |
Poor reverse predictability
PIMCO Tactical Income has poor reverse predictability. Overlapping area represents the amount of predictability between PIMCO Tactical time series from 26th of October 2024 to 25th of November 2024 and 25th of November 2024 to 25th 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 Tactical Income price movement. The serial correlation of -0.34 indicates that nearly 34.0% of current PIMCO Tactical price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.34 | |
| Spearman Rank Test | -0.32 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
PIMCO Tactical Income lagged returns against current returns
Autocorrelation, which is PIMCO Tactical 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 Tactical's fund expected returns. We can calculate the autocorrelation of PIMCO Tactical returns to help us make a trade decision. For example, suppose you find that PIMCO Tactical 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 Tactical 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 Tactical fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if PIMCO Tactical fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in PIMCO Tactical fund over time.
Current vs Lagged Prices |
| Timeline |
PIMCO Tactical Lagged Returns
When evaluating PIMCO Tactical's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of PIMCO Tactical fund have on its future price. PIMCO Tactical 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 Tactical autocorrelation shows the relationship between PIMCO Tactical fund current value and its past values and can show if there is a momentum factor associated with investing in PIMCO Tactical Income.
Regressed Prices |
| Timeline |
Pair Trading with PIMCO Tactical
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 Tactical 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 Tactical will appreciate offsetting losses from the drop in the long position's value.Moving against PIMCO Fund
| 0.37 | 0P0001FAU8 | TD Comfort Balanced | PairCorr |
The ability to find closely correlated positions to PIMCO Tactical 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 Tactical 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 Tactical - 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 Tactical Income to buy it.
The correlation of PIMCO Tactical 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 Tactical moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if PIMCO Tactical Income 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 Tactical 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.| Portfolio Diagnostics Use generated alerts and portfolio events aggregator to diagnose current holdings | |
| Global Correlations Find global opportunities by holding instruments from different markets | |
| Analyst Advice Analyst recommendations and target price estimates broken down by several categories | |
| Equity Forecasting Use basic forecasting models to generate price predictions and determine price momentum |