Pimco Commoditiesplus Strategy Fund Market Value
| PCLNX Fund | USD 6.55 0.04 0.61% |
| Symbol | Pimco |
Pimco Commoditiesplus '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 Commoditiesplus' mutual 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 Commoditiesplus.
| 12/05/2022 |
| 11/24/2024 |
If you would invest 0.00 in Pimco Commoditiesplus on December 5, 2022 and sell it all today you would earn a total of 0.00 from holding Pimco Commoditiesplus Strategy or generate 0.0% return on investment in Pimco Commoditiesplus over 720 days. Pimco Commoditiesplus is related to or competes with Pimco Rae, Pimco Rae, Pimco Rae, Pimco Rae, Pimco Foreign, Pimco Preferred, and Pimco Fundamental. The fund invests in commodity-linked derivative instruments backed by an actively managed, low volatility portfolio of F... More
Pimco Commoditiesplus 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 Commoditiesplus' mutual 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 Commoditiesplus Strategy upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.35 | |||
| Information Ratio | (0.07) | |||
| Maximum Drawdown | 4.83 | |||
| Value At Risk | (1.87) | |||
| Potential Upside | 1.58 |
Pimco Commoditiesplus Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Pimco Commoditiesplus' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Pimco Commoditiesplus' standard deviation. In reality, there are many statistical measures that can use Pimco Commoditiesplus historical prices to predict the future Pimco Commoditiesplus' volatility.| Risk Adjusted Performance | 0.0416 | |||
| Jensen Alpha | 0.0288 | |||
| Total Risk Alpha | (0.13) | |||
| Sortino Ratio | (0.06) | |||
| Treynor Ratio | 0.3316 |
Pimco Commoditiesplus Backtested Returns
At this stage we consider Pimco Mutual Fund to be not too volatile. Pimco Commoditiesplus maintains Sharpe Ratio (i.e., Efficiency) of 0.0097, which implies the entity had a 0.0097% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Pimco Commoditiesplus, which you can use to evaluate the volatility of the fund. Please check Pimco Commoditiesplus' Risk Adjusted Performance of 0.0416, semi deviation of 1.12, and Coefficient Of Variation of 1986.05 to confirm if the risk estimate we provide is consistent with the expected return of 0.0105%. The fund holds a Beta of 0.14, which implies not very significant fluctuations relative to the market. As returns on the market increase, Pimco Commoditiesplus' returns are expected to increase less than the market. However, during the bear market, the loss of holding Pimco Commoditiesplus is expected to be smaller as well.
Auto-correlation | -0.26 |
Weak reverse predictability
Pimco Commoditiesplus Strategy has weak reverse predictability. Overlapping area represents the amount of predictability between Pimco Commoditiesplus time series from 5th of December 2022 to 30th of November 2023 and 30th of November 2023 to 24th of November 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 Commoditiesplus price movement. The serial correlation of -0.26 indicates that nearly 26.0% of current Pimco Commoditiesplus price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.26 | |
| Spearman Rank Test | 0.07 | |
| Residual Average | 0.0 | |
| Price Variance | 0.06 |
Pimco Commoditiesplus lagged returns against current returns
Autocorrelation, which is Pimco Commoditiesplus mutual 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 Commoditiesplus' mutual fund expected returns. We can calculate the autocorrelation of Pimco Commoditiesplus returns to help us make a trade decision. For example, suppose you find that Pimco Commoditiesplus has exhibited high autocorrelation historically, and you observe that the mutual 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 Commoditiesplus 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 Commoditiesplus mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Pimco Commoditiesplus mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Pimco Commoditiesplus mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Pimco Commoditiesplus Lagged Returns
When evaluating Pimco Commoditiesplus' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Pimco Commoditiesplus mutual fund have on its future price. Pimco Commoditiesplus 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 Commoditiesplus autocorrelation shows the relationship between Pimco Commoditiesplus mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Pimco Commoditiesplus Strategy.
Regressed Prices |
| Timeline |
Also Currently Popular
Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Other Information on Investing in Pimco Mutual Fund
Pimco Commoditiesplus financial ratios help investors to determine whether Pimco Mutual Fund is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in Pimco with respect to the benefits of owning Pimco Commoditiesplus security.
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