PIMCO Dynamic Income Fund Volatility
| PDI Fund | USD 16.95 -0.48 -2.75% |
Over the last 3 months, PIMCO Dynamic Income maintains relatively low price volatility. The current Sharpe ratio is -0.0126, suggesting weak return efficiency over the last 3 months. The current setup includes 24 technical indicators relevant to risk behavior.
Sharpe Ratio = -0.0126
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| Cash | Small Risk | Average Risk | High Risk | Huge Risk |
| Negative Returns | PDI |
PIMCO Dynamic Income's financial profile includes a Market Risk Adjusted Performance of -0.04%, a Risk of 0.67, and a Risk Adjusted Performance of -0.01%. PIMCO Dynamic is below its full potential per monthly moving average analysis. Pairing it with a well-diversified portfolio structure may improve overall efficiency. Correlation structure between PIMCO Dynamic and other holdings determines the diversification benefit. The risk-reduction potential of adding PIMCO Dynamic to a diversified portfolio can be quantified.
Key indicators related to PIMCO Dynamic's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Understanding PIMCO Dynamic's historical volatility sets realistic expectations for PIMCO Dynamic's future price range. Investors use volatility estimates to size positions, set stop-loss levels, and price the cost of hedging PIMCO Dynamic exposure. Volatility analysis for PIMCO Dynamic is most actionable when combined with directional views. High financial distress probability for PIMCO Dynamic amplifies the risk of extreme downside scenarios.
PIMCO |
Volatility Strategy
PIMCO Dynamic Income return fluctuations can modify its marginal contribution to total portfolio variance. Allocation size and correlation determine overall impact. Current statistical measures show total volatility near 0.67% with a beta coefficient of 0.36, indicating sensitivity relative to the broader market benchmark. Risk-adjusted efficiency, represented by a Sharpe ratio of -0.0126, evaluates return per unit of total risk. An alpha value of 0.017 reflects performance relative to systematic market exposure. Expected return estimates near -0.0084% are derived from historical distribution modeling and help frame forward-looking return assumptions within a portfolio context. Volatility effects depend on underlying market structure and exposure characteristics.
Main indicators related to PIMCO Dynamic's market risk premium analysis include:
Beta 0.36 | Alpha 0.017 | Risk 0.67 | Sharpe Ratio -0.01 | Expected Return -0.01 |
Moving together with PIMCO Fund
| 0.62 | PWLEX | PIMCO Rae Worldwide | PairCorr |
| 0.62 | PWLMX | PIMCO Rae Worldwide | PairCorr |
| 0.62 | PWLIX | PIMCO Rae Worldwide | PairCorr |
| 0.69 | PFBPX | PIMCO Foreign Bond | PairCorr |
| 0.73 | PFATX | PIMCO Fundamental | PairCorr |
| 0.86 | PFIAX | PIMCO Floating Income | PairCorr |
| 0.69 | PFORX | PIMCO Foreign Bond | PairCorr |
| 0.66 | PFOAX | PIMCO Foreign Bond | PairCorr |
| 0.61 | PFRMX | PIMCO Inflation Response | PairCorr |
| 0.79 | PFPNX | PIMCO Capital Sec | PairCorr |
| 0.87 | PFTPX | PIMCO Floating Income | PairCorr |
| 0.67 | PFUNX | PIMCO International Bond | PairCorr |
| 0.86 | PGMCX | PIMCO Global Multi | PairCorr |
| 0.81 | PGSAX | PIMCO Global Advantage | PairCorr |
| 0.74 | PYMCX | PIMCO High Yield | PairCorr |
| 0.73 | PYMPX | PIMCO High Yield | PairCorr |
| 0.75 | PHIYX | High Yield Fund | PairCorr |
| 0.73 | PHYAX | High Yield Fund | PairCorr |
| 0.83 | PZRPX | PIMCO Rae Fundamental | PairCorr |
| 0.82 | PLDIX | Low Duration | PairCorr |
| 0.8 | PLDRX | Low Duration | PairCorr |
| 0.79 | PLDTX | Low Duration | PairCorr |
| 0.77 | PLCCX | PIMCO Low Duration | PairCorr |
Sensitivity To Market
PIMCO Dynamic Income exhibits a beta of 0.36, representing its market-relative sensitivity based on regression modeling. Beta quantifies systematic risk by measuring the slope of asset returns against benchmark returns. Overall return volatility is approximately 0.67%.Volatility metrics for PIMCO Dynamic Income describe how stable or unstable returns have been over the selected window. Current downside deviation is about 0.0%. Funds with more equity exposure typically show higher volatility than more bond-heavy funds.
3 Months Beta |Analyze PIMCO Dynamic Income Demand TrendCheck current 90 days PIMCO Dynamic correlation with market (Dow Jones Industrial)Downside Risk
For PIMCO, standard deviation measures the dispersion of daily prices from the mean over a chosen time horizon. Volatile instruments show high standard deviation; stable instruments show low. Standard deviation for PIMCO provides a measure of daily price dispersion around the mean. Investors can use PIMCO standard deviation to compare risk levels across different time horizons.
Standard Deviation | 0.67 |
Investors in PIMCO Dynamic should distinguish between standard deviation and downside deviation. Upside risk is measured by PIMCO Dynamic's standard deviation, while downside risk is captured by downside deviation of PIMCO Dynamic's returns. Investors in PIMCO Dynamic should note that standard deviation and downside deviation measure different things. Semi-deviation and downside deviation focus on the loss risk embedded in PIMCO Dynamic's returns. PIMCO Dynamic Income's financial profile includes a Maximum Drawdown of 3.45.
Fund Volatility Analysis
For investors tracking PIMCO Dynamic, understanding volatility is essential to managing portfolio risk. It indicates how dramatically PIMCO Dynamic's price swings over a specific time horizon. For traders and investors in PIMCO Dynamic, volatility is both a risk factor and a source of opportunity. Sharp price movements in PIMCO Dynamic's can be triggered by earnings surprises, macroeconomic data, or sector trends.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. PIMCO Dynamic Income Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input.
Projected Return Density Against Market
Considering the 90-day investment horizon PIMCO Dynamic has a beta of 0.3622 indicating as returns on the market go up, PIMCO Dynamic's average returns are expected to increase less than the benchmark. However, during a bear market, the loss from holding PIMCO Dynamic Income is expected to be smaller as well.Investors in PIMCO Dynamic face systematic risk from overall fund market trends and unsystematic risk from company or sector-specific developments. Diversification reduces specific exposure, but macro-driven volatility persists. Beta remains a common sensitivity metric. PIMCO Dynamic Income's financial profile includes a Mean Deviation of 0.42 and a Standard Deviation of 0.64.
Predicted Return Density |
| Returns |
What Drives PIMCO Dynamic's Price Volatility?
Several factors can influence PIMCO Dynamic's market volatility:Industry Dynamics
Sector-level events can directly affect PIMCO Dynamic's price stability. Regulatory changes, supply disruptions, or shifts in demand within PIMCO Dynamic's industry may create volatility even when the broader market is calm. Competitive dynamics and industry consolidation can also amplify price swings for companies like PIMCO Dynamic.Political and Economic Environment
Macroeconomic conditions and policy decisions shape the backdrop for PIMCO Dynamic's price movements. Interest rate changes, trade policy shifts, and fiscal legislation can all alter investor sentiment toward PIMCO Dynamic. During periods of economic expansion, PIMCO Dynamic's price tends to benefit from broader market optimism, while downturns can amplify selling pressure.PIMCO Dynamic's Company-Specific Factors
Volatility can also stem from events unique to PIMCO Dynamic. Earnings surprises, management changes, product launches, or legal developments may trigger sharp price reactions in PIMCO Dynamic's stock. Conversely, operational setbacks, guidance revisions, or data breaches can weigh on PIMCO Dynamic's share price.Fund Risk Measures
Considering the 90-day investment horizon the coefficient of variation of PIMCO Dynamic is -7924.36. The daily returns are distributed with a variance of 0.44 and standard deviation of 0.67. The mean deviation of PIMCO Dynamic Income is currently at 0.44. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.8
α | Alpha over Dow Jones | 0.02 | |
β | Beta against Dow Jones | 0.36 | |
σ | Overall volatility | 0.67 | |
Ir | Information ratio | 0.12 |
Fund Return Volatility
PIMCO Dynamic return volatility captures the typical daily swing in fund returns relative to the mean over the selected period. The fund has volatility of 0.6663% on return distribution over a 90-day investment horizon. Meanwhile, Dow Jones Industrial has volatility of 0.8242% on return distribution over a 90-day investment horizon. Performance |
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Related Correlations Analysis
Correlation Matchups
Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.High positive correlations
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Risk-Adjusted Indicators
Evaluating PIMCO Fund requires separating price momentum from underlying business quality relative to competitors. Without reviewing risk-adjusted indicators, investors may overweight recent returns and underweight the volatility required to achieve them. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.| Mean Deviation | Jensen Alpha | Sortino Ratio | Treynor Ratio | Semi Deviation | Expected Shortfall | Potential Upside | Value @Risk | Maximum Drawdown | ||
|---|---|---|---|---|---|---|---|---|---|---|
| PCN | 0.37 | -0.06 | 0.00 | -0.33 | 0.00 | 0.89 | 2.79 | |||
| GOF | 0.75 | -0.06 | 0.00 | -0.25 | 0.00 | 1.36 | 5.12 | |||
| PDO | 0.47 | -0.08 | 0.00 | -0.42 | 0.00 | 0.52 | 3.41 | |||
| PHK | 0.50 | -0.07 | 0.00 | -0.46 | 0.00 | 0.84 | 4.69 | |||
| PAXS | 0.62 | -0.10 | 0.00 | -0.46 | 0.00 | 1.17 | 3.79 | |||
| PTY | 0.42 | -0.06 | 0.00 | -0.27 | 0.00 | 1.13 | 4.12 | |||
| DLY | 0.38 | -0.05 | 0.00 | -0.23 | 0.00 | 0.63 | 2.58 | |||
| RNP | 0.64 | 0.07 | 0.13 | 0.08 | 0.94 | 1.39 | 3.17 | |||
| RA | 0.36 | 0.02 | 0.14 | -0.03 | 0.59 | 0.68 | 3.28 | |||
| CLM | 0.87 | -0.08 | 0.00 | -0.28 | 0.00 | 1.81 | 7.06 |
Risk Metrics, Assumptions & Methodology
Volatility for PIMCO Dynamic reflects NAV dispersion and exposure stability across disclosure periods. Observed drawdowns appear relatively moderate compared with broader market swings.
For PIMCO Dynamic Income, this section uses fund disclosures and market reference feeds with Macroaxis normalization rules applied to keep cross-asset comparisons consistent. Intraday timing differences may exist. Volatility and downside metrics are estimated from historical return dispersion.
This content is curated and reviewed by:
Ellen Johnson - Member of Macroaxis Editorial BoardPIMCO Dynamic Investment Opportunity
Recent data suggests that Dow Jones Industrial is meaningfully more volatile than PIMCO Dynamic Income, by roughly a 1.22x factor. Used properly, this comparison helps frame whether the extra volatility in the peer is being compensated by stronger return potential.You can use PIMCO Dynamic Income to protect the portfolio against small market fluctuations. This directional read frames the latest price swing through a simple momentum and follow-through lens. It gives extra weight to the size of the move, the quote level, and whether the instrument trades in a hype-prone venue. an unexpected downward movement. The market is reacting to new fundamentals. Check odds of PIMCO Dynamic to be traded at $16.27 in 90 days.Weak diversification
PIMCO Dynamic currently posts a 0.57 correlation with Dow Jones, indicating a Weak diversification relationship for the active sample. A 0.57 reading means PIMCO Dynamic and Dow Jones have partial price overlap, offering some diversification benefit.
PIMCO Dynamic Additional Risk Indicators
Looking at additional risk metrics for PIMCO Dynamic Income frames how the position may behave under different market and portfolio conditions. The practical goal is to identify how much risk is being accepted and whether that risk still fits the thesis.
| Risk Adjusted Performance | -0.01 | |||
| Market Risk Adjusted Performance | -0.04 | |||
| Mean Deviation | 0.4158 | |||
| Coefficient Of Variation | -7,423 | |||
| Standard Deviation | 0.6419 | |||
| Variance | 0.4121 | |||
| Information Ratio | 0.1242 |
PIMCO Dynamic Suggested Diversification Pairs
Pair trading with PIMCO Dynamic can help investors hedge some company-specific exposure by balancing a long view with an offsetting position. The key question is whether the second leg adds real hedge value instead of just creating a more complex version of the same risk.
While pairing positions reduces portfolio risk, some forms of risk persist no matter which instruments are combined. No matter how well a pair is constructed around PIMCO Dynamic, market-wide risk remains. What pair trading can address is PIMCO Dynamic's unsystematic risk - the portion driven by company or sector-specific factors rather than broad market forces.