PIMCO Active Bond Exchange-Traded Fund Exchange-Traded Fund (BOND)

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• The total return over 5 years of PIMCO Active Bond Exchange-Traded Fund Exchange-Traded Fund is 3.6%, which is lower, thus worse compared to the benchmark SPY (80%) in the same period.
• Compared with SPY (31.8%) in the period of the last 3 years, the total return, or increase in value of -12.4% is smaller, thus worse.

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

• Compared with the benchmark SPY (12.5%) in the period of the last 5 years, the annual performance (CAGR) of 0.7% of PIMCO Active Bond Exchange-Traded Fund Exchange-Traded Fund is smaller, thus worse.
• Looking at annual performance (CAGR) in of -4.3% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (9.7%).

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• Looking at the historical 30 days volatility of 5.9% in the last 5 years of PIMCO Active Bond Exchange-Traded Fund Exchange-Traded Fund, we see it is relatively lower, thus better in comparison to the benchmark SPY (21.3%)
• During the last 3 years, the volatility is 5.9%, which is lower, thus better than the value of 17.6% from the benchmark.

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• The downside risk over 5 years of PIMCO Active Bond Exchange-Traded Fund Exchange-Traded Fund is 4.4%, which is smaller, thus better compared to the benchmark SPY (15.3%) in the same period.
• Looking at downside risk in of 4.3% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (12.3%).

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• Compared with the benchmark SPY (0.47) in the period of the last 5 years, the Sharpe Ratio of -0.3 of PIMCO Active Bond Exchange-Traded Fund Exchange-Traded Fund is smaller, thus worse.
• Compared with SPY (0.41) in the period of the last 3 years, the Sharpe Ratio of -1.15 is lower, thus worse.

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

• Looking at the ratio of annual return and downside deviation of -0.4 in the last 5 years of PIMCO Active Bond Exchange-Traded Fund Exchange-Traded Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.66)
• Compared with SPY (0.58) in the period of the last 3 years, the downside risk / excess return profile of -1.58 is lower, thus worse.

Ulcer:

'The Ulcer Index is a technical indicator that measures downside risk, in terms of both the depth and duration of price declines. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. The indicator is usually calculated over a 14-day period, with the Ulcer Index showing the percentage drawdown a trader can expect from the high over that period. The greater the value of the Ulcer Index, the longer it takes for a stock to get back to the former high.'

• The Ulcer Ratio over 5 years of PIMCO Active Bond Exchange-Traded Fund Exchange-Traded Fund is 8.33 , which is lower, thus better compared to the benchmark SPY (9.43 ) in the same period.
• Looking at Downside risk index in of 11 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (10 ).

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

• The maximum DrawDown over 5 years of PIMCO Active Bond Exchange-Traded Fund Exchange-Traded Fund is -19.7 days, which is greater, thus better compared to the benchmark SPY (-33.7 days) in the same period.
• During the last 3 years, the maximum reduction from previous high is -19.7 days, which is higher, thus better than the value of -24.5 days from the benchmark.

MaxDuration:

'The Maximum Drawdown Duration is an extension of the Maximum Drawdown. However, this metric does not explain the drawdown in dollars or percentages, rather in days, weeks, or months. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• Compared with the benchmark SPY (480 days) in the period of the last 5 years, the maximum days below previous high of 586 days of PIMCO Active Bond Exchange-Traded Fund Exchange-Traded Fund is higher, thus worse.
• Compared with SPY (480 days) in the period of the last 3 years, the maximum days below previous high of 586 days is greater, thus worse.

AveDuration:

'The Average Drawdown Duration is an extension of the Maximum Drawdown. However, this metric does not explain the drawdown in dollars or percentages, rather in days, weeks, or months. The Avg Drawdown Duration is the average amount of time an investment has seen between peaks (equity highs), or in other terms the average of time under water of all drawdowns. So in contrast to the Maximum duration it does not measure only one drawdown event but calculates the average of all.'

• Looking at the average days under water of 171 days in the last 5 years of PIMCO Active Bond Exchange-Traded Fund Exchange-Traded Fund, we see it is relatively larger, thus worse in comparison to the benchmark SPY (119 days)
• Looking at average time in days below previous high water mark in of 244 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (174 days).