'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

Using this definition on our asset we see for example:- The total return over 5 years of PIMCO Active Bond Exchange-Traded Fund Exchange-Traded Fund is 20.2%, which is lower, thus worse compared to the benchmark SPY (133.2%) in the same period.
- Compared with SPY (80.4%) in the period of the last 3 years, the total return of 18.3% is lower, thus worse.

'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.'

Which means for our asset as example:- Looking at the annual performance (CAGR) of 3.8% in the last 5 years of PIMCO Active Bond Exchange-Traded Fund Exchange-Traded Fund, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (18.5%)
- Compared with SPY (21.8%) in the period of the last 3 years, the annual performance (CAGR) of 5.8% is smaller, thus worse.

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (18.7%) in the period of the last 5 years, the historical 30 days volatility of 4.3% of PIMCO Active Bond Exchange-Traded Fund Exchange-Traded Fund is lower, thus better.
- Looking at 30 days standard deviation in of 5% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (22.4%).

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

Applying this definition to our asset in some examples:- Looking at the downside risk of 3.3% in the last 5 years of PIMCO Active Bond Exchange-Traded Fund Exchange-Traded Fund, we see it is relatively smaller, thus better in comparison to the benchmark SPY (13.6%)
- Looking at downside deviation in of 4% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (16.2%).

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

Applying this definition to our asset in some examples:- Looking at the Sharpe Ratio of 0.29 in the last 5 years of PIMCO Active Bond Exchange-Traded Fund Exchange-Traded Fund, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.85)
- Looking at risk / return profile (Sharpe) in of 0.65 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.86).

'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.'

Which means for our asset as example:- The downside risk / excess return profile over 5 years of PIMCO Active Bond Exchange-Traded Fund Exchange-Traded Fund is 0.38, which is lower, thus worse compared to the benchmark SPY (1.18) in the same period.
- Compared with SPY (1.19) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.82 is lower, thus worse.

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

Applying this definition to our asset in some examples:- The Ulcer Index over 5 years of PIMCO Active Bond Exchange-Traded Fund Exchange-Traded Fund is 1.58 , which is lower, thus better compared to the benchmark SPY (5.59 ) in the same period.
- Looking at Ulcer Ratio in of 1.58 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (6.36 ).

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

Using this definition on our asset we see for example:- The maximum drop from peak to valley over 5 years of PIMCO Active Bond Exchange-Traded Fund Exchange-Traded Fund is -10.9 days, which is greater, thus better compared to the benchmark SPY (-33.7 days) in the same period.
- Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum reduction from previous high of -10.9 days is greater, thus better.

'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.'

Which means for our asset as example:- Looking at the maximum days under water of 329 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 (139 days)
- Compared with SPY (119 days) in the period of the last 3 years, the maximum days below previous high of 135 days is larger, thus worse.

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. 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.'

Applying this definition to our asset in some examples:- Looking at the average days under water of 74 days in the last 5 years of PIMCO Active Bond Exchange-Traded Fund Exchange-Traded Fund, we see it is relatively higher, thus worse in comparison to the benchmark SPY (32 days)
- Compared with SPY (25 days) in the period of the last 3 years, the average days below previous high of 35 days is higher, thus worse.

Historical returns have been extended using synthetic data.
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- Note that yearly returns do not equal the sum of monthly returns due to compounding.
- Performance results of PIMCO Active Bond Exchange-Traded Fund Exchange-Traded Fund are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.