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

TotalReturn:

'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.'

• Looking at the total return, or increase in value of 8.7% 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 (164.3%)
• Looking at total return, or increase in value in of 3.9% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (32.2%).

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.'

• Looking at the annual return (CAGR) of 1.7% 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 (21.5%)
• Looking at annual performance (CAGR) in of 1.3% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (9.8%).

Volatility:

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

• Compared with the benchmark SPY (18.2%) in the period of the last 5 years, the volatility of 5.6% of PIMCO Active Bond Exchange-Traded Fund Exchange-Traded Fund is smaller, thus better.
• Looking at historical 30 days volatility in of 6.6% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (17%).

DownVol:

'Risk measures typically quantify the downside risk, whereas the standard deviation (an example of a deviation risk measure) measures both the upside and downside risk. Specifically, downside risk in our definition is the semi-deviation, that is the standard deviation of all negative returns.'

• Looking at the downside risk of 3.9% 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 (12.2%)
• During the last 3 years, the downside deviation is 4.6%, which is smaller, thus better than the value of 12% from the benchmark.

Sharpe:

'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.'

• The ratio of return and volatility (Sharpe) over 5 years of PIMCO Active Bond Exchange-Traded Fund Exchange-Traded Fund is -0.14, which is smaller, thus worse compared to the benchmark SPY (1.04) in the same period.
• Compared with SPY (0.43) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of -0.19 is lower, thus worse.

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

• Compared with the benchmark SPY (1.55) in the period of the last 5 years, the downside risk / excess return profile of -0.21 of PIMCO Active Bond Exchange-Traded Fund Exchange-Traded Fund is smaller, thus worse.
• Looking at downside risk / excess return profile in of -0.27 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.61).

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.'

• Looking at the Ulcer Ratio of 9.28 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 (8.29 )
• During the last 3 years, the Downside risk index is 5.56 , which is smaller, thus better than the value of 8.63 from the benchmark.

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.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum DrawDown of -19.7 days of PIMCO Active Bond Exchange-Traded Fund Exchange-Traded Fund is greater, thus better.
• Compared with SPY (-22.1 days) in the period of the last 3 years, the maximum DrawDown of -13 days is greater, thus better.

MaxDuration:

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. The Max Drawdown Duration is the worst (the maximum/longest) amount of time an investment has seen between peaks (equity highs). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 912 days of PIMCO Active Bond Exchange-Traded Fund Exchange-Traded Fund is greater, thus worse.
• Compared with SPY (325 days) in the period of the last 3 years, the maximum days below previous high of 572 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.'

• The average days under water over 5 years of PIMCO Active Bond Exchange-Traded Fund Exchange-Traded Fund is 360 days, which is larger, thus worse compared to the benchmark SPY (119 days) in the same period.
• Looking at average time in days below previous high water mark in of 235 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (89 days).