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.'

• Looking at the total return, or increase in value of 3.7% 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 (67.8%)
• Compared with SPY (44.5%) in the period of the last 3 years, the total return, or increase in value of -9.1% is lower, thus worse.

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

• The annual return (CAGR) over 5 years of PIMCO Active Bond Exchange-Traded Fund Exchange-Traded Fund is 0.7%, which is lower, thus worse compared to the benchmark SPY (10.9%) in the same period.
• During the last 3 years, the compounded annual growth rate (CAGR) is -3.1%, which is lower, thus worse than the value of 13.1% from the benchmark.

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.'

• The 30 days standard deviation over 5 years of PIMCO Active Bond Exchange-Traded Fund Exchange-Traded Fund is 5.5%, which is lower, thus better compared to the benchmark SPY (21.4%) in the same period.
• Looking at volatility in of 5.4% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (18.8%).

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 4.2%, which is smaller, thus better compared to the benchmark SPY (15.4%) in the same period.
• Compared with SPY (13.3%) in the period of the last 3 years, the downside volatility of 4% is lower, thus better.

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 Sharpe Ratio over 5 years of PIMCO Active Bond Exchange-Traded Fund Exchange-Traded Fund is -0.32, which is smaller, thus worse compared to the benchmark SPY (0.39) in the same period.
• Compared with SPY (0.56) in the period of the last 3 years, the risk / return profile (Sharpe) of -1.04 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.'

• Looking at the excess return divided by the downside deviation of -0.42 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 (0.55)
• Looking at excess return divided by the downside deviation in of -1.42 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.79).

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

• Compared with the benchmark SPY (9.46 ) in the period of the last 5 years, the Downside risk index of 6.88 of PIMCO Active Bond Exchange-Traded Fund Exchange-Traded Fund is lower, thus better.
• Compared with SPY (10 ) in the period of the last 3 years, the Ulcer Index of 8.76 is smaller, thus better.

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

• The maximum drop from peak to valley 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 drop from peak to valley is -19.7 days, which is larger, thus better than the value of -24.5 days from the benchmark.

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) in days.'

• Looking at the maximum days below previous high of 458 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 (352 days)
• During the last 3 years, the maximum days under water is 458 days, which is larger, thus worse than the value of 352 days from the benchmark.

AveDuration:

'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.'

• Looking at the average days under water of 116 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 (78 days)
• Compared with SPY (102 days) in the period of the last 3 years, the average days under water of 165 days is larger, thus worse.