'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.'

Using this definition on our asset we see for example:- The total return, or performance over 5 years of PIMCO Active Bond Exchange-Traded Fund Exchange-Traded Fund is 21.9%, which is smaller, thus worse compared to the benchmark SPY (120.8%) in the same period.
- Compared with SPY (66.3%) in the period of the last 3 years, the total return, or performance of 17.2% 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:- The annual performance (CAGR) over 5 years of PIMCO Active Bond Exchange-Traded Fund Exchange-Traded Fund is 4%, which is lower, thus worse compared to the benchmark SPY (17.2%) in the same period.
- During the last 3 years, the annual return (CAGR) is 5.4%, which is lower, thus worse than the value of 18.5% from the benchmark.

'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.'

Using this definition on our asset we see for example:- 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 smaller, thus better.
- Looking at historical 30 days volatility in of 5% in the period of the last 3 years, we see it is relatively smaller, 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:- The downside deviation over 5 years of PIMCO Active Bond Exchange-Traded Fund Exchange-Traded Fund is 3.3%, which is smaller, thus better compared to the benchmark SPY (13.6%) in the same period.
- Compared with SPY (16.3%) in the period of the last 3 years, the downside risk of 4% is smaller, thus better.

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

Which means for our asset as example:- Compared with the benchmark SPY (0.78) in the period of the last 5 years, the Sharpe Ratio of 0.36 of PIMCO Active Bond Exchange-Traded Fund Exchange-Traded Fund is lower, thus worse.
- During the last 3 years, the Sharpe Ratio is 0.58, which is lower, thus worse than the value of 0.71 from the benchmark.

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (1.08) in the period of the last 5 years, the downside risk / excess return profile of 0.46 of PIMCO Active Bond Exchange-Traded Fund Exchange-Traded Fund is lower, thus worse.
- Compared with SPY (0.98) in the period of the last 3 years, the excess return divided by the downside deviation of 0.74 is lower, thus worse.

'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.'

Which means for our asset as example:- 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 1.55 in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (6.83 ).

'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.'

Using this definition on our asset we see for example:- The maximum reduction from previous high over 5 years of PIMCO Active Bond Exchange-Traded Fund Exchange-Traded Fund is -10.9 days, which is higher, 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 DrawDown 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 time in days below previous high water mark 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)
- Looking at maximum days under water in of 88 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (139 days).

'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:- Compared with the benchmark SPY (33 days) in the period of the last 5 years, the average days under water of 71 days of PIMCO Active Bond Exchange-Traded Fund Exchange-Traded Fund is larger, thus worse.
- Looking at average days below previous high in of 28 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (35 days).

Historical returns have been extended using synthetic data.
[Show Details]

- 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.