PIMCO Enhanced Short Maturity ETF (MINT)

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 of 11.2% in the last 5 years of PIMCO Enhanced Short Maturity ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (86.8%)
• Looking at total return, or increase in value in of 7.3% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (26.3%).

CAGR:

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

• Looking at the compounded annual growth rate (CAGR) of 2.1% in the last 5 years of PIMCO Enhanced Short Maturity ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (13.3%)
• During the last 3 years, the annual performance (CAGR) is 2.4%, which is smaller, thus worse than the value of 8.1% 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 volatility over 5 years of PIMCO Enhanced Short Maturity ETF is 1.3%, which is lower, thus better compared to the benchmark SPY (20.9%) in the same period.
• Looking at historical 30 days volatility in of 0.7% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (17.3%).

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 volatility of 1% in the last 5 years of PIMCO Enhanced Short Maturity ETF, we see it is relatively smaller, thus better in comparison to the benchmark SPY (15%)
• During the last 3 years, the downside deviation is 0.5%, which is smaller, thus better than the value of 12.1% from the benchmark.

Sharpe:

'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.'

• The Sharpe Ratio over 5 years of PIMCO Enhanced Short Maturity ETF is -0.28, which is lower, thus worse compared to the benchmark SPY (0.52) in the same period.
• Compared with SPY (0.32) in the period of the last 3 years, the risk / return profile (Sharpe) of -0.19 is smaller, thus worse.

Sortino:

'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.'

• Compared with the benchmark SPY (0.72) in the period of the last 5 years, the downside risk / excess return profile of -0.34 of PIMCO Enhanced Short Maturity ETF is lower, thus worse.
• During the last 3 years, the ratio of annual return and downside deviation is -0.28, which is lower, thus worse than the value of 0.46 from the benchmark.

Ulcer:

'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.'

• Compared with the benchmark SPY (9.33 ) in the period of the last 5 years, the Ulcer Ratio of 0.89 of PIMCO Enhanced Short Maturity ETF is lower, thus better.
• Compared with SPY (10 ) in the period of the last 3 years, the Ulcer Index of 1.03 is lower, thus better.

MaxDD:

'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.'

• Looking at the maximum DrawDown of -4.6 days in the last 5 years of PIMCO Enhanced Short Maturity ETF, we see it is relatively greater, thus better in comparison to the benchmark SPY (-33.7 days)
• During the last 3 years, the maximum drop from peak to valley is -2.4 days, which is greater, 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.'

• 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 380 days of PIMCO Enhanced Short Maturity ETF is lower, thus better.
• Looking at maximum days below previous high in of 380 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (488 days).

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.'

• The average days under water over 5 years of PIMCO Enhanced Short Maturity ETF is 107 days, which is lower, thus better compared to the benchmark SPY (122 days) in the same period.
• Looking at average days below previous high in of 146 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (178 days).