PIMCO Enhanced Short Maturity ETF (MINT)

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.'

• The total return over 5 years of PIMCO Enhanced Short Maturity ETF is 15.1%, which is lower, thus worse compared to the benchmark SPY (109.8%) in the same period.
• Looking at total return, or performance in of 14.9% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (42.5%).

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.'

• Looking at the annual performance (CAGR) of 2.9% in the last 5 years of PIMCO Enhanced Short Maturity ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (16%)
• Looking at annual performance (CAGR) in of 4.7% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (12.6%).

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 historical 30 days volatility over 5 years of PIMCO Enhanced Short Maturity ETF is 0.6%, which is smaller, thus better compared to the benchmark SPY (17.9%) in the same period.
• Looking at volatility in of 0.6% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (18.4%).

DownVol:

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

• Looking at the downside volatility of 0.4% in the last 5 years of PIMCO Enhanced Short Maturity ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (12.5%)
• Looking at downside volatility in of 0.3% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (12.6%).

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.'

• Compared with the benchmark SPY (0.75) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.62 of PIMCO Enhanced Short Maturity ETF is lower, thus worse.
• Looking at ratio of return and volatility (Sharpe) in of 3.88 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (0.55).

Sortino:

'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.'

• Compared with the benchmark SPY (1.08) in the period of the last 5 years, the downside risk / excess return profile of 0.98 of PIMCO Enhanced Short Maturity ETF is smaller, thus worse.
• During the last 3 years, the downside risk / excess return profile is 6.89, which is larger, thus better than the value of 0.8 from the benchmark.

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.'

• Compared with the benchmark SPY (8.48 ) in the period of the last 5 years, the Downside risk index of 0.8 of PIMCO Enhanced Short Maturity ETF is smaller, thus better.
• During the last 3 years, the Downside risk index is 0.15 , which is lower, thus better than the value of 5.54 from the benchmark.

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 DrawDown over 5 years of PIMCO Enhanced Short Maturity ETF is -2.4 days, which is larger, thus better compared to the benchmark SPY (-24.5 days) in the same period.
• During the last 3 years, the maximum drop from peak to valley is -0.6 days, which is larger, thus better than the value of -18.8 days from the benchmark.

MaxDuration:

'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.'

• Looking at the maximum days below previous high of 380 days in the last 5 years of PIMCO Enhanced Short Maturity ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (488 days)
• Compared with SPY (199 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 72 days is lower, thus better.

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.'

• Compared with the benchmark SPY (119 days) in the period of the last 5 years, the average days under water of 111 days of PIMCO Enhanced Short Maturity ETF is smaller, thus better.
• During the last 3 years, the average days below previous high is 19 days, which is lower, thus better than the value of 44 days from the benchmark.