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.'

• Looking at the total return, or increase in value of 15% 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 (113%)
• Compared with SPY (63.7%) in the period of the last 3 years, the total return of 16.5% is lower, thus worse.

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 2.8% 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 (16.4%)
• Looking at annual performance (CAGR) in of 5.2% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (18%).

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 (17.5%) in the same period.
• Compared with SPY (17.3%) in the period of the last 3 years, the 30 days standard deviation of 0.5% is smaller, thus better.

DownVol:

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

• Compared with the benchmark SPY (12.1%) in the period of the last 5 years, the downside risk of 0.4% of PIMCO Enhanced Short Maturity ETF is smaller, thus better.
• Compared with SPY (11.5%) in the period of the last 3 years, the downside deviation of 0.3% is smaller, 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.'

• Looking at the ratio of return and volatility (Sharpe) of 0.59 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 (0.79)
• During the last 3 years, the ratio of return and volatility (Sharpe) is 5.18, which is larger, thus better than the value of 0.9 from the benchmark.

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 (1.15) in the period of the last 5 years, the downside risk / excess return profile of 0.92 of PIMCO Enhanced Short Maturity ETF is smaller, thus worse.
• Looking at ratio of annual return and downside deviation in of 10 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (1.35).

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.'

• The Ulcer Ratio over 5 years of PIMCO Enhanced Short Maturity ETF is 0.8 , which is lower, thus better compared to the benchmark SPY (8.48 ) in the same period.
• During the last 3 years, the Ulcer Ratio is 0.1 , which is lower, thus better than the value of 5.31 from the benchmark.

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.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum DrawDown of -2.4 days of PIMCO Enhanced Short Maturity ETF is greater, thus better.
• Looking at maximum DrawDown in of -0.6 days in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (-18.8 days).

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 smaller, thus better.
• Looking at maximum time in days below previous high water mark in of 58 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (199 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 time in days below previous high water mark over 5 years of PIMCO Enhanced Short Maturity ETF is 113 days, which is lower, thus better compared to the benchmark SPY (120 days) in the same period.
• Looking at average days under water in of 11 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (47 days).