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.'

• Compared with the benchmark SPY (94.2%) in the period of the last 5 years, the total return of 11.8% of PIMCO Enhanced Short Maturity ETF is lower, thus worse.
• During the last 3 years, the total return, or performance is 8.6%, which is smaller, thus worse than the value of 27.9% from the benchmark.

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.'

• Compared with the benchmark SPY (14.2%) in the period of the last 5 years, the annual return (CAGR) of 2.3% of PIMCO Enhanced Short Maturity ETF is smaller, thus worse.
• Compared with SPY (8.6%) in the period of the last 3 years, the annual performance (CAGR) of 2.8% is lower, thus worse.

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.'

• Compared with the benchmark SPY (20.9%) in the period of the last 5 years, the historical 30 days volatility of 1.3% of PIMCO Enhanced Short Maturity ETF is smaller, thus better.
• During the last 3 years, the 30 days standard deviation is 0.7%, which is smaller, thus better than the value of 17.3% from the benchmark.

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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 risk 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%)
• Compared with SPY (12.1%) in the period of the last 3 years, the downside deviation of 0.5% is lower, thus better.

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• Compared with the benchmark SPY (0.56) in the period of the last 5 years, the risk / return profile (Sharpe) of -0.18 of PIMCO Enhanced Short Maturity ETF is smaller, thus worse.
• Looking at risk / return profile (Sharpe) in of 0.44 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (0.35).

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.'

• The downside risk / excess return profile over 5 years of PIMCO Enhanced Short Maturity ETF is -0.23, which is lower, thus worse compared to the benchmark SPY (0.78) in the same period.
• Looking at downside risk / excess return profile in of 0.65 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (0.5).

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 (9.32 ) in the period of the last 5 years, the Downside risk index of 0.9 of PIMCO Enhanced Short Maturity ETF is lower, thus better.
• Compared with SPY (10 ) in the period of the last 3 years, the Downside risk index of 1.03 is lower, 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.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum reduction from previous high of -4.6 days of PIMCO Enhanced Short Maturity ETF is greater, thus better.
• During the last 3 years, the maximum drop from peak to valley is -2.4 days, which is higher, 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.'

• The maximum time in days below previous high water mark over 5 years of PIMCO Enhanced Short Maturity ETF is 380 days, which is smaller, thus better compared to the benchmark SPY (488 days) in the same period.
• Looking at maximum days below previous high in of 380 days in the period of the last 3 years, we see it is relatively lower, 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.'

• Looking at the average days below previous high of 106 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 (123 days)
• During the last 3 years, the average days below previous high is 158 days, which is lower, thus better than the value of 180 days from the benchmark.