Fund Performance Analysis

Select mutual fund or ETF for analysis. You can also choose the benchmark to compare the fund against.

Fund Information (Apr 2007 - Sep 2020)

Fund information
NamePIMCO Income Instl (PIMIX)
Asset ClassTaxable Bond
CategoryMultisector Bond
Fund BenchmarkBBgBarc US Agg Bond TR USD
Selected BenchmarkVanguard Total Bond Market Index Inv (VBMFX)
Price/Earnings (TTM)7.88
Effective Duration1.67
Yield (SEC)3.60%
Yield (TTM)5.71%
Assets125.18 B
Expense Ratio1.09%
Inception Date03/30/2007

Performance Summary

Fund performance summary
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
PIMCO Income Instl$10,000$27,812 7.87% 4.93%22.17%-5.47%-10.39% 1.382.160.57
Vanguard Total Bond Market Index Inv$10,000$17,813 4.37% 3.35%8.61%-2.26%-3.99% 1.061.96-0.01

Trailing Returns

Trailing Returns
Name3 MonthYTD1 year3 year5 year10 yearFull
PIMCO Income Instl3.01%1.28%3.84%3.63%5.49%7.03%7.87%
Vanguard Total Bond Market Index Inv0.59%6.92%6.93%5.20%4.09%3.48%4.37%
Trailing returns are for full months ending in September 2020 excluding portfolio cashflows.
Notes on results:
  • Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
  • All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • Fund fundamentals data as of 10/27/2020. (c) 2020 Morningstar. All Rights Reserved. The fund fundamentals information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.
  • Displayed expense ratio is the prospectus net expense ratio
  • CAGR = Compound Annual Growth Rate
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe and Sortino ratios are calculated and annualized from monthly excess returns over risk free rate (3-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns

Up vs. Down Market Performance

PIMCO Income Instl vs. Vanguard Total Bond Market Index Inv

Up vs. Down Market Performance - PIMCO Income Instl vs. Vanguard Total Bond Market Index Inv
Market TypeOccurrencesAverage Active Return
Above BenchmarkBelow BenchmarkTotal% Above BenchmarkAbove BenchmarkBelow BenchmarkTotal
Up Market644410859%0.94%-0.90%0.19%
Down Market39155472%1.16%-1.31%0.47%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryVanguard Total Bond Market Index Inv
Large-cap Value0.00%
Large-cap Growth0.94%
Mid-cap Value0.00%
Mid-cap Growth0.92%
Small-cap Value0.00%
Small-cap Growth0.00%
Global ex-US Developed Markets0.00%
Emerging Markets2.01%
Corporate Bonds15.04%
Long-Term Treasuries3.66%
Intermediate-Term Treasuries26.12%
Short-Term Treasuries51.31%
R Squared90.26%
Style analysis is based on monthly returns from Apr 2007 to Sep 2020 and uses total portfolio return with monthly rebalancing. Returns based style analysis aims to explain the portfolio returns based on asset class exposures, it does not identify the actual portfolio holdings.

Holdings Based Style Analysis for PIMCO Income Instl

Holdings Based Style Analysis for PIMCO Income Instl
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
PIMIXPIMCO Income InstlMultisector Bond100.00%1.09%7.881.67$17,812100.00%

Asset Allocation

Holdings Based Style Analysis for Vanguard Total Bond Market Index Inv

Holdings Based Style Analysis for Vanguard Total Bond Market Index Inv
TickerNameCategoryWeightERDurationReturn ContributionRisk Contribution
VBMFXVanguard Total Bond Market Index InvIntermediate Core Bond100.00%0.15%6.55$7,813100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Portfolio return and risk metrics
MetricPIMCO Income InstlVanguard Total Bond Market Index Inv
Arithmetic Mean (monthly)0.64%0.36%
Arithmetic Mean (annualized)8.00%4.43%
Geometric Mean (monthly)0.63%0.36%
Geometric Mean (annualized)7.87%4.37%
Volatility (monthly)1.42%0.97%
Volatility (annualized)4.93%3.35%
Downside Deviation (monthly)0.90%0.49%
Max. Drawdown-10.39%-3.99%
US Market Correlation0.57-0.01
Alpha (annualized)5.10%0.00%
Sharpe Ratio1.381.06
Sortino Ratio2.161.96
Treynor Ratio (%)11.423.53
Calmar Ratio0.432.16
Active Return3.50%N/A
Tracking Error4.68%N/A
Information Ratio0.75N/A
Excess Kurtosis8.661.16
Historical Value-at-Risk (5%)-1.21%-1.09%
Analytical Value-at-Risk (5%)-1.70%-1.23%
Conditional Value-at-Risk (5%)-3.14%-1.70%
Upside Capture Ratio (%)122.38100.00
Downside Capture Ratio (%)27.58100.00
Safe Withdrawal Rate11.70%9.26%
Perpetual Withdrawal Rate5.87%2.58%
Positive Periods122 out of 162 (75.31%)108 out of 162 (66.67%)
Gain/Loss Ratio1.131.36
* Vanguard Total Bond Market Index Inv is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

PIMCO Income Instl Returns

Annual and monthly fund returns

Vanguard Total Bond Market Index Inv Returns

Annual and monthly fund returns
Rolling returns summary
Roll PeriodPIMCO Income InstlVanguard Total Bond Market Index Inv
1 year8.61%22.17%-5.47%3.94%8.61%-2.26%
3 years9.32%16.11%4.86%3.59%6.64%1.21%
5 years9.14%14.36%5.49%3.32%5.80%1.91%
7 years8.97%11.57%5.75%3.23%4.60%1.92%
10 years9.25%9.83%8.76%3.57%3.84%3.31%
Result statistics are based on annualized rolling returns over full calendar year periods