Trailing annualized return and volatility are for full months ending in December 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 01/26/2021. (c) 2021 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 StocksPLUS Small Institutional vs. iShares Core S&P Small-Cap ETF
Up vs. Down Market Performance - PIMCO StocksPLUS Small Institutional vs. iShares Core S&P Small-Cap ETF
Market Type
Occurrences
Average Active Return
Above Benchmark
Below Benchmark
Total
% Above Benchmark
Above Benchmark
Below Benchmark
Total
Up Market
49
30
79
62%
0.94%
-0.83%
0.27%
Down Market
21
20
41
51%
0.86%
-1.43%
-0.26%
Total
70
50
120
58%
0.91%
-1.07%
0.09%
Returns Based Style Analysis
Returns Based Style Analysis
Style Category
PIMCO StocksPLUS Small Institutional
iShares Core S&P Small-Cap ETF
Large-cap Value
0.00%
0.69%
Large-cap Growth
0.00%
0.00%
Mid-cap Value
2.13%
0.00%
Mid-cap Growth
12.30%
0.90%
Small-cap Value
53.73%
48.41%
Small-cap Growth
30.24%
49.93%
Global ex-US Developed Markets
0.00%
0.00%
Emerging Markets
1.60%
0.00%
Corporate Bonds
0.00%
0.00%
Long-Term Treasuries
0.00%
0.00%
Intermediate-Term Treasuries
0.00%
0.00%
Short-Term Treasuries
0.00%
0.07%
R Squared
95.60%
99.97%
Style analysis is based on monthly returns from January 2011 to December 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 StocksPLUS Small Institutional
Holdings Based Style Analysis for PIMCO StocksPLUS Small Institutional
Ticker
Name
Category
Weight
Yield
Fees
Return Contribution
Risk Contribution
PSCSX
PIMCO StocksPLUS Small Institutional
Small Blend
100.00%
0.45%
0.75%
$22,786
100.00%
Asset Allocation
Holdings Based Style Analysis for iShares Core S&P Small-Cap ETF
Holdings Based Style Analysis for iShares Core S&P Small-Cap ETF
Ticker
Name
Category
Weight
Yield
Fees
P/E
Return Contribution
Risk Contribution
IJR
iShares Core S&P Small-Cap ETF
Small Blend
100.00%
1.11%
0.06%
21.22
$20,764
100.00%
Asset Allocation
Equity Market Capitalization
Equity Sectors
Portfolio return and risk metrics
Metric
PIMCO StocksPLUS Small Institutional
iShares Core S&P Small-Cap ETF
Arithmetic Mean (monthly)
1.17%
1.09%
Arithmetic Mean (annualized)
15.04%
13.84%
Geometric Mean (monthly)
0.99%
0.94%
Geometric Mean (annualized)
12.61%
11.89%
Volatility (monthly)
5.94%
5.37%
Volatility (annualized)
20.59%
18.59%
Downside Deviation (monthly)
3.96%
3.52%
Max. Drawdown
-35.93%
-36.12%
US Market Correlation
0.93
0.92
Beta(*)
1.08
1.00
Alpha (annualized)
-0.05%
0.00%
R2
95.91%
100.00%
Sharpe Ratio
0.65
0.67
Sortino Ratio
0.98
1.01
Treynor Ratio (%)
12.45
12.44
Calmar Ratio
0.28
0.21
Active Return
0.71%
N/A
Tracking Error
4.45%
N/A
Information Ratio
0.16
N/A
Skewness
-0.68
-0.55
Excess Kurtosis
3.74
3.43
Historical Value-at-Risk (5%)
-8.82%
-7.83%
Analytical Value-at-Risk (5%)
-8.60%
-7.74%
Conditional Value-at-Risk (5%)
-13.87%
-12.30%
Upside Capture Ratio (%)
107.52
100.00
Downside Capture Ratio (%)
106.25
100.00
Safe Withdrawal Rate
16.35%
16.45%
Perpetual Withdrawal Rate
9.65%
9.07%
Positive Periods
80 out of 120 (66.67%)
79 out of 120 (65.83%)
Gain/Loss Ratio
0.82
0.90
* iShares Core S&P Small-Cap ETF is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.
PIMCO StocksPLUS Small Institutional Returns
Annual and monthly fund returns
Year
Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
Total
2011
0.00%
5.78%
2.92%
3.70%
-1.90%
-2.40%
-2.90%
-12.45%
-11.32%
16.33%
-1.74%
2.33%
-4.68%
2012
9.44%
2.83%
2.67%
0.00%
-5.41%
5.40%
0.65%
3.62%
4.07%
-1.70%
0.99%
3.63%
28.64%
2013
5.96%
1.52%
4.87%
0.78%
2.31%
-1.81%
6.83%
-3.81%
7.34%
2.91%
4.19%
1.77%
37.45%
2014
-2.47%
4.85%
-0.91%
-3.35%
1.26%
5.37%
-6.21%
5.36%
-6.31%
7.14%
0.40%
2.14%
6.29%
2015
-3.28%
7.22%
1.05%
-2.40%
2.56%
0.29%
-0.94%
-7.99%
-6.75%
6.28%
3.59%
-5.18%
-6.64%
2016
-10.05%
-1.27%
9.74%
2.74%
2.16%
0.12%
6.58%
1.86%
1.72%
-3.82%
10.88%
3.63%
24.98%
2017
0.95%
2.61%
0.30%
1.11%
-1.80%
3.59%
1.10%
-0.89%
6.49%
1.04%
2.80%
-0.67%
17.63%
2018
2.75%
-3.79%
1.06%
1.14%
6.13%
0.72%
1.77%
3.84%
-2.19%
-11.05%
1.07%
-12.49%
-12.16%
2019
11.82%
5.18%
-1.92%
3.58%
-8.02%
7.40%
0.52%
-5.58%
2.06%
2.93%
4.22%
3.35%
26.76%
2020
-2.93%
-8.75%
-25.84%
15.77%
7.48%
4.21%
3.27%
5.99%
-3.31%
2.11%
19.20%
9.15%
19.76%
iShares Core S&P Small-Cap ETF Returns
Annual and monthly fund returns
Year
Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
Total
2011
0.12%
4.43%
2.94%
2.62%
-0.86%
-1.84%
-3.16%
-7.79%
-10.31%
14.91%
0.62%
1.26%
0.79%
2012
6.59%
2.17%
2.89%
-1.36%
-6.26%
4.23%
-0.78%
3.89%
2.31%
-2.27%
1.30%
3.14%
16.29%
2013
5.81%
1.42%
4.15%
-0.16%
4.33%
-0.11%
6.85%
-2.33%
6.15%
3.58%
4.48%
1.37%
41.32%
2014
-3.70%
4.41%
0.67%
-2.73%
0.16%
4.77%
-5.56%
4.25%
-5.21%
6.91%
-0.19%
2.89%
5.85%
2015
-3.59%
6.01%
1.61%
-2.30%
1.46%
1.06%
-0.83%
-5.19%
-3.53%
6.08%
2.70%
-4.74%
-2.07%
2016
-6.16%
1.09%
8.18%
1.20%
1.61%
0.71%
4.99%
1.40%
0.64%
-4.41%
12.52%
3.39%
26.61%
2017
-0.58%
1.61%
-0.10%
0.91%
-2.09%
2.91%
1.00%
-2.46%
7.79%
0.86%
3.50%
-0.52%
13.15%
2018
2.51%
-3.81%
1.99%
1.05%
6.45%
1.04%
3.24%
4.82%
-3.08%
-10.53%
1.60%
-12.19%
-8.49%
2019
10.63%
4.34%
-3.26%
3.86%
-8.69%
7.34%
1.19%
-4.58%
3.37%
2.03%
3.01%
3.00%
22.82%
2020
-4.02%
-9.56%
-22.55%
12.90%
4.40%
3.61%
4.28%
3.88%
-4.65%
2.55%
18.22%
8.24%
11.28%
PIMCO StocksPLUS Small Institutional Factor Regression
PIMCO StocksPLUS Small Institutional Factor Regression
Model
MKT-RF
SMB
HML
MOM
RMW
CMA
Annualized Alpha
R2
Fama-French 3-factor model
1.12
0.84
0.22
-0.54%
97.49%
Carhart 4-factor model
1.13
0.85
0.25
0.05
-0.70%
97.54%
Fama-French 5-factor model
1.09
0.79
0.15
-0.12
-0.17
-0.01%
97.88%
Factor regression from Jan 2011 to Nov 2020. Statistically significant values in bold.
iShares Core S&P Small-Cap ETF Factor Regression
iShares Core S&P Small-Cap ETF Factor Regression
Model
MKT-RF
SMB
HML
MOM
RMW
CMA
Annualized Alpha
R2
Fama-French 3-factor model
0.97
0.79
0.33
1.07%
97.83%
Carhart 4-factor model
0.99
0.80
0.36
0.07
0.86%
97.95%
Fama-French 5-factor model
0.95
0.81
0.20
0.09
0.00
1.09%
97.99%
Factor regression from Jan 2011 to Nov 2020. Statistically significant values in bold.