Fund Performance Analysis

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Fund Information (Dec 2009 - Feb 2021)

Fund information
NamePIMCO 25+ Year Zero Coupon US Trs ETF (ZROZ)
Asset ClassTaxable Bond
CategoryLong Government
Fund BenchmarkICE BofA LongUS Ty Princ STRIPS TR USD
Selected BenchmarkVanguard Extended Duration Trs ETF (EDV)
Effective Duration27.52
Yield (SEC)1.78%
Yield (TTM)1.92%
Assets323.80 M
Equity Holdings0
Bond Holdings21
Total Holdings22
Turnover14%
Expense Ratio0.15%
Inception Date10/30/2009

Performance Summary

Fund performance summary
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
PIMCO 25+ Year Zero Coupon US Trs ETF$10,000$25,711 8.76% 21.57%60.27%-20.91%-28.72% 0.470.87-0.46
Vanguard Extended Duration Trs ETF$10,000$25,473 8.67% 19.75%56.08%-19.86%-26.75% 0.490.90-0.47
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 MonthYTD1 year3 year5 year10 yearFull3 year5 year
PIMCO 25+ Year Zero Coupon US Trs ETF-14.82%-13.57%-11.83%11.23%5.12%10.46%8.76%20.54%18.57%
Vanguard Extended Duration Trs ETF-13.61%-12.08%-8.97%10.80%5.05%10.20%8.67%18.56%16.97%
Trailing annualized return and volatility are for full months ending in February 2021 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 03/05/2021. (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 25+ Year Zero Coupon US Trs ETF vs. Vanguard Extended Duration Trs ETF

Up vs. Down Market Performance - PIMCO 25+ Year Zero Coupon US Trs ETF vs. Vanguard Extended Duration Trs ETF
Market TypeOccurrencesAverage Active Return
Above BenchmarkBelow BenchmarkTotal% Above BenchmarkAbove BenchmarkBelow BenchmarkTotal
Up Market51176875%0.65%-0.33%0.41%
Down Market13546719%0.34%-0.50%-0.34%
Total647113547%0.59%-0.46%0.04%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPIMCO 25+ Year Zero Coupon US Trs ETFVanguard Extended Duration Trs ETF
Large-cap Value0.00%0.00%
Large-cap Growth0.00%0.00%
Mid-cap Value0.00%0.00%
Mid-cap Growth0.00%0.00%
Small-cap Value0.00%0.00%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets0.00%0.00%
Emerging Markets0.00%0.00%
Corporate Bonds0.00%0.00%
Long-Term Treasuries100.00%100.00%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.00%0.00%
R Squared82.89%87.37%
Style analysis is based on monthly returns from December 2009 to February 2021 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 25+ Year Zero Coupon US Trs ETF

Holdings Based Style Analysis for PIMCO 25+ Year Zero Coupon US Trs ETF
TickerNameCategoryWeightYieldFeesDurationReturn ContributionRisk Contribution
ZROZPIMCO 25+ Year Zero Coupon US Trs ETFLong Government100.00%1.78%0.15%27.52$15,711100.00%

Asset Allocation

Holdings Based Style Analysis for Vanguard Extended Duration Trs ETF

Holdings Based Style Analysis for Vanguard Extended Duration Trs ETF
TickerNameCategoryWeightYieldFeesDurationReturn ContributionRisk Contribution
EDVVanguard Extended Duration Trs ETFLong Government100.00%2.15%0.07%24.28$15,473100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Portfolio return and risk metrics
MetricPIMCO 25+ Year Zero Coupon US Trs ETFVanguard Extended Duration Trs ETF
Arithmetic Mean (monthly)0.89%0.85%
Arithmetic Mean (annualized)11.18%10.70%
Geometric Mean (monthly)0.70%0.70%
Geometric Mean (annualized)8.76%8.67%
Volatility (monthly)6.23%5.70%
Volatility (annualized)21.57%19.75%
Downside Deviation (monthly)3.35%3.07%
Max. Drawdown-28.72%-26.75%
US Market Correlation-0.46-0.47
Beta(*)1.091.00
Alpha (annualized)-0.48%-0.00%
R299.48%100.00%
Sharpe Ratio0.470.49
Sortino Ratio0.870.90
Treynor Ratio (%)9.289.67
Calmar Ratio0.500.53
Active Return0.09%N/A
Tracking Error2.36%N/A
Information Ratio0.04N/A
Skewness0.900.85
Excess Kurtosis1.651.56
Historical Value-at-Risk (5%)-7.67%-6.69%
Analytical Value-at-Risk (5%)-9.36%-8.53%
Conditional Value-at-Risk (5%)-9.76%-8.98%
Upside Capture Ratio (%)108.72100.00
Downside Capture Ratio (%)108.84100.00
Safe Withdrawal Rate12.27%12.23%
Perpetual Withdrawal Rate6.09%6.02%
Positive Periods69 out of 135 (51.11%)68 out of 135 (50.37%)
Gain/Loss Ratio1.401.47
* Vanguard Extended Duration Trs ETF is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

PIMCO 25+ Year Zero Coupon US Trs ETF Returns

Annual and monthly fund returns
YearJanFebMarAprMayJunJulAugSepOctNovDecTotal
2009-9.62%-9.62%
20101.91%-0.23%-4.91%6.30%9.50%9.89%-3.28%14.35%-5.46%-9.92%-2.32%-3.43%9.88%
2011-7.97%4.06%-0.29%3.62%5.02%-5.07%6.77%18.21%25.97%-6.41%3.43%5.57%60.27%
2012-2.29%-3.27%-7.13%6.94%14.98%-2.31%6.27%-2.82%-4.11%-0.88%1.59%-3.98%0.98%
2013-5.06%1.25%-1.02%8.10%-10.32%-4.67%-3.95%-1.33%-0.49%1.90%-4.96%-1.52%-20.91%
201410.14%0.89%1.79%3.41%4.66%-0.09%1.34%7.59%-3.93%4.34%4.14%6.12%47.73%
201516.00%-10.07%1.17%-5.68%-4.17%-6.71%7.17%-0.91%2.10%-0.47%-1.21%-1.05%-6.10%
20169.15%4.08%0.10%-1.79%1.35%10.07%3.80%-0.59%-2.94%-6.80%-11.81%-0.52%2.05%
20171.08%2.34%-1.18%1.30%3.33%1.55%-1.58%5.16%-3.33%0.38%1.29%3.83%14.76%
2018-4.80%-4.97%4.66%-3.18%3.33%0.98%-2.15%1.75%-4.41%-5.78%2.74%8.26%-4.61%
20190.67%-2.24%8.06%-3.19%10.92%0.52%0.51%17.59%-4.15%-1.58%-0.42%-4.87%21.24%
202011.15%9.85%7.33%2.65%-3.64%0.52%6.82%-7.55%0.52%-4.90%2.72%-1.45%24.56%
2021-5.43%-8.61%-13.57%

Vanguard Extended Duration Trs ETF Returns

Annual and monthly fund returns
YearJanFebMarAprMayJunJulAugSepOctNovDecTotal
2009-8.87%-8.87%
20102.83%-0.74%-4.17%6.05%8.41%8.31%-2.24%12.88%-4.37%-9.14%-1.87%-4.15%9.87%
2011-6.20%2.70%-0.12%3.12%5.73%-4.33%5.99%16.37%23.80%-6.68%3.46%5.48%56.08%
2012-1.53%-3.28%-6.63%6.72%14.08%-2.24%5.81%-2.54%-4.04%-0.39%1.78%-3.61%2.37%
2013-5.03%1.55%-0.70%7.32%-9.77%-4.57%-3.61%-1.14%-0.41%1.89%-4.37%-2.07%-19.86%
20149.71%0.35%1.91%2.94%4.10%-0.25%1.48%6.97%-2.97%4.19%4.34%5.33%44.66%
201514.25%-9.12%1.45%-5.62%-3.64%-6.07%7.04%-0.79%2.23%-0.41%-1.43%-0.77%-4.84%
20168.43%4.07%-0.19%-1.10%1.02%9.72%3.35%-1.47%-2.34%-6.18%-11.49%-0.31%1.65%
20171.25%1.95%-0.97%1.84%3.20%1.26%-1.26%4.89%-3.35%0.09%1.35%3.16%13.96%
2018-4.27%-4.29%4.12%-2.77%2.33%1.35%-2.21%1.65%-4.10%-4.61%2.18%8.08%-3.39%
20190.18%-1.77%7.50%-3.00%9.74%0.75%0.44%15.47%-3.50%-1.99%-0.08%-4.56%18.68%
202010.32%8.24%8.03%2.35%-3.23%0.47%6.29%-6.73%1.07%-4.49%2.42%-1.74%23.62%
2021-4.70%-7.74%-12.08%
Rolling returns summary
Roll PeriodPIMCO 25+ Year Zero Coupon US Trs ETFVanguard Extended Duration Trs ETF
AverageHighLowAverageHighLow
1 year13.26%71.33%-23.89%12.56%64.60%-22.03%
3 years8.87%21.19%-3.36%8.63%20.63%-2.62%
5 years8.82%18.79%1.53%8.61%17.72%1.94%
7 years8.48%13.65%2.72%8.27%12.94%2.90%
10 years11.28%13.61%9.54%10.87%12.99%9.31%