PIMCO Low Duration Active
ALTAR
Score™
0.9% info Median Credit
S&P/Moody's
A-/B3
 
Yield to
Maturity
1.5% Current
Yield
2.7%
Macaulay
Duration
2.2 yrs Modified
Duration
2.2%


  • Description
  • Performance
  • Fundamentals
  • Rate Sensitivity
  • Rating
The PIMCO Low Duration Active ETF is a diversified portfolio of high quality bonds that is actively managed in an effort to limit interest rate exposure while maximizing returns in a risk-controlled framework.

FUND BASICS
Category Aggregate
Fund Sponsor Pacific Investment Management
Website www.pimcoetfs.com
Inception date Jan 14, 2014
Assets (mns) $94
Currency USD
Expense ratio 49 bp
Distributions Monthly

FUND STRUCTURE
Regulation Open-End Investment Company
Custodian State Street Bank & Trust Co
Weighting Not Applicable
Index replication Not Applicable

ISSUER TYPE BREAKDOWN

CONSTITUENT BREAKDOWN
No. of constituents 130
No of distinct issuers 119
Inflation protected 6%
Variable/Fixed coupon 22% /78%
Non-standard maturity (callable, etc.) 25%

TOP TEN HOLDINGS
TREASURY NOTE 1.3% 11/30/18 27.9 %
TREASURY (CPI) NOTE 0.1% 4/15/18 3.1 %
TREASURY (CPI) NOTE 0.1% 4/15/20 3.0 %
MERRILL LYNCH & CO IN 6.9% 4/25/18 1.5 %
KINDER MORGAN FINANCE 6.0% 1/15/18 1.5 %
GENERAL MOTORS FINANC 4.8% 8/15/17 1.4 %
GOLDMAN SACHS GROUP, 2.0% 4/23/21 1.4 %
FIRSTENERGY CORPORATI 2.8% 3/15/18 1.4 %
HBOS PLC 1.0% 9/06/17 1.4 %
VOLKSWAGEN GROUP OF A 0.7% 11/20/17 1.4 %
   
TOTAL 44.0 %

TOP ISSUERS
U.S. TREASURY34.0%
GOLDMAN SACHS GROUP, INC.1.8%
GENERAL MOTORS FINANCIAL CO INC1.7%
MERRILL LYNCH & CO INC1.5%
KINDER MORGAN FINANCE CO LLC1.5%

TOP COUNTRY EXPOSURE
UNITED STATES 74.5 %
BRITAIN 4.6 %
2.6 %
UNITED KINGDOM 2.2 %
CAYMAN ISLANDS 1.5 %

 





HISTORICAL RETURNS info

  Custom date range Compare to  
  thru


Standardized Annual Returns (thru May 31)
Year-to-date 1 year 5 years 10 years Since Incep.
1.2% 2.5% -- -- 2.3%

Market Correlations
versus... Beta R-squared
Barclays Agg. Bond 0.23 18%
S&P500 0.07 24%
MSCI EAFE 0.08 38%
MSCI Emg. Mkts. 0.05 29%

Technical Indicators
Recent close $101.05
Tracking Error 0.00
Avg. Premium/Discount 0.00%
Annualized volatility n/a %
Relative strength (RSI) 54
Liquidity measures
Avg. volume (thou.) 4
Avg. daily value traded (mns) $0
Turnover 0.4%
Bid/Ask (% of price) 0.44

Distributions


Yield Comparison

*Fund Category: AGGREGATE

CREDIT QUALITY: MOODY'S

DISTRIBUTION YIELD (TRAILING 12 MONTHS)
Macaulay Duration info
 
LDUR 2.2 yrs Category
Avg.*
5.0 yrs
 

Modified Duration info
 
LDUR 2.2% Category
Avg.*
4.9%

RATE SENSITIVITY ANALYSIS info
Change
in YTM
New
YTM
Est. Price
Change
Est. New
Price
+300 bp 4.52% -2.0% $98.99
+200 bp 3.52% -2.4% $98.64
+150 bp 3.02% -2.2% $98.85
+100 bp 2.52% -1.7% $99.33
+75 bp 2.27% -1.4% $99.66
+50 bp 2.02% -1.0% $100.06
+25 bp 1.77% -0.5% $100.52
0 bp 1.52% 0% $101.05
-25 bp 1.27% 0.6% $101.64
-50 bp 1.02% 1.2% $102.30
-75 bp 0.77% 2.0% $103.02
-100 bp 0.52% 2.7% $103.81
-150 bp 0.02% 4.5% $105.58
-200 bp -0.48% 6.5% $107.61
-300 bp -1.48% 11.3% $112.44

*Fund Category: AGGREGATE

ALTAR Score™


Calculation of ALTAR Score™
Adj. Yield to Maturity info 163 bp
Less: Annual "default factor" info 21 bp
Less: Expense ratio 49 bp
Equals: ALTAR Score 0.93 %
 

Average ALTAR Score™ by Category
Aggregate 1.5%
Corporate 1.8%
Emerging Market 3.8%
Government 1.4%
Inflation Protected 1.6%
Mortgage 2.7%
Municipals 2.5%
 
*Note: The PIMCO Low Duration Active is classified as a Aggregate fund.

 

Our estimate of the impact of potential defaults on investor returns, based on historical default and recovery rates for bonds of similar credit rating and maturities.
See RATING tab for calculations of ALTAR Score™
Estimate of fund sensitivity to interest rate changes based on modified duration and convexity adjustment applied to underlying bonds. Note: Less meaningful for inflation-indexed bonds.
Adds expected inflation to real YTM for inflation-linked bonds so that all instruments are compared on a nominal basis
Weighted-average term to maturity of the cash flows from a bond. All else being equal, bonds of longer duration are more sensitive to changes in interest rates than bonds of shorter duration.
Approximation of the change in bond prices given a 100 basis point shift in interest rates. A better estimate, particularly for larger moves in interest rates, is provided by the Rate Sensitivity Analysis below.