PIMCO Enhanced Short Maturity
ALTAR
Score™
0.3% info Median Credit
S&P/Moody's
BBB+/Baa1
 
Yield to
Maturity
1.0% Current
Yield
2.0%
Macaulay
Duration
1.5 yrs Modified
Duration
1.5%


  • Description
  • Performance
  • Fundamentals
  • Rate Sensitivity
  • Rating
PIMCO Enhanced Short Maturity Exchange-Traded Fund is an actively managed exchange-traded fund incorporated in the USA. The Fund's objective is to provide maximum current income, consistent with preservation of capital. The Fund is an actively managed ETF.

FUND BASICS
Category Aggregate
Fund Sponsor Pacific Investment Management
Website www.pimcoetfs.com
Inception date Nov 17, 2009
Assets (mns) $7,070
Currency USD
Expense ratio 35 bp
Distributions Monthly

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

ISSUER TYPE BREAKDOWN

CONSTITUENT BREAKDOWN
No. of constituents 345
No of distinct issuers 280
Inflation protected 0%
Variable/Fixed coupon 79% /21%
Non-standard maturity (callable, etc.) 51%

TOP TEN HOLDINGS
BEAR STEARNS ARM TRUST 200 0.0% 1.9 %
FANNIE MAE REMIC TRUST 200 0.0% 1.8 %
ACTAVIS FUNDING SCS 1.5% 3/12/20 1.2 %
GOLDMAN SACHS GROUP I 1.4% 4/23/20 1.2 %
INTESA SANPAOLO SPA 2.4% 1/13/17 1.2 %
MRFC MORTGAGE PASS-THROUGH 0.0% 1.1 %
HSBC HOLDINGS PLC 2.3% 5/25/21 1.1 %
MACQUARIE BANK LIMITE 0.0% 7/29/20 1.0 %
BP CAPITAL MARKETS PL 0.9% 9/26/18 1.0 %
SHINHAN BANK 0.9% 4/08/17 1.0 %
   
TOTAL 12.5 %

TOP ISSUERS
BEAR STEARNS ARM TRUST 2003-51.9%
FANNIE MAE REMIC TRUST 2001-461.8%
CITIGROUP INC.1.8%
BP CAPITAL MARKETS PLC1.3%
HSBC HOLDINGS PLC1.2%

TOP COUNTRY EXPOSURE
UNITED STATES 41.9 %
7.4 %
BRITAIN 3.1 %
LUXEMBOURG 2.4 %
JAPAN 2.1 %

 





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.
0.9% 2.0% 1.1% -- 1.2%

Market Correlations
versus... Beta R-squared
Barclays Agg. Bond 0.01 1%
S&P500 0.01 11%
MSCI EAFE 0.02 22%
MSCI Emg. Mkts. 0.01 23%

Technical Indicators
Recent close $101.70
Tracking Error 0.00
Avg. Premium/Discount 0.00%
Annualized volatility n/a %
Relative strength (RSI) 58
Liquidity measures
Avg. volume (thou.) 614
Avg. daily value traded (mns) $62
Turnover 0.9%
Bid/Ask (% of price) 0.02

Distributions


Yield Comparison

*Fund Category: AGGREGATE

CREDIT QUALITY: MOODY'S

DISTRIBUTION YIELD (TRAILING 12 MONTHS)
Macaulay Duration info
 
MINT 1.5 yrs Category
Avg.*
5.0 yrs
 

Modified Duration info
 
MINT 1.5% Category
Avg.*
4.9%

RATE SENSITIVITY ANALYSIS info
Change
in YTM
New
YTM
Est. Price
Change
Est. New
Price
+300 bp 4.00% -2.2% $99.45
+200 bp 3.00% -2.0% $99.68
+150 bp 2.50% -1.7% $99.99
+100 bp 2.00% -1.2% $100.43
+75 bp 1.75% -1.0% $100.70
+50 bp 1.50% -0.7% $101.00
+25 bp 1.25% -0.4% $101.34
0 bp 1.00% 0% $101.70
-25 bp 0.75% 0.4% $102.10
-50 bp 0.50% 0.8% $102.53
-75 bp 0.25% 1.3% $102.99
-100 bp 0.00% 1.8% $103.48
-150 bp -0.50% 2.8% $104.57
-200 bp -1.00% 4.0% $105.78
-300 bp -2.00% 6.8% $108.60

*Fund Category: AGGREGATE

ALTAR Score™


Calculation of ALTAR Score™
Adj. Yield to Maturity info 100 bp
Less: Annual "default factor" info 38 bp
Less: Expense ratio 35 bp
Equals: ALTAR Score 0.27 %
 

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 Enhanced Short Maturity 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.