PIMCO 1-3 YR Treasury
ALTAR
Score™
1.1% info Median Credit
S&P/Moody's
AA+/Aaa
 
Yield to
Maturity
1.2% Current
Yield
1.8%
Macaulay
Duration
1.9 yrs Modified
Duration
1.9%


  • Description
  • Performance
  • Fundamentals
  • Rate Sensitivity
  • Rating
PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund is an exchanged-traded fund incorporated in the USA. The Fund's objective is provide total return that closely corresponds to the total return of the Merrill Lynch 1-3 Year U.S. Treasury Index.

FUND BASICS
Category Government
Fund Sponsor Pacific Investment Management
Website www.pimcoetfs.com
Inception date Jun 02, 2009
Assets (mns) $119
Currency USD
Expense ratio 9 bp
Distributions Monthly

FUND STRUCTURE
Regulation Open-End Investment Company
Custodian State Street Bank & Trust Co
Weighting Market Cap
Index replication Optimized

ISSUER TYPE BREAKDOWN

CONSTITUENT BREAKDOWN
No. of constituents 25
No of distinct issuers 2
Inflation protected 0%
Variable/Fixed coupon 1% /99%
Non-standard maturity (callable, etc.) 1%

TOP TEN HOLDINGS
TREASURY NOTE 3.8% 11/15/18 6.3 %
U.S. TREASURY 0.9% 4/15/19 5.7 %
U.S. TREASURY 1.1% 6/15/18 5.1 %
U.S. TREASURY 0.9% 1/15/18 5.1 %
U.S. TREASURY 1.0% 3/15/19 4.9 %
U.S. TREASURY 3.9% 5/15/18 4.9 %
U.S. TREASURY 1.0% 1/15/19 4.5 %
U.S. TREASURY 0.8% 2/15/19 4.3 %
U.S. TREASURY 1.4% 1/15/20 4.1 %
U.S. TREASURY 1.1% 1/15/19 4.1 %
   
TOTAL 49.1 %

TOP ISSUERS
U.S. TREASURY95.4%
GOVERNMENT OF THE UNITED STATES OF...3.2%

TOP COUNTRY EXPOSURE
UNITED STATES 98.5 %

 





HISTORICAL RETURNS info

  Custom date range Compare to  
  thru


Standardized Annual Returns (thru July 31)
Year-to-date 1 year 5 years 10 years Since Incep.
0.6% 0.0% 0.5% -- 0.9%

Market Correlations
versus... Beta R-squared
Barclays Agg. Bond 0.21 64%
S&P500 -0.02 10%
MSCI EAFE -0.02 7%
MSCI Emg. Mkts. 0.00 1%

Technical Indicators
Recent close $50.76
30d moving avg. $50.71
Annualized volatility 0.8%
Short interest (ETF) 0.1%
Relative strength (RSI) 58
Liquidity measures
Avg. volume (thou.) 10
Avg. daily value traded (mns) $1
Turnover 0.4%
Bid/Ask (% of price) 0.13

Distributions


Yield Comparison

*Fund Category: GOVERNMENT

CREDIT QUALITY: MOODY'S

DISTRIBUTION YIELD (TRAILING 12 MONTHS)
Macaulay Duration info
 
TUZ 1.9 yrs Category
Avg.*
7.0 yrs
 

Modified Duration info
 
TUZ 1.9% Category
Avg.*
6.9%

RATE SENSITIVITY ANALYSIS info
Change
in YTM
New
YTM
Est. Price
Change
Est. New
Price
+300 bp 4.22% -3.7% $48.90
+200 bp 3.22% -2.9% $49.31
+150 bp 2.72% -2.3% $49.59
+100 bp 2.22% -1.6% $49.92
+75 bp 1.97% -1.3% $50.11
+50 bp 1.72% -0.9% $50.32
+25 bp 1.47% -0.5% $50.53
0 bp 1.22% 0% $50.76
-25 bp 0.97% 0.5% $51.00
-50 bp 0.72% 1.0% $51.26
-75 bp 0.47% 1.5% $51.53
-100 bp 0.22% 2.1% $51.82
-150 bp -0.28% 3.3% $52.42
-200 bp -0.78% 4.6% $53.09
-300 bp -1.78% 7.5% $54.58

*Fund Category: GOVERNMENT

ALTAR Score™


Calculation of ALTAR Score™
Adj. Yield to Maturity info 122 bp
Less: Annual "default factor" info 0 bp
Less: Expense ratio 9 bp
Equals: ALTAR Score 1.13 %
 

Average ALTAR Score™ by Category
Aggregate 1.5%
Corporate 1.9%
Emerging Market 3.7%
Government 1.3%
Inflation Protected 1.5%
Mortgage 2.7%
Municipals 2.4%
 
*Note: The PIMCO 1-3 YR Treasury is classified as a Government 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.