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PMZIX vs. AGG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

PMZIX vs. AGG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in PIMCO Mortgage Opportunities and Bond Fund (PMZIX) and iShares Core U.S. Aggregate Bond ETF (AGG). The values are adjusted to include any dividend payments, if applicable.

0.00%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
3.49%
3.43%
PMZIX
AGG

Returns By Period

In the year-to-date period, PMZIX achieves a 4.69% return, which is significantly higher than AGG's 1.86% return. Over the past 10 years, PMZIX has outperformed AGG with an annualized return of 3.15%, while AGG has yielded a comparatively lower 1.45% annualized return.


PMZIX

YTD

4.69%

1M

-0.23%

6M

3.49%

1Y

8.15%

5Y (annualized)

2.47%

10Y (annualized)

3.15%

AGG

YTD

1.86%

1M

-0.81%

6M

3.54%

1Y

6.37%

5Y (annualized)

-0.25%

10Y (annualized)

1.45%

Key characteristics


PMZIXAGG
Sharpe Ratio2.051.12
Sortino Ratio3.341.64
Omega Ratio1.411.20
Calmar Ratio2.060.45
Martin Ratio9.383.65
Ulcer Index0.86%1.77%
Daily Std Dev3.93%5.76%
Max Drawdown-9.46%-18.43%
Current Drawdown-2.02%-8.44%

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PMZIX vs. AGG - Expense Ratio Comparison

PMZIX has a 0.60% expense ratio, which is higher than AGG's 0.05% expense ratio.


PMZIX
PIMCO Mortgage Opportunities and Bond Fund
Expense ratio chart for PMZIX: current value at 0.60% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.60%
Expense ratio chart for AGG: current value at 0.05% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.05%

Correlation

-0.50.00.51.00.6

The correlation between PMZIX and AGG is 0.60, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Risk-Adjusted Performance

PMZIX vs. AGG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for PIMCO Mortgage Opportunities and Bond Fund (PMZIX) and iShares Core U.S. Aggregate Bond ETF (AGG). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.


Sharpe ratio
The chart of Sharpe ratio for PMZIX, currently valued at 2.05, compared to the broader market-1.000.001.002.003.004.005.002.051.12
The chart of Sortino ratio for PMZIX, currently valued at 3.34, compared to the broader market0.005.0010.003.341.64
The chart of Omega ratio for PMZIX, currently valued at 1.41, compared to the broader market1.002.003.004.001.411.20
The chart of Calmar ratio for PMZIX, currently valued at 2.06, compared to the broader market0.005.0010.0015.0020.002.060.45
The chart of Martin ratio for PMZIX, currently valued at 9.38, compared to the broader market0.0020.0040.0060.0080.00100.009.383.65
PMZIX
AGG

The current PMZIX Sharpe Ratio is 2.05, which is higher than the AGG Sharpe Ratio of 1.12. The chart below compares the historical Sharpe Ratios of PMZIX and AGG, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Rolling 12-month Sharpe Ratio0.000.501.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.05
1.12
PMZIX
AGG

Dividends

PMZIX vs. AGG - Dividend Comparison

PMZIX's dividend yield for the trailing twelve months is around 7.90%, more than AGG's 3.96% yield.


TTM20232022202120202019201820172016201520142013
PMZIX
PIMCO Mortgage Opportunities and Bond Fund
7.90%6.69%7.19%3.62%3.95%4.35%4.34%3.61%5.24%4.11%3.89%4.01%
AGG
iShares Core U.S. Aggregate Bond ETF
3.96%3.13%2.39%1.77%2.14%2.70%2.96%2.32%2.39%2.45%2.40%2.32%

Drawdowns

PMZIX vs. AGG - Drawdown Comparison

The maximum PMZIX drawdown since its inception was -9.46%, smaller than the maximum AGG drawdown of -18.43%. Use the drawdown chart below to compare losses from any high point for PMZIX and AGG. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.02%
-8.44%
PMZIX
AGG

Volatility

PMZIX vs. AGG - Volatility Comparison

The current volatility for PIMCO Mortgage Opportunities and Bond Fund (PMZIX) is 0.90%, while iShares Core U.S. Aggregate Bond ETF (AGG) has a volatility of 1.50%. This indicates that PMZIX experiences smaller price fluctuations and is considered to be less risky than AGG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.80%1.00%1.20%1.40%1.60%1.80%JuneJulyAugustSeptemberOctoberNovember
0.90%
1.50%
PMZIX
AGG