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

Performance

PMZIX vs. BIL - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in PIMCO Mortgage Opportunities and Bond Fund (PMZIX) and SPDR Barclays 1-3 Month T-Bill ETF (BIL). The values are adjusted to include any dividend payments, if applicable.

0.00%1.00%2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.49%
2.51%
PMZIX
BIL

Returns By Period

The year-to-date returns for both investments are quite close, with PMZIX having a 4.69% return and BIL slightly higher at 4.71%. Over the past 10 years, PMZIX has outperformed BIL with an annualized return of 3.15%, while BIL has yielded a comparatively lower 1.57% annualized return.


PMZIX

YTD

4.69%

1M

-0.02%

6M

3.49%

1Y

8.15%

5Y (annualized)

2.47%

10Y (annualized)

3.15%

BIL

YTD

4.71%

1M

0.41%

6M

2.52%

1Y

5.26%

5Y (annualized)

2.28%

10Y (annualized)

1.57%

Key characteristics


PMZIXBIL
Sharpe Ratio2.0820.34
Sortino Ratio3.39271.27
Omega Ratio1.41157.62
Calmar Ratio2.09479.70
Martin Ratio9.424,417.81
Ulcer Index0.87%0.00%
Daily Std Dev3.92%0.26%
Max Drawdown-9.46%-0.77%
Current Drawdown-2.02%0.00%

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PMZIX vs. BIL - Expense Ratio Comparison

PMZIX has a 0.60% expense ratio, which is higher than BIL's 0.14% 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 BIL: current value at 0.14% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.14%

Correlation

-0.50.00.51.00.0

The correlation between PMZIX and BIL is 0.02, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Risk-Adjusted Performance

PMZIX vs. BIL - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for PIMCO Mortgage Opportunities and Bond Fund (PMZIX) and SPDR Barclays 1-3 Month T-Bill ETF (BIL). 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 2.08, compared to the broader market-1.000.001.002.003.004.005.002.0820.34
The chart of Sortino ratio for PMZIX, currently valued at 3.39, compared to the broader market0.005.0010.003.39271.27
The chart of Omega ratio for PMZIX, currently valued at 1.41, compared to the broader market1.002.003.004.001.41157.62
The chart of Calmar ratio for PMZIX, currently valued at 2.09, compared to the broader market0.005.0010.0015.0020.002.09479.70
The chart of Martin ratio for PMZIX, currently valued at 9.42, compared to the broader market0.0020.0040.0060.0080.00100.009.424,417.81
PMZIX
BIL

The current PMZIX Sharpe Ratio is 2.08, which is lower than the BIL Sharpe Ratio of 20.34. The chart below compares the historical Sharpe Ratios of PMZIX and BIL, 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 Ratio0.005.0010.0015.0020.00JuneJulyAugustSeptemberOctoberNovember
2.08
20.34
PMZIX
BIL

Dividends

PMZIX vs. BIL - Dividend Comparison

PMZIX's dividend yield for the trailing twelve months is around 7.90%, more than BIL's 5.15% 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%
BIL
SPDR Barclays 1-3 Month T-Bill ETF
5.15%4.92%1.35%0.00%0.30%2.05%1.66%0.68%0.07%0.00%0.00%0.00%

Drawdowns

PMZIX vs. BIL - Drawdown Comparison

The maximum PMZIX drawdown since its inception was -9.46%, which is greater than BIL's maximum drawdown of -0.77%. Use the drawdown chart below to compare losses from any high point for PMZIX and BIL. For additional features, visit the drawdowns tool.


-2.00%-1.50%-1.00%-0.50%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.02%
0
PMZIX
BIL

Volatility

PMZIX vs. BIL - Volatility Comparison

PIMCO Mortgage Opportunities and Bond Fund (PMZIX) has a higher volatility of 0.90% compared to SPDR Barclays 1-3 Month T-Bill ETF (BIL) at 0.08%. This indicates that PMZIX's price experiences larger fluctuations and is considered to be riskier than BIL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%0.50%1.00%1.50%JuneJulyAugustSeptemberOctoberNovember
0.90%
0.08%
PMZIX
BIL