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PYLD vs. CGMS
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


PYLDCGMS
YTD Return6.85%7.21%
1Y Return13.56%14.00%
Sharpe Ratio3.412.89
Sortino Ratio5.314.46
Omega Ratio1.741.58
Calmar Ratio6.517.42
Martin Ratio20.0322.98
Ulcer Index0.67%0.62%
Daily Std Dev3.97%4.94%
Max Drawdown-4.52%-3.79%
Current Drawdown-1.05%-0.52%

Correlation

-0.50.00.51.00.8

The correlation between PYLD and CGMS is 0.80, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Performance

PYLD vs. CGMS - Performance Comparison

In the year-to-date period, PYLD achieves a 6.85% return, which is significantly lower than CGMS's 7.21% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
5.40%
5.32%
PYLD
CGMS

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PYLD vs. CGMS - Expense Ratio Comparison

PYLD has a 0.55% expense ratio, which is higher than CGMS's 0.39% expense ratio.


PYLD
PIMCO ETF Trust - PIMCO Multisector Bond Active Exchange-Traded Fund
Expense ratio chart for PYLD: current value at 0.55% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.55%
Expense ratio chart for CGMS: current value at 0.39% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.39%

Risk-Adjusted Performance

PYLD vs. CGMS - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for PIMCO ETF Trust - PIMCO Multisector Bond Active Exchange-Traded Fund (PYLD) and Capital Group U.S. Multi-Sector Income ETF (CGMS). 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.


PYLD
Sharpe ratio
The chart of Sharpe ratio for PYLD, currently valued at 3.41, compared to the broader market-2.000.002.004.006.003.41
Sortino ratio
The chart of Sortino ratio for PYLD, currently valued at 5.31, compared to the broader market0.005.0010.005.31
Omega ratio
The chart of Omega ratio for PYLD, currently valued at 1.74, compared to the broader market1.001.502.002.503.001.74
Calmar ratio
The chart of Calmar ratio for PYLD, currently valued at 6.51, compared to the broader market0.005.0010.0015.006.51
Martin ratio
The chart of Martin ratio for PYLD, currently valued at 20.03, compared to the broader market0.0020.0040.0060.0080.00100.00120.0020.03
CGMS
Sharpe ratio
The chart of Sharpe ratio for CGMS, currently valued at 2.89, compared to the broader market-2.000.002.004.006.002.89
Sortino ratio
The chart of Sortino ratio for CGMS, currently valued at 4.46, compared to the broader market0.005.0010.004.46
Omega ratio
The chart of Omega ratio for CGMS, currently valued at 1.58, compared to the broader market1.001.502.002.503.001.58
Calmar ratio
The chart of Calmar ratio for CGMS, currently valued at 7.42, compared to the broader market0.005.0010.0015.007.42
Martin ratio
The chart of Martin ratio for CGMS, currently valued at 22.98, compared to the broader market0.0020.0040.0060.0080.00100.00120.0022.98

PYLD vs. CGMS - Sharpe Ratio Comparison

The current PYLD Sharpe Ratio is 3.41, which is comparable to the CGMS Sharpe Ratio of 2.89. The chart below compares the historical Sharpe Ratios of PYLD and CGMS, 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 Ratio1.502.002.503.003.504.00Jun 30Jul 07Jul 14Jul 21Jul 28Aug 04Aug 11Aug 18Aug 25SeptemberSep 08Sep 15Sep 22Sep 29Oct 06Oct 13Oct 20Oct 27Nov 03Nov 10
3.41
2.89
PYLD
CGMS

Dividends

PYLD vs. CGMS - Dividend Comparison

PYLD's dividend yield for the trailing twelve months is around 5.72%, less than CGMS's 5.82% yield.


TTM20232022
PYLD
PIMCO ETF Trust - PIMCO Multisector Bond Active Exchange-Traded Fund
5.72%2.72%0.00%
CGMS
Capital Group U.S. Multi-Sector Income ETF
5.82%5.84%0.97%

Drawdowns

PYLD vs. CGMS - Drawdown Comparison

The maximum PYLD drawdown since its inception was -4.52%, which is greater than CGMS's maximum drawdown of -3.79%. Use the drawdown chart below to compare losses from any high point for PYLD and CGMS. For additional features, visit the drawdowns tool.


-2.00%-1.50%-1.00%-0.50%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.05%
-0.52%
PYLD
CGMS

Volatility

PYLD vs. CGMS - Volatility Comparison

The current volatility for PIMCO ETF Trust - PIMCO Multisector Bond Active Exchange-Traded Fund (PYLD) is 1.20%, while Capital Group U.S. Multi-Sector Income ETF (CGMS) has a volatility of 1.70%. This indicates that PYLD experiences smaller price fluctuations and is considered to be less risky than CGMS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.60%0.80%1.00%1.20%1.40%1.60%JuneJulyAugustSeptemberOctoberNovember
1.20%
1.70%
PYLD
CGMS