PIMCO Income fund had some of the largest by size exposure to Russian debt. We use quant tools to monitor daily the size and impact of this segment on the fund’s performance from the start of the Russian attack on Ukraine.
PIMCO Income Fund
In 2019, we presented a return-based analysis framework that can be used to analyze complex fixed income funds such as PIMCO Income fund. In this updated blog, we apply a similar methodology to the fund as we did previously to evaluate the performance of the fund during the COVID market distress.
Since its launch in 2007, PIMCO Income Fund has become one of the top-performing US bond funds. However, in 2019 the fund has underperformed both the benchmark and most of its peers. Using this fund as an example, we will demonstrate how advanced returns-based analysis can be used to analyze complex fixed income products without delving into volumes of complex holdings.
Dissecting Complex Fixed Income: What Drives the Performance of the World’s Largest Active Fixed Income Fund?
Webcast: December 18, 2019
Over the past 10 years, PIMCO Income fund (PIMIX) has been the top performing fund in its category and the only one in the top quartile 10 years running. However, in 2019 the fund has fallen to the bottom quartile.
Using this fund as an example, we will demonstrate how returns-based analysis can be used to analyze complex fixed income products without delving into volumes of complex holdings reported with a lag.