Pacer Swan SOS Moderate January ETF

PSMD Summary

Fund FamilyNA
CategoryNA
StructureNA
Inception DateNA
Expense RatioNA
YieldNA
Net AssetsNA
Avg. VolumeNA

Report Card

F
Protect
PSMD provides poor inflation protection and very poor market risk protection. It generates -4.1% real returns with 0.0% downside volatility and 0.0% Ulcer Index.

F
Perform
PSMD provides very poor risk-adjusted returns. It has generated 0.0% annual returns over the last three years which ranks worse than 80% of all funds. It has a 0.0 Sortino ratio and 0.0 UPI, ranking in the bottom 20% of all competing funds for risk-adjusted returns.

F
Participate
PSMD has failed to provided any S&P 500 diversification advantage over the last three years. A 60% SPY/40% PSMD portfolio reduces downside risk by 100.0% but also reduces annual returns by 100.0%. Diversifying with PSMD reduces the risk-adjusted performance of the S&P 500 by 100.0% to a 0.0 UPI.

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Key Performance Metrics

Protect

We measure a funds ability to protect on against stock market declines by comparing various downside specific risk measures. Max drawdown is the largest decline for the security while the Ulcer Index quantifies both the depth and breath of all drawdowns. We also look at downside volatility and beta, both of which are measured relative to the S&P 500.
Statistic1 Year3 Years5 Years
Max Drawdown-5.52%NANA
Recovery TimeOngoingNANA
Ulcer Index1.41%NANA
Downside Volatility3.07%NANA
Downside Beta0.16NANA

Perform

We measure a securities ability to Perform by comparing net annual returns relative to our benchmarks. To measure absolute performance, we use the well-known Sharpe and Sortino ratios but prefer a risk-adjusted ratio such as Jenson's Alpha. Ultimately, performance is the most critical variable in fund selection so we take a much deeper dive into this measure.
Statistic1 Year3 Years5 Years
Annual Returns11.29%NANA
UPI4.97NANA
Sortino Ratio2.28NANA
Sharpe Ratio0.97NANA
Jensen's Alpha4.35%NANA

Participate

Participate measures the ability of a security to improve the effecient frontier of a stock portfolio. If the letter grade for this fund is an F, the fund does not provide any diversification or participation benefit. The Statistics presented are calculated using an either an optimal mix of PSMD or, if no participation benefit exists, a 60% S&P 500 and 40% PSMD.
Statistic1 Year3 Years5 Years
Ulcer Index1.41%NANA
Downside Volatility3.07%NANA
Annual Returns11.29%NANA
UPI4.97NANA
Sortino Ratio2.28NANA

Comparison

Returns
Ulcer impact
StatisticPSMDVBINX AOM MAPSA
Value Per 10K$11,129$10,455$10,481$10,886
Total Returns11.29%4.55%4.81%8.86%
Annual Returns11.29%4.55%4.81%8.86%
Standard Deviation 7.25%11.19%10.41%10.26%
Downside Deviation 3.07%6.83%5.74%5.64%
Max Drawdown -5.52%-8.27%-6.85%-5.14%
Recovery Time OngoingOngoingOngoing64 days
Ulcer Index 1.41%2.99%2.56%2.49%
Sharpe Ratio 0.970.020.050.45
Sortino Ratio 2.280.040.090.81
Ulcer Perf. Index 4.970.090.201.83
Beta 0.460.750.650.48
Downside Beta 0.160.570.250.16
Treynor Ratio 0.150.000.010.10
Jensen's Alpha 4.35%-3.99%-3.19%1.84%
Mac's Alpha 6.08%-3.01%-0.89%3.65%

Bottom Line

PSMD is a tactical/target-risk fund that will reduce or increase exposure to its core holdings based on a proprietary algorithm with the stated objective of limiting downside risk.  The investment objective of the fund is to provide meaningful participation when its benchmark index is appreciating but to limit losses when its benchmark is experiencing a significant decline.  Most investors seek out this fund as they are "more concerned with the return OF their money than the return on their money". The fund is aimed at investors who are either concerned about equity market risk or sequence of return risk.  Investors in PSMD need to consistently monitor their position to make sure the fund's exposure is consistent with your investment objectives.  

Some potential pitfalls with this fund are:

  1. May miss best days: Historically, the market's best days come at the bottom of corrections. The major knock on tactical funds is their underperformance when markets rebound.  
  2. Algo Adjustments: The manager of PSMD may change the fund's algo and the risk parameters the investor originally expected would no longer be valid.
  3. Historical Bias: PSMD, as do other tactical funds, bases its algo on historical events, trends, and market behavior. However, "past performance" is not a guarantee of future performance. Markets change and {node:field_security} may fail to adapt and thus not provide the participation or the protection that was originally intended.
  4. Human error: There is always the possibility that the manager fails to execute the strategy properly.
  5. Expenses: The fund has a moderate expense load and may be subject to expense layering where the fund buys securities that have additional expenses. Expenses may be mitigated by implementing a similar strategy directly in an individual account.

Free Risk Profile Assessment

Risk management is a critical factor in creating long-term financial security, especially for those in retirement. Too often bear markets can sabotage a lifetime of savings. And quantifying risk using yesterday’s data is too often insufficient.

For an extensive, forward-looking risk assessment profile for your investment account, fill out the form and we’ll contact you soon. Our report will answer the following:

  • Does my portfolio match my level of risk aversion?
  • Do my investments properly account for sequence of return risk?
  • What is my interest rate risk exposure?
  • What is my downside risk if the S&P 500 falls 50%?
  • Is my portfolio adequately hedged for inflation?
  • What is the upside expectation for my portfolio when the S&P 500 appreciates?
  • How will my portfolio react in various economic climates?
  • Are there more effective ways to hedge risk than my current approach?