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MFEM vs. FNDE
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

MFEM vs. FNDE - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in PIMCO RAFI Dynamic Multi-Factor Emerging Markets Equity ETF (MFEM) and Schwab Fundamental Emerging Markets Large Company Index ETF (FNDE). The values are adjusted to include any dividend payments, if applicable.

20.00%25.00%30.00%35.00%40.00%45.00%50.00%55.00%JuneJulyAugustSeptemberOctoberNovember
27.14%
39.04%
MFEM
FNDE

Returns By Period

In the year-to-date period, MFEM achieves a 5.92% return, which is significantly lower than FNDE's 14.47% return.


MFEM

YTD

5.92%

1M

-5.36%

6M

-3.20%

1Y

12.18%

5Y (annualized)

5.15%

10Y (annualized)

N/A

FNDE

YTD

14.47%

1M

-4.48%

6M

1.19%

1Y

20.20%

5Y (annualized)

5.52%

10Y (annualized)

5.38%

Key characteristics


MFEMFNDE
Sharpe Ratio0.831.21
Sortino Ratio1.221.76
Omega Ratio1.151.22
Calmar Ratio0.721.39
Martin Ratio3.875.82
Ulcer Index3.11%3.49%
Daily Std Dev14.47%16.85%
Max Drawdown-42.28%-43.55%
Current Drawdown-8.75%-9.20%

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MFEM vs. FNDE - Expense Ratio Comparison

MFEM has a 0.49% expense ratio, which is higher than FNDE's 0.39% expense ratio.


MFEM
PIMCO RAFI Dynamic Multi-Factor Emerging Markets Equity ETF
Expense ratio chart for MFEM: current value at 0.49% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.49%
Expense ratio chart for FNDE: 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%

Correlation

-0.50.00.51.00.9

The correlation between MFEM and FNDE is 0.93, 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.

Risk-Adjusted Performance

MFEM vs. FNDE - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for PIMCO RAFI Dynamic Multi-Factor Emerging Markets Equity ETF (MFEM) and Schwab Fundamental Emerging Markets Large Company Index ETF (FNDE). 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 MFEM, currently valued at 0.86, compared to the broader market0.002.004.006.000.861.21
The chart of Sortino ratio for MFEM, currently valued at 1.26, compared to the broader market-2.000.002.004.006.008.0010.001.261.76
The chart of Omega ratio for MFEM, currently valued at 1.16, compared to the broader market0.501.001.502.002.503.001.161.22
The chart of Calmar ratio for MFEM, currently valued at 0.75, compared to the broader market0.005.0010.0015.000.751.39
The chart of Martin ratio for MFEM, currently valued at 3.95, compared to the broader market0.0020.0040.0060.0080.00100.003.955.82
MFEM
FNDE

The current MFEM Sharpe Ratio is 0.83, which is lower than the FNDE Sharpe Ratio of 1.21. The chart below compares the historical Sharpe Ratios of MFEM and FNDE, 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 Ratio0.501.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
0.86
1.21
MFEM
FNDE

Dividends

MFEM vs. FNDE - Dividend Comparison

MFEM's dividend yield for the trailing twelve months is around 5.67%, more than FNDE's 4.06% yield.


TTM20232022202120202019201820172016201520142013
MFEM
PIMCO RAFI Dynamic Multi-Factor Emerging Markets Equity ETF
5.67%4.01%7.01%29.96%1.70%2.37%2.99%0.21%0.00%0.00%0.00%0.00%
FNDE
Schwab Fundamental Emerging Markets Large Company Index ETF
4.06%4.74%5.59%4.31%2.49%3.47%3.05%2.05%1.65%2.02%1.36%0.51%

Drawdowns

MFEM vs. FNDE - Drawdown Comparison

The maximum MFEM drawdown since its inception was -42.28%, roughly equal to the maximum FNDE drawdown of -43.55%. Use the drawdown chart below to compare losses from any high point for MFEM and FNDE. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-8.75%
-9.20%
MFEM
FNDE

Volatility

MFEM vs. FNDE - Volatility Comparison

The current volatility for PIMCO RAFI Dynamic Multi-Factor Emerging Markets Equity ETF (MFEM) is 4.34%, while Schwab Fundamental Emerging Markets Large Company Index ETF (FNDE) has a volatility of 5.56%. This indicates that MFEM experiences smaller price fluctuations and is considered to be less risky than FNDE based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
4.34%
5.56%
MFEM
FNDE