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

Correlation

The correlation between MFEM and VOO is 0.67, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.00.7

Performance

MFEM vs. VOO - 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 Vanguard S&P 500 ETF (VOO). The values are adjusted to include any dividend payments, if applicable.

50.00%100.00%150.00%JulyAugustSeptemberOctoberNovemberDecember
27.31%
172.02%
MFEM
VOO

Key characteristics

Sharpe Ratio

MFEM:

0.73

VOO:

2.25

Sortino Ratio

MFEM:

1.08

VOO:

2.98

Omega Ratio

MFEM:

1.14

VOO:

1.42

Calmar Ratio

MFEM:

0.64

VOO:

3.31

Martin Ratio

MFEM:

2.74

VOO:

14.77

Ulcer Index

MFEM:

3.86%

VOO:

1.90%

Daily Std Dev

MFEM:

14.48%

VOO:

12.46%

Max Drawdown

MFEM:

-42.28%

VOO:

-33.99%

Current Drawdown

MFEM:

-8.64%

VOO:

-2.47%

Returns By Period

In the year-to-date period, MFEM achieves a 6.05% return, which is significantly lower than VOO's 26.02% return.


MFEM

YTD

6.05%

1M

-1.19%

6M

-1.35%

1Y

8.61%

5Y*

4.06%

10Y*

N/A

VOO

YTD

26.02%

1M

-0.11%

6M

9.35%

1Y

26.45%

5Y*

14.79%

10Y*

13.08%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


MFEM vs. VOO - Expense Ratio Comparison

MFEM has a 0.49% expense ratio, which is higher than VOO's 0.03% 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 VOO: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

MFEM vs. VOO - 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 Vanguard S&P 500 ETF (VOO). 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 0.73, compared to the broader market0.002.004.000.732.25
The chart of Sortino ratio for MFEM, currently valued at 1.08, compared to the broader market-2.000.002.004.006.008.0010.001.082.98
The chart of Omega ratio for MFEM, currently valued at 1.14, compared to the broader market0.501.001.502.002.503.001.141.42
The chart of Calmar ratio for MFEM, currently valued at 0.64, compared to the broader market0.005.0010.0015.000.643.31
The chart of Martin ratio for MFEM, currently valued at 2.74, compared to the broader market0.0020.0040.0060.0080.00100.002.7414.77
MFEM
VOO

The current MFEM Sharpe Ratio is 0.73, which is lower than the VOO Sharpe Ratio of 2.25. The chart below compares the historical Sharpe Ratios of MFEM and VOO, 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 Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
0.73
2.25
MFEM
VOO

Dividends

MFEM vs. VOO - Dividend Comparison

MFEM's dividend yield for the trailing twelve months is around 5.66%, more than VOO's 0.91% yield.


TTM20232022202120202019201820172016201520142013
MFEM
PIMCO RAFI Dynamic Multi-Factor Emerging Markets Equity ETF
5.66%4.01%7.01%29.96%1.70%2.37%2.99%0.21%0.00%0.00%0.00%0.00%
VOO
Vanguard S&P 500 ETF
0.91%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

MFEM vs. VOO - Drawdown Comparison

The maximum MFEM drawdown since its inception was -42.28%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for MFEM and VOO. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-8.64%
-2.47%
MFEM
VOO

Volatility

MFEM vs. VOO - Volatility Comparison

The current volatility for PIMCO RAFI Dynamic Multi-Factor Emerging Markets Equity ETF (MFEM) is 3.40%, while Vanguard S&P 500 ETF (VOO) has a volatility of 3.75%. This indicates that MFEM experiences smaller price fluctuations and is considered to be less risky than VOO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%JulyAugustSeptemberOctoberNovemberDecember
3.40%
3.75%
MFEM
VOO
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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