MFEM vs. ZROZ

Last updated Apr 1, 2026

Compare and contrast key facts about PIMCO RAFI Dynamic Multi-Factor Emerging Markets Equity ETF (MFEM) and PIMCO 25+ Year Zero Coupon US Treasury Index Fund (ZROZ).

MFEM and ZROZ are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. MFEM is a passively managed fund by PIMCO that tracks the performance of the RAFI Dynamic Multi-Factor Emerging Market Index. It was launched on Aug 31, 2017. ZROZ is a passively managed fund by PIMCO that tracks the performance of the BofA Merrill Lynch Long Treasury Principal STRIPS Index. It was launched on Oct 30, 2009. Both MFEM and ZROZ are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.

Performance

MFEM vs. ZROZ - 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 PIMCO 25+ Year Zero Coupon US Treasury Index Fund (ZROZ). The values are adjusted to include any dividend payments, if applicable.

MFEM vs. ZROZ - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
MFEM PIMCO RAFI Dynamic Multi-Factor Emerging Markets Equity ETF	8.20%	25.33%	4.73%	15.14%	-19.50%	10.77%	11.33%	15.26%	-14.64%	4.82%
ZROZ PIMCO 25+ Year Zero Coupon US Treasury Index Fund	-0.37%	-1.84%	-16.18%	1.19%	-41.28%	-5.22%	24.57%	21.22%	-5.43%	2.12%

Returns By Period

In the year-to-date period, MFEM achieves a 8.20% return, which is significantly higher than ZROZ's -0.37% return.

MFEM

• 1D: 2.92%
• 1M: -9.87%
• YTD: 8.20%
• 6M: 12.54%
• 1Y: 35.23%
• 3Y*: 16.17%
• 5Y*: 6.37%
• 10Y*: —

ZROZ

• 1D: -0.61%
• 1M: -6.35%
• YTD: -0.37%
• 6M: -3.49%
• 1Y: -6.32%
• 3Y*: -8.90%
• 5Y*: -11.00%
• 10Y*: -3.82%

*Multi-year figures are annualized to reflect compound growth (CAGR)

MFEM vs. ZROZ - Expense Ratio Comparison

MFEM has a 0.49% expense ratio, which is higher than ZROZ's 0.15% expense ratio.

MFEM

PIMCO RAFI Dynamic Multi-Factor Emerging Markets Equity ETF

ZROZ

PIMCO 25+ Year Zero Coupon US Treasury Index Fund

Return for Risk

MFEM vs. ZROZ — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

MFEM

MFEM Risk / Return Rank: 88
MFEM Sharpe Ratio Rank: 89
MFEM Sortino Ratio Rank: 89
MFEM Omega Ratio Rank: 89
MFEM Calmar Ratio Rank: 87
MFEM Martin Ratio Rank: 87

ZROZ

ZROZ Risk / Return Rank: 7
ZROZ Sharpe Ratio Rank: 6
ZROZ Sortino Ratio Rank: 6
ZROZ Omega Ratio Rank: 6
ZROZ Calmar Ratio Rank: 7
ZROZ Martin Ratio Rank: 8

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

MFEM vs. ZROZ - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for PIMCO RAFI Dynamic Multi-Factor Emerging Markets Equity ETF (MFEM) and PIMCO 25+ Year Zero Coupon US Treasury Index Fund (ZROZ). 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.

	MFEM	ZROZ	Difference
Sharpe ratio Return per unit of total volatility	1.89	-0.33	+2.22
Sortino ratio Return per unit of downside risk	2.47	-0.34	+2.80
Omega ratio Gain probability vs. loss probability	1.37	0.96	+0.41
Calmar ratio Return relative to maximum drawdown	2.71	-0.30	+3.02
Martin ratio Return relative to average drawdown	10.38	-0.53	+10.91
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

MFEM vs. ZROZ - Sharpe Ratio Comparison

The current MFEM Sharpe Ratio is 1.89, which is higher than the ZROZ Sharpe Ratio of -0.33. The chart below compares the historical Sharpe Ratios of MFEM and ZROZ, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Sharpe Ratios by Period

	MFEM	ZROZ	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.89	-0.33	+2.22
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.40	-0.46	+0.86
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	-0.17	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.32	0.09	+0.23

Correlation

The correlation between MFEM and ZROZ is -0.07. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.

Dividends

MFEM vs. ZROZ - Dividend Comparison

MFEM's dividend yield for the trailing twelve months is around 2.56%, less than ZROZ's 4.98% yield.

	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
MFEM PIMCO RAFI Dynamic Multi-Factor Emerging Markets Equity ETF	2.56%	2.77%	5.89%	4.01%	7.01%	29.96%	1.70%	2.37%	1.18%	0.21%	0.00%	0.00%
ZROZ PIMCO 25+ Year Zero Coupon US Treasury Index Fund	4.98%	4.96%	4.58%	3.52%	2.76%	1.60%	1.68%	2.22%	2.06%	2.53%	3.00%	2.98%

Drawdowns

MFEM vs. ZROZ - Drawdown Comparison

The maximum MFEM drawdown since its inception was -43.32%, smaller than the maximum ZROZ drawdown of -62.93%. Use the drawdown chart below to compare losses from any high point for MFEM and ZROZ.

Drawdown Indicators

	MFEM	ZROZ	Difference
Max Drawdown Largest peak-to-trough decline	-43.32%	-62.93%	+19.61%
Max Drawdown (1Y) Largest decline over 1 year	-12.86%	-15.63%	+2.77%
Max Drawdown (5Y) Largest decline over 5 years	-31.39%	-57.98%	+26.59%
Max Drawdown (10Y) Largest decline over 10 years	—	-62.93%	—
Current Drawdown Current decline from peak	-10.31%	-59.65%	+49.34%
Average Drawdown Average peak-to-trough decline	-11.67%	-23.66%	+11.99%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.36%	8.99%	-5.63%

Volatility

MFEM vs. ZROZ - Volatility Comparison

PIMCO RAFI Dynamic Multi-Factor Emerging Markets Equity ETF (MFEM) has a higher volatility of 10.30% compared to PIMCO 25+ Year Zero Coupon US Treasury Index Fund (ZROZ) at 5.79%. This indicates that MFEM's price experiences larger fluctuations and is considered to be riskier than ZROZ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	MFEM	ZROZ	Difference
Volatility (1M) Calculated over the trailing 1-month period	10.30%	5.79%	+4.51%
Volatility (6M) Calculated over the trailing 6-month period	14.44%	10.85%	+3.59%
Volatility (1Y) Calculated over the trailing 1-year period	18.72%	19.16%	-0.44%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.12%	23.93%	-7.81%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	19.22%	22.09%	-2.87%