MFEM vs. ZROZ
MFEM (PIMCO RAFI Dynamic Multi-Factor Emerging Markets Equity ETF) and ZROZ (PIMCO 25+ Year Zero Coupon US Treasury Index Fund) are both exchange-traded funds - MFEM is a Emerging Markets Equities fund tracking the RAFI Dynamic Multi-Factor Emerging Market Index, while ZROZ is a Government Bonds fund tracking the ICE BofA Long U.S. Treasury Principal STRIPS Index. Both are passively managed. Over the past 5 years, MFEM returned 7.21%/yr vs -14.47%/yr for ZROZ. Their -0.05 correlation means they have often moved in opposite directions in the past. MFEM charges 0.49%/yr vs 0.15%/yr for ZROZ.
Performance
MFEM vs. ZROZ - Performance Comparison
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Returns By Period
In the year-to-date period, MFEM achieves a 16.47% return, which is significantly higher than ZROZ's -7.23% return.
MFEM
- 1D
- -0.21%
- 1M
- -2.90%
- 6M
- 6.30%
- YTD
- 16.47%
- 1Y
- 30.01%
- 3Y*
- 15.79%
- 5Y*
- 7.21%
- 10Y*
- —
- ALL TIME*
- 6.85%
ZROZ
- 1D
- -1.24%
- 1M
- -7.20%
- 6M
- -6.41%
- YTD
- -7.23%
- 1Y
- -7.54%
- 3Y*
- -8.06%
- 5Y*
- -14.47%
- 10Y*
- -5.40%
- ALL TIME*
- 1.69%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $581.34K | $458.22K | $623.99K | |
| $41.31M | $45.82M | $40.38M |
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 | 16.47% | 25.33% | 4.73% | 15.14% | -19.50% | 10.77% | 11.33% | 15.26% | -14.64% | 4.86% |
ZROZ PIMCO 25+ Year Zero Coupon US Treasury Index Fund | -7.23% | -1.84% | -16.18% | 1.19% | -41.28% | -5.22% | 24.57% | 21.22% | -5.43% | 1.10% |
Correlation
The correlation between MFEM and ZROZ is 0.22, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.22 |
Correlation (3Y) Balances recent behavior with more history. | 0.15 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.08 |
Correlation (All Time) Calculated using the full available price history since Sep 6, 2017 | -0.05 |
The correlation between MFEM and ZROZ shifts across timeframes, from -0.05 (all time) to 0.22 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
MFEM vs. ZROZ — Risk / Return Rank
MFEM
ZROZ
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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| MFEM | ZROZ | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.69 | ||
| Sortino ratioReturn per unit of downside risk | +2.26 | ||
| Omega ratioGain probability vs. loss probability | 1.25 | 0.95 | +0.30 |
| Calmar ratioReturn relative to maximum drawdown | 1.97 | -0.39 | +2.36 |
| Martin ratioReturn relative to average drawdown | 5.82 | -0.82 | +6.63 |
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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.
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Drawdown Indicators
| MFEM | ZROZ | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -43.32% | -62.93% | +19.61% |
Max Drawdown (1Y)Largest decline over 1 year | -15.05% | -14.90% | -0.15% |
Max Drawdown (3Y)Largest decline over 3 years | -19.22% | -26.42% | +7.20% |
Max Drawdown (5Y)Largest decline over 5 years | -30.78% | -57.98% | +27.20% |
Max Drawdown (10Y)Largest decline over 10 years | — | -62.93% | — |
Current DrawdownCurrent decline from peak | -12.43% | -62.42% | +49.99% |
Average DrawdownAverage peak-to-trough decline | -11.43% | -24.38% | +12.95% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 5.08% | 7.18% | -2.10% |
Volatility
MFEM vs. ZROZ - Volatility Comparison
PIMCO RAFI Dynamic Multi-Factor Emerging Markets Equity ETF (MFEM) has a higher volatility of 7.50% compared to PIMCO 25+ Year Zero Coupon US Treasury Index Fund (ZROZ) at 4.20%. 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.
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Volatility by Period
| MFEM | ZROZ | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 7.50% | 4.20% | +3.30% |
Volatility (6M)Calculated over the trailing 6-month period | 20.84% | 11.11% | +9.73% |
Volatility (1Y)Calculated over the trailing 1-year period | 22.65% | 15.45% | +7.20% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 17.42% | 23.76% | -6.34% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 19.70% | 21.96% | -2.26% |
MFEM vs. ZROZ - Expense Ratio Comparison
MFEM has a 0.49% expense ratio, which is higher than ZROZ's 0.15% expense ratio.
Dividends
MFEM vs. ZROZ - Dividend Comparison
MFEM's dividend yield for the trailing twelve months is around 2.37%, less than ZROZ's 5.59% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
MFEM PIMCO RAFI Dynamic Multi-Factor Emerging Markets Equity ETF | 2.37% | 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 | 5.59% | 4.96% | 4.58% | 3.52% | 2.76% | 1.60% | 1.68% | 2.22% | 2.06% | 2.53% | 3.00% | 2.98% |
Frequently Asked Questions
MFEM and ZROZ have a correlation of 0.22, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
MFEM has higher volatility (7.50%) compared to ZROZ (4.20%). In terms of maximum drawdown, MFEM dropped -43.32% vs ZROZ's -62.93%.
On 5-year performance, MFEM leads with 7.21% vs -14.47% for ZROZ. On fees, ZROZ is cheaper at 0.15% per year. On volatility, ZROZ has been the lower-risk option at 4.20%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, MFEM has performed better with a 7.21% return vs -14.47%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
ZROZ is cheaper with a 0.15% expense ratio, compared with 0.49% for MFEM.
ZROZ has the higher dividend yield at 5.59%, compared with 2.37% for MFEM.
MFEM is categorized as Emerging Markets Equities, while ZROZ is Government Bonds. MFEM tracks RAFI Dynamic Multi-Factor Emerging Market Index, while ZROZ tracks ICE BofA Long U.S. Treasury Principal STRIPS Index. Their fees differ too: 0.49% for MFEM and 0.15% for ZROZ.
MFEM currently has the higher Sharpe Ratio (1.31 vs -0.38), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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