PJIO vs. VEU

Last updated Jun 4, 2026

PJIO (PGIM Jennison International Opportunities ETF) and VEU (Vanguard FTSE All-World ex-US ETF) are both Foreign Large Cap Equities funds. PJIO is actively managed, while VEU is passively managed. Over the past year, PJIO returned 10.77% vs 32.37% for VEU. Their correlation of 0.82 suggests significant overlap in exposure. PJIO charges 0.90%/yr vs 0.04%/yr for VEU.

Performance

PJIO vs. VEU - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in PGIM Jennison International Opportunities ETF (PJIO) and Vanguard FTSE All-World ex-US ETF (VEU). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, PJIO achieves a 9.45% return, which is significantly lower than VEU's 14.60% return.

PJIO

• 1D: -1.00%
• 1M: 9.29%
• YTD: 9.45%
• 6M: 7.89%
• 1Y: 10.77%
• 3Y*: —
• 5Y*: —
• 10Y*: —

VEU

• 1D: -0.98%
• 1M: 5.07%
• YTD: 14.60%
• 6M: 17.34%
• 1Y: 32.37%
• 3Y*: 19.62%
• 5Y*: 8.67%
• 10Y*: 9.94%

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

PJIO vs. VEU - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023
PJIO PGIM Jennison International Opportunities ETF	9.45%	17.75%	4.59%	-0.44%
VEU Vanguard FTSE All-World ex-US ETF	14.60%	32.35%	5.56%	1.57%

Correlation

The correlation between PJIO and VEU is 0.85, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.85
Correlation (All Time) Calculated using the full available price history since Dec 20, 2023	0.82

The correlation between PJIO and VEU has been stable across timeframes, ranging from 0.82 to 0.85 - a consistent structural relationship.

PJIO vs. VEU - Sectors Allocation Comparison

Sectors	PJIO	VEU
Technology	32.4%	18.5%
Industrials	20.2%	15.7%
Consumer Cyclical	19.1%	8.2%
Healthcare	9.8%	7.1%
Communication Services	8.1%	4.6%
Consumer Defensive	5.9%	5.1%
Financial Services	4.0%	23.3%
Basic Materials	-	7.1%
Energy	-	5.2%
Real Estate	-	2.0%
Utilities	-	3.2%

Return for Risk

PJIO vs. VEU — Risk / Return Rank

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

PJIO

PJIO Risk / Return Rank: 17
PJIO Sharpe Ratio Rank: 17
PJIO Sortino Ratio Rank: 18
PJIO Omega Ratio Rank: 18
PJIO Calmar Ratio Rank: 16
PJIO Martin Ratio Rank: 18

VEU

VEU Risk / Return Rank: 60
VEU Sharpe Ratio Rank: 62
VEU Sortino Ratio Rank: 61
VEU Omega Ratio Rank: 62
VEU Calmar Ratio Rank: 56
VEU Martin Ratio Rank: 61

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.

PJIO vs. VEU - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for PGIM Jennison International Opportunities ETF (PJIO) and Vanguard FTSE All-World ex-US ETF (VEU). 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.

	PJIO	VEU	Difference
Sharpe ratio: Return per unit of total volatility	0.50	2.13	-1.63
Sortino ratio: Return per unit of downside risk	0.88	2.94	-2.05
Omega ratio: Gain probability vs. loss probability	1.11	1.39	-0.28
Calmar ratio: Return relative to maximum drawdown	0.56	2.85	-2.28
Martin ratio: Return relative to average drawdown	1.81	11.06	-9.25
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

PJIO vs. VEU - Sharpe Ratio Comparison

The current PJIO Sharpe Ratio is 0.50, which is lower than the VEU Sharpe Ratio of 2.13. The chart below compares the historical Sharpe Ratios of PJIO and VEU, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	PJIO	VEU	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.50	2.13	-1.63
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	—	0.54	—
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.58	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.62	0.25	+0.37

Drawdowns

PJIO vs. VEU - Drawdown Comparison

The maximum PJIO drawdown since its inception was -19.26%, smaller than the maximum VEU drawdown of -61.52%. Use the drawdown chart below to compare losses from any high point for PJIO and VEU.

Drawdown Indicators

	PJIO	VEU	Difference
Max Drawdown Largest peak-to-trough decline	-19.26%	-61.52%	+42.26%
Max Drawdown (1Y) Largest decline over 1 year	-19.26%	-11.43%	-7.83%
Max Drawdown (3Y) Largest decline over 3 years	—	-13.69%	—
Max Drawdown (5Y) Largest decline over 5 years	—	-29.31%	—
Max Drawdown (10Y) Largest decline over 10 years	—	-34.98%	—
Current Drawdown Current decline from peak	-1.00%	-0.98%	-0.02%
Average Drawdown Average peak-to-trough decline	-4.27%	-13.13%	+8.86%
Ulcer Index Depth and duration of drawdowns from previous peaks	5.95%	2.93%	+3.02%

Volatility

PJIO vs. VEU - Volatility Comparison

PGIM Jennison International Opportunities ETF (PJIO) has a higher volatility of 9.10% compared to Vanguard FTSE All-World ex-US ETF (VEU) at 5.59%. This indicates that PJIO's price experiences larger fluctuations and is considered to be riskier than VEU based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	PJIO	VEU	Difference
Volatility (1M) Calculated over the trailing 1-month period	9.10%	5.59%	+3.51%
Volatility (6M) Calculated over the trailing 6-month period	18.76%	13.04%	+5.72%
Volatility (1Y) Calculated over the trailing 1-year period	21.52%	15.29%	+6.23%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	20.71%	16.07%	+4.64%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	20.71%	17.21%	+3.50%

PJIO vs. VEU - Expense Ratio Comparison

PJIO has a 0.90% expense ratio, which is higher than VEU's 0.04% expense ratio.

Dividends

PJIO vs. VEU - Dividend Comparison

PJIO's dividend yield for the trailing twelve months is around 0.17%, less than VEU's 2.61% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
PJIO PGIM Jennison International Opportunities ETF	0.17%	0.19%	0.22%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
VEU Vanguard FTSE All-World ex-US ETF	2.61%	3.09%	3.24%	3.32%	3.12%	3.08%	2.00%	3.10%	3.27%	2.66%	2.96%	2.95%

Frequently Asked Questions

Can I hold both PJIO and VEU in my portfolio?

PJIO and VEU have a correlation of 0.85, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, PJIO or VEU?

PJIO has higher volatility (9.10%) compared to VEU (5.59%). In terms of maximum drawdown, PJIO dropped -19.26% vs VEU's -61.52%.

Which ETF is better, PJIO or VEU?

On 1-year performance, VEU leads with 32.37% vs 10.77% for PJIO. On fees, VEU is cheaper at 0.04% per year. On volatility, VEU has been the lower-risk option at 5.59%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, PJIO or VEU?

Over the 1-year period, VEU has performed better with a 32.37% return vs 10.77%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, PJIO or VEU?

VEU is cheaper with a 0.04% expense ratio, compared with 0.90% for PJIO.

Which ETF pays a higher dividend yield, PJIO or VEU?

VEU has the higher dividend yield at 2.61%, compared with 0.17% for PJIO.

What is the main difference between PJIO and VEU?

They also come from different issuers: PGIM and Vanguard. Their fees differ too: 0.90% for PJIO and 0.04% for VEU.

Which has better risk-adjusted returns?

VEU currently has the higher Sharpe Ratio (2.13 vs 0.50), 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.