PM vs. VUG
PM (Philip Morris International Inc.) is a stock, while VUG (Vanguard Growth ETF) is Large Cap Growth Equities fund tracking the CRSP US Large Cap Growth Index. Over the past 10 years, PM returned 11.71%/yr vs 17.90%/yr for VUG. At a 0.35 correlation, their price movements are largely independent.
Performance
PM vs. VUG - Performance Comparison
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Returns By Period
In the year-to-date period, PM achieves a 15.93% return, which is significantly higher than VUG's 4.99% return. Over the past 10 years, PM has underperformed VUG with an annualized return of 11.71%, while VUG has yielded a comparatively higher 17.90% annualized return.
PM
- 1D
- 1.95%
- 1M
- -2.80%
- YTD
- 15.93%
- 6M
- 22.12%
- 1Y
- 3.53%
- 3Y*
- 31.18%
- 5Y*
- 18.78%
- 10Y*
- 11.71%
VUG
- 1D
- 0.18%
- 1M
- -3.64%
- YTD
- 4.99%
- 6M
- 5.66%
- 1Y
- 22.83%
- 3Y*
- 23.38%
- 5Y*
- 13.78%
- 10Y*
- 17.90%
PM vs. VUG - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
PM Philip Morris International Inc. | 15.93% | 37.99% | 34.34% | -1.85% | 12.31% | 20.78% | 3.69% | 35.02% | -33.30% | 19.85% |
VUG Vanguard Growth ETF | 4.99% | 19.40% | 32.69% | 46.83% | -33.16% | 27.35% | 40.25% | 37.03% | -3.32% | 27.72% |
Correlation
The correlation between PM and VUG is -0.14, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.14 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.01 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.11 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.21 |
Correlation (All Time) Calculated using the full available price history since Mar 17, 2008 | 0.35 |
The correlation between PM and VUG shifts across timeframes, from -0.14 (1 year) to 0.35 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
PM vs. VUG — Risk / Return Rank
PM
VUG
PM vs. VUG - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Philip Morris International Inc. (PM) and Vanguard Growth ETF (VUG). 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.
| PM | VUG | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.16 | ||
| Sortino ratioReturn per unit of downside risk | -1.41 | ||
| Omega ratioGain probability vs. loss probability | 1.05 | 1.23 | -0.18 |
| Calmar ratioReturn relative to maximum drawdown | 0.18 | 1.29 | -1.11 |
| Martin ratioReturn relative to average drawdown | 0.34 | 4.43 | -4.09 |
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Drawdowns
PM vs. VUG - Drawdown Comparison
The maximum PM drawdown since its inception was -42.87%, smaller than the maximum VUG drawdown of -50.68%. Use the drawdown chart below to compare losses from any high point for PM and VUG.
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Drawdown Indicators
| PM | VUG | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -42.87% | -50.68% | +7.81% |
Max Drawdown (1Y)Largest decline over 1 year | -20.64% | -16.53% | -4.11% |
Max Drawdown (3Y)Largest decline over 3 years | -20.64% | -22.85% | +2.21% |
Max Drawdown (5Y)Largest decline over 5 years | -22.78% | -35.61% | +12.83% |
Max Drawdown (10Y)Largest decline over 10 years | -42.87% | -35.61% | -7.26% |
Current DrawdownCurrent decline from peak | -3.94% | -5.56% | +1.62% |
Average DrawdownAverage peak-to-trough decline | -10.02% | -7.09% | -2.93% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 10.81% | 4.79% | +6.02% |
Volatility
PM vs. VUG - Volatility Comparison
Philip Morris International Inc. (PM) has a higher volatility of 7.76% compared to Vanguard Growth ETF (VUG) at 5.73%. This indicates that PM's price experiences larger fluctuations and is considered to be riskier than VUG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| PM | VUG | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 7.76% | 5.73% | +2.03% |
Volatility (6M)Calculated over the trailing 6-month period | 21.07% | 13.00% | +8.07% |
Volatility (1Y)Calculated over the trailing 1-year period | 27.73% | 16.46% | +11.27% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 22.73% | 22.30% | +0.43% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 24.46% | 21.48% | +2.98% |
Dividends
PM vs. VUG - Dividend Comparison
PM's dividend yield for the trailing twelve months is around 3.13%, more than VUG's 0.39% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
PM Philip Morris International Inc. | 3.13% | 3.52% | 4.40% | 5.46% | 4.98% | 5.16% | 5.73% | 5.43% | 6.73% | 3.99% | 4.50% | 4.60% |
VUG Vanguard Growth ETF | 0.39% | 0.41% | 0.47% | 0.58% | 0.70% | 0.48% | 0.66% | 0.95% | 1.32% | 1.14% | 1.39% | 1.30% |
Frequently Asked Questions
PM and VUG have a correlation of -0.14, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
PM has higher volatility (7.76%) compared to VUG (5.73%). In terms of maximum drawdown, PM dropped -42.87% vs VUG's -50.68%.
VUG currently has the higher Sharpe Ratio (1.29 vs 0.13), 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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