PMEFX vs. MO
PMEFX (Penn Mutual Am 1847 Income Fund) is Diversified Portfolio fund managed by Penn Mutual Asset Management, while MO (Altria Group, Inc.) is a stock. Over the past 5 years, PMEFX returned 2.98%/yr vs 17.31%/yr for MO. At a 0.28 correlation, their price movements are largely independent.
Performance
PMEFX vs. MO - Performance Comparison
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Returns By Period
PMEFX
- 1D
- 0.00%
- 1M
- 0.00%
- YTD
- 0.00%
- 6M
- 0.00%
- 1Y
- -1.36%
- 3Y*
- 4.94%
- 5Y*
- 2.98%
- 10Y*
- —
MO
- 1D
- 3.02%
- 1M
- -1.65%
- YTD
- 28.16%
- 6M
- 28.09%
- 1Y
- 26.41%
- 3Y*
- 27.50%
- 5Y*
- 17.31%
- 10Y*
- 7.76%
PMEFX vs. MO - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
PMEFX Penn Mutual Am 1847 Income Fund | 0.00% | 1.11% | 9.80% | 9.80% | -4.30% | 9.78% | 6.47% |
MO Altria Group, Inc. | 28.16% | 18.17% | 40.76% | -3.70% | 4.37% | 24.18% | 2.65% |
Correlation
The correlation between PMEFX and MO is -0.10, 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 | -0.10 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.10 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.23 |
Correlation (All Time) Calculated using the full available price history since Jul 31, 2020 | 0.28 |
The correlation between PMEFX and MO shifts across timeframes, from -0.10 (1 year) to 0.28 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
PMEFX vs. MO — Risk / Return Rank
PMEFX
MO
PMEFX vs. MO - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Penn Mutual Am 1847 Income Fund (PMEFX) and Altria Group, Inc. (MO). 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.
| PMEFX | MO | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.33 | ||
| Sortino ratioReturn per unit of downside risk | -1.79 | ||
| Omega ratioGain probability vs. loss probability | 0.94 | 1.22 | -0.28 |
| Calmar ratioReturn relative to maximum drawdown | -0.19 | 1.62 | -1.81 |
| Martin ratioReturn relative to average drawdown | -0.26 | 4.05 | -4.31 |
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Drawdowns
PMEFX vs. MO - Drawdown Comparison
The maximum PMEFX drawdown since its inception was -13.27%, smaller than the maximum MO drawdown of -65.43%. Use the drawdown chart below to compare losses from any high point for PMEFX and MO.
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Drawdown Indicators
| PMEFX | MO | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -13.27% | -65.43% | +52.16% |
Max Drawdown (1Y)Largest decline over 1 year | -7.19% | -16.40% | +9.21% |
Max Drawdown (3Y)Largest decline over 3 years | -10.04% | -16.40% | +6.36% |
Max Drawdown (5Y)Largest decline over 5 years | -13.02% | -25.83% | +12.81% |
Max Drawdown (10Y)Largest decline over 10 years | — | -53.69% | — |
Current DrawdownCurrent decline from peak | -7.19% | -2.51% | -4.68% |
Average DrawdownAverage peak-to-trough decline | -3.13% | -11.92% | +8.79% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 4.88% | 6.55% | -1.67% |
Volatility
PMEFX vs. MO - Volatility Comparison
The current volatility for Penn Mutual Am 1847 Income Fund (PMEFX) is 0.00%, while Altria Group, Inc. (MO) has a volatility of 7.60%. This indicates that PMEFX experiences smaller price fluctuations and is considered to be less risky than MO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| PMEFX | MO | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.00% | 7.60% | -7.60% |
Volatility (6M)Calculated over the trailing 6-month period | 6.60% | 17.99% | -11.39% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.79% | 22.94% | -15.15% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 7.88% | 20.72% | -12.84% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 7.66% | 23.02% | -15.36% |
Dividends
PMEFX vs. MO - Dividend Comparison
PMEFX's dividend yield for the trailing twelve months is around 7.34%, more than MO's 5.92% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
MO Altria Group, Inc. | 5.92% | 7.21% | 7.65% | 9.52% | 8.05% | 7.43% | 8.29% | 6.57% | 6.07% | 3.56% | 3.48% | 3.73% |
PMEFX Penn Mutual Am 1847 Income Fund | 7.34% | 8.73% | 6.16% | 4.41% | 3.25% | 13.55% | 1.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
PMEFX and MO have a correlation of -0.10, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
MO has higher volatility (7.60%) compared to PMEFX (0.00%). In terms of maximum drawdown, PMEFX dropped -13.27% vs MO's -65.43%.
MO currently has the higher Sharpe Ratio (1.16 vs -0.17), 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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