PMEFX vs. MO
PMEFX (Penn Mutual AM 1847 Income Fund) is Diversified Portfolio fund managed by Penn Mutual, while MO (Altria Group, Inc.) is a stock. Over the past 5 years, PMEFX returned 2.89%/yr vs 15.79%/yr for MO. Their 0.27 correlation means their historical movements had little consistent relationship.
Performance
PMEFX vs. MO - Performance Comparison
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Returns By Period
PMEFX
- 1D
- 0.00%
- 1M
- 0.00%
- 6M
- 0.00%
- YTD
- 0.00%
- 1Y
- -3.78%
- 3Y*
- 4.63%
- 5Y*
- 2.89%
- 10Y*
- —
- ALL TIME*
- 5.31%
MO
- 1D
- -9.32%
- 1M
- -5.57%
- 6M
- 17.32%
- YTD
- 21.59%
- 1Y
- 17.96%
- 3Y*
- 23.42%
- 5Y*
- 15.79%
- 10Y*
- 7.10%
- ALL TIME*
- 17.79%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $622.44M | $544.04M | $591.69M | |
| $0.00 | $0.00 | $0.00 |
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. | 21.59% | 18.17% | 40.76% | -3.70% | 4.37% | 24.18% | 2.65% |
Correlation
The correlation between PMEFX and MO is -0.10, meaning there was essentially no consistent relationship between their historical price movements. Each responded to its own set of market drivers.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | -0.10 |
Correlation (3Y) Balances recent behavior with more history. | 0.10 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.21 |
Correlation (All Time) Calculated using the full available price history since Jul 31, 2020 | 0.27 |
The correlation between PMEFX and MO shifts across timeframes, from -0.10 (1 year) to 0.27 (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 | -1.37 | ||
| Sortino ratioReturn per unit of downside risk | -1.72 | ||
| Omega ratioGain probability vs. loss probability | 0.68 | 1.16 | -0.47 |
| Calmar ratioReturn relative to maximum drawdown | -0.67 | 1.10 | -1.77 |
| Martin ratioReturn relative to average drawdown | -0.83 | 2.74 | -3.58 |
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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 | -12.12% | -25.83% | +13.71% |
Max Drawdown (10Y)Largest decline over 10 years | — | -53.69% | — |
Current DrawdownCurrent decline from peak | -7.19% | -9.32% | +2.13% |
Average DrawdownAverage peak-to-trough decline | -3.19% | -11.90% | +8.71% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 5.30% | 6.57% | -1.27% |
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 12.11%. 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% | 12.11% | -12.11% |
Volatility (6M)Calculated over the trailing 6-month period | 0.00% | 20.88% | -20.88% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.48% | 25.21% | -17.73% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 7.83% | 21.28% | -13.45% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 7.61% | 23.29% | -15.68% |
Dividends
PMEFX vs. MO - Dividend Comparison
PMEFX's dividend yield for the trailing twelve months is around 5.89%, less than MO's 6.24% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
MO Altria Group, Inc. | 6.24% | 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 | 5.89% | 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 (12.11%) 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 (0.72 vs -0.64), 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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