PZRIX vs. PMJIX

Last updated Jun 24, 2026

PZRIX (PIMCO RAE Global ex-US Fund) and PMJIX (PIMCO RAE US Small Fund) are both mutual funds - PZRIX is a Foreign Large Cap Equities fund managed by PIMCO, while PMJIX is a Small Cap Value Equities fund managed by PIMCO. Over the past 10 years, PZRIX returned 10.42%/yr vs 14.05%/yr for PMJIX. A 0.69 correlation means they provide meaningful diversification when combined. PZRIX charges 0.00%/yr vs 0.50%/yr for PMJIX.

Performance

PZRIX vs. PMJIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in PIMCO RAE Global ex-US Fund (PZRIX) and PIMCO RAE US Small Fund (PMJIX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, PZRIX achieves a 10.46% return, which is significantly lower than PMJIX's 18.92% return. Over the past 10 years, PZRIX has underperformed PMJIX with an annualized return of 10.42%, while PMJIX has yielded a comparatively higher 14.05% annualized return.

PZRIX

• 1D: 0.16%
• 1M: -3.04%
• YTD: 10.46%
• 6M: 10.74%
• 1Y: 28.45%
• 3Y*: 19.23%
• 5Y*: 10.07%
• 10Y*: 10.42%

PMJIX

• 1D: -0.07%
• 1M: 4.46%
• YTD: 18.92%
• 6M: 16.02%
• 1Y: 35.58%
• 3Y*: 22.10%
• 5Y*: 10.99%
• 10Y*: 14.05%

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

PZRIX vs. PMJIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
PZRIX PIMCO RAE Global ex-US Fund	10.46%	34.05%	3.29%	19.31%	-9.11%	12.08%	1.74%	15.94%	-14.93%	26.00%
PMJIX PIMCO RAE US Small Fund	18.92%	5.11%	22.05%	19.77%	-4.62%	39.15%	6.95%	20.22%	-11.69%	9.22%

Correlation

The correlation between PZRIX and PMJIX is 0.59, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.59
Correlation (3Y) Calculated over the trailing 3-year period	0.63
Correlation (5Y) Calculated over the trailing 5-year period	0.68
Correlation (10Y) Calculated over the trailing 10-year period	0.69
Correlation (All Time) Calculated using the full available price history since Jan 4, 2016	0.69

The correlation between PZRIX and PMJIX shifts across timeframes, from 0.59 (1 year) to 0.69 (all time), reflecting how their relationship changes across market environments.

Return for Risk

PZRIX vs. PMJIX — Risk / Return Rank

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

PZRIX

PZRIX Risk / Return Rank: 77
PZRIX Sharpe Ratio Rank: 82
PZRIX Sortino Ratio Rank: 77
PZRIX Omega Ratio Rank: 75
PZRIX Calmar Ratio Rank: 82
PZRIX Martin Ratio Rank: 68

PMJIX

PMJIX Risk / Return Rank: 72
PMJIX Sharpe Ratio Rank: 65
PMJIX Sortino Ratio Rank: 65
PMJIX Omega Ratio Rank: 52
PMJIX Calmar Ratio Rank: 93
PMJIX Martin Ratio Rank: 84

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.

PZRIX vs. PMJIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for PIMCO RAE Global ex-US Fund (PZRIX) and PIMCO RAE US Small Fund (PMJIX). 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.

	PZRIX	PMJIX	Difference
Sharpe ratio: Return per unit of total volatility	2.48	2.17	+0.31
Sortino ratio: Return per unit of downside risk	3.36	3.07	+0.29
Omega ratio: Gain probability vs. loss probability	1.44	1.36	+0.08
Calmar ratio: Return relative to maximum drawdown	3.59	4.92	-1.34
Martin ratio: Return relative to average drawdown	12.37	14.59	-2.22

PZRIX vs. PMJIX - Sharpe Ratio Comparison

The current PZRIX Sharpe Ratio is 2.48, which is comparable to the PMJIX Sharpe Ratio of 2.17. The chart below compares the historical Sharpe Ratios of PZRIX and PMJIX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

PZRIX vs. PMJIX - Drawdown Comparison

The maximum PZRIX drawdown since its inception was -43.53%, smaller than the maximum PMJIX drawdown of -49.75%. Use the drawdown chart below to compare losses from any high point for PZRIX and PMJIX.

Drawdown Indicators

	PZRIX	PMJIX	Difference
Max Drawdown Largest peak-to-trough decline	-43.53%	-49.75%	+6.22%
Max Drawdown (1Y) Largest decline over 1 year	-8.18%	-7.62%	-0.56%
Max Drawdown (3Y) Largest decline over 3 years	-13.81%	-26.04%	+12.23%
Max Drawdown (5Y) Largest decline over 5 years	-30.85%	-49.75%	+18.90%
Max Drawdown (10Y) Largest decline over 10 years	-43.53%	-49.75%	+6.22%
Current Drawdown Current decline from peak	-4.74%	-2.19%	-2.55%
Average Drawdown Average peak-to-trough decline	-8.85%	-16.15%	+7.30%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.36%	2.56%	-0.20%

Volatility

PZRIX vs. PMJIX - Volatility Comparison

The current volatility for PIMCO RAE Global ex-US Fund (PZRIX) is 3.62%, while PIMCO RAE US Small Fund (PMJIX) has a volatility of 5.24%. This indicates that PZRIX experiences smaller price fluctuations and is considered to be less risky than PMJIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	PZRIX	PMJIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.62%	5.24%	-1.62%
Volatility (6M) Calculated over the trailing 6-month period	9.42%	11.87%	-2.45%
Volatility (1Y) Calculated over the trailing 1-year period	11.88%	17.32%	-5.44%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	15.79%	39.45%	-23.66%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.88%	33.10%	-16.22%

PZRIX vs. PMJIX - Expense Ratio Comparison

PZRIX has a 0.00% expense ratio, which is lower than PMJIX's 0.50% expense ratio.

Dividends

PZRIX vs. PMJIX - Dividend Comparison

PZRIX's dividend yield for the trailing twelve months is around 5.94%, more than PMJIX's 2.65% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
PMJIX PIMCO RAE US Small Fund	2.65%	3.15%	3.26%	1.25%	9.91%	65.79%	9.46%	1.55%	7.65%	4.69%	1.24%	1.67%
PZRIX PIMCO RAE Global ex-US Fund	5.94%	6.56%	6.70%	9.19%	8.80%	11.99%	2.04%	6.32%	2.80%	4.13%	2.58%	0.00%

Frequently Asked Questions

Can I hold both PZRIX and PMJIX in my portfolio?

PZRIX and PMJIX have a correlation of 0.59, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, PZRIX or PMJIX?

PMJIX has higher volatility (5.24%) compared to PZRIX (3.62%). In terms of maximum drawdown, PZRIX dropped -43.53% vs PMJIX's -49.75%.

Which has better risk-adjusted returns?

PZRIX currently has the higher Sharpe Ratio (2.48 vs 2.17), 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.