CMF vs. PCY
Compare and contrast key facts about iShares California Muni Bond ETF (CMF) and Invesco Emerging Markets Sovereign Debt ETF (PCY).
CMF and PCY are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. CMF is a passively managed fund by iShares that tracks the performance of the S&P California AMT-Free Municipal Bond Index. It was launched on Oct 4, 2007. PCY is a passively managed fund by Invesco that tracks the performance of the DB Emerging Market USD Liquid Balanced Index. It was launched on Oct 11, 2007. Both CMF and PCY are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: CMF or PCY.
Performance
CMF vs. PCY - Performance Comparison
Returns By Period
In the year-to-date period, CMF achieves a 1.48% return, which is significantly lower than PCY's 4.12% return. Both investments have delivered pretty close results over the past 10 years, with CMF having a 1.99% annualized return and PCY not far behind at 1.98%.
CMF
1.48%
-0.27%
2.17%
5.45%
0.81%
1.99%
PCY
4.12%
-3.66%
2.70%
15.25%
-1.29%
1.98%
Key characteristics
| CMF | PCY | |
|---|---|---|
| Sharpe Ratio | 1.55 | 1.66 |
| Sortino Ratio | 2.22 | 2.38 |
| Omega Ratio | 1.30 | 1.29 |
| Calmar Ratio | 0.83 | 0.72 |
| Martin Ratio | 6.68 | 7.87 |
| Ulcer Index | 0.89% | 2.11% |
| Daily Std Dev | 3.82% | 10.03% |
| Max Drawdown | -16.45% | -49.14% |
| Current Drawdown | -2.05% | -11.30% |
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CMF vs. PCY - Expense Ratio Comparison
CMF has a 0.25% expense ratio, which is lower than PCY's 0.50% expense ratio.
Correlation
The correlation between CMF and PCY is 0.20, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Risk-Adjusted Performance
CMF vs. PCY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares California Muni Bond ETF (CMF) and Invesco Emerging Markets Sovereign Debt ETF (PCY). 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.
Dividends
CMF vs. PCY - Dividend Comparison
CMF's dividend yield for the trailing twelve months is around 2.74%, less than PCY's 6.57% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
CMF iShares California Muni Bond ETF | 2.74% | 2.28% | 1.74% | 1.58% | 1.80% | 2.03% | 2.17% | 2.09% | 2.21% | 2.55% | 2.80% | 3.11% |
PCY Invesco Emerging Markets Sovereign Debt ETF | 6.57% | 6.48% | 6.81% | 4.80% | 4.45% | 4.79% | 4.93% | 4.80% | 5.20% | 5.46% | 4.58% | 4.69% |
Drawdowns
CMF vs. PCY - Drawdown Comparison
The maximum CMF drawdown since its inception was -16.45%, smaller than the maximum PCY drawdown of -49.14%. Use the drawdown chart below to compare losses from any high point for CMF and PCY. For additional features, visit the drawdowns tool.
Volatility
CMF vs. PCY - Volatility Comparison
The current volatility for iShares California Muni Bond ETF (CMF) is 2.02%, while Invesco Emerging Markets Sovereign Debt ETF (PCY) has a volatility of 3.10%. This indicates that CMF experiences smaller price fluctuations and is considered to be less risky than PCY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.