DFEMX vs. PCY
Compare and contrast key facts about DFA Emerging Markets Portfolio (DFEMX) and Invesco Emerging Markets Sovereign Debt ETF (PCY).
DFEMX is managed by Dimensional Fund Advisors LP. It was launched on Apr 24, 1994. 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.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DFEMX or PCY.
Key characteristics
| DFEMX | PCY | |
|---|---|---|
| YTD Return | 8.20% | 4.84% |
| 1Y Return | 14.57% | 16.48% |
| 3Y Return (Ann) | -0.18% | -2.29% |
| 5Y Return (Ann) | 4.65% | -1.16% |
| 10Y Return (Ann) | 4.01% | 2.05% |
| Sharpe Ratio | 1.24 | 1.85 |
| Sortino Ratio | 1.77 | 2.69 |
| Omega Ratio | 1.22 | 1.32 |
| Calmar Ratio | 0.88 | 0.80 |
| Martin Ratio | 6.18 | 9.24 |
| Ulcer Index | 2.66% | 2.07% |
| Daily Std Dev | 13.27% | 10.29% |
| Max Drawdown | -62.43% | -49.14% |
| Current Drawdown | -7.71% | -10.69% |
Correlation
The correlation between DFEMX and PCY is 0.38, 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.
Performance
DFEMX vs. PCY - Performance Comparison
In the year-to-date period, DFEMX achieves a 8.20% return, which is significantly higher than PCY's 4.84% return. Over the past 10 years, DFEMX has outperformed PCY with an annualized return of 4.01%, while PCY has yielded a comparatively lower 2.05% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
DFEMX vs. PCY - Expense Ratio Comparison
DFEMX has a 0.36% expense ratio, which is lower than PCY's 0.50% expense ratio.
Risk-Adjusted Performance
DFEMX vs. PCY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for DFA Emerging Markets Portfolio (DFEMX) 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
DFEMX vs. PCY - Dividend Comparison
DFEMX's dividend yield for the trailing twelve months is around 3.26%, less than PCY's 6.53% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DFEMX DFA Emerging Markets Portfolio | 3.26% | 3.34% | 3.65% | 2.42% | 1.45% | 2.33% | 2.14% | 1.74% | 1.92% | 2.09% | 2.02% | 2.12% |
PCY Invesco Emerging Markets Sovereign Debt ETF | 6.53% | 6.48% | 6.81% | 4.80% | 4.45% | 4.79% | 4.93% | 4.80% | 5.20% | 5.46% | 4.58% | 4.69% |
Drawdowns
DFEMX vs. PCY - Drawdown Comparison
The maximum DFEMX drawdown since its inception was -62.43%, which is greater than PCY's maximum drawdown of -49.14%. Use the drawdown chart below to compare losses from any high point for DFEMX and PCY. For additional features, visit the drawdowns tool.
Volatility
DFEMX vs. PCY - Volatility Comparison
DFA Emerging Markets Portfolio (DFEMX) has a higher volatility of 4.02% compared to Invesco Emerging Markets Sovereign Debt ETF (PCY) at 3.17%. This indicates that DFEMX's price experiences larger fluctuations and is considered to be riskier than PCY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.