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DFEMX vs. PCY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between DFEMX and PCY is 0.34, 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.


-0.50.00.51.0
Correlation: 0.3

Performance

DFEMX vs. PCY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in DFA Emerging Markets Portfolio (DFEMX) and Invesco Emerging Markets Sovereign Debt ETF (PCY). The values are adjusted to include any dividend payments, if applicable.

0.00%20.00%40.00%60.00%80.00%100.00%NovemberDecember2025FebruaryMarchApril
19.29%
102.20%
DFEMX
PCY

Key characteristics

Sharpe Ratio

DFEMX:

0.52

PCY:

0.57

Sortino Ratio

DFEMX:

0.81

PCY:

0.88

Omega Ratio

DFEMX:

1.10

PCY:

1.11

Calmar Ratio

DFEMX:

0.45

PCY:

0.38

Martin Ratio

DFEMX:

1.49

PCY:

2.00

Ulcer Index

DFEMX:

5.48%

PCY:

3.26%

Daily Std Dev

DFEMX:

15.90%

PCY:

11.39%

Max Drawdown

DFEMX:

-63.93%

PCY:

-49.14%

Current Drawdown

DFEMX:

-8.98%

PCY:

-10.57%

Returns By Period

The year-to-date returns for both investments are quite close, with DFEMX having a 2.36% return and PCY slightly higher at 2.37%. Over the past 10 years, DFEMX has outperformed PCY with an annualized return of 3.07%, while PCY has yielded a comparatively lower 1.73% annualized return.


DFEMX

YTD

2.36%

1M

-2.09%

6M

-2.50%

1Y

7.41%

5Y*

8.41%

10Y*

3.07%

PCY

YTD

2.37%

1M

-0.83%

6M

-0.40%

1Y

7.77%

5Y*

2.30%

10Y*

1.73%

*Annualized

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DFEMX vs. PCY - Expense Ratio Comparison

DFEMX has a 0.36% expense ratio, which is lower than PCY's 0.50% expense ratio.


Expense ratio chart for PCY: current value is 0.50%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
PCY: 0.50%
Expense ratio chart for DFEMX: current value is 0.36%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
DFEMX: 0.36%

Risk-Adjusted Performance

DFEMX vs. PCY — Risk-Adjusted Performance Rank

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

DFEMX
The Risk-Adjusted Performance Rank of DFEMX is 5454
Overall Rank
The Sharpe Ratio Rank of DFEMX is 5656
Sharpe Ratio Rank
The Sortino Ratio Rank of DFEMX is 5656
Sortino Ratio Rank
The Omega Ratio Rank of DFEMX is 5252
Omega Ratio Rank
The Calmar Ratio Rank of DFEMX is 5959
Calmar Ratio Rank
The Martin Ratio Rank of DFEMX is 4949
Martin Ratio Rank

PCY
The Risk-Adjusted Performance Rank of PCY is 5757
Overall Rank
The Sharpe Ratio Rank of PCY is 6161
Sharpe Ratio Rank
The Sortino Ratio Rank of PCY is 5959
Sortino Ratio Rank
The Omega Ratio Rank of PCY is 5656
Omega Ratio Rank
The Calmar Ratio Rank of PCY is 5252
Calmar Ratio Rank
The Martin Ratio Rank of PCY is 5959
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

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.


The chart of Sharpe ratio for DFEMX, currently valued at 0.52, compared to the broader market-1.000.001.002.003.00
DFEMX: 0.52
PCY: 0.57
The chart of Sortino ratio for DFEMX, currently valued at 0.81, compared to the broader market-2.000.002.004.006.008.00
DFEMX: 0.81
PCY: 0.88
The chart of Omega ratio for DFEMX, currently valued at 1.10, compared to the broader market0.501.001.502.002.503.00
DFEMX: 1.10
PCY: 1.11
The chart of Calmar ratio for DFEMX, currently valued at 0.45, compared to the broader market0.002.004.006.008.0010.00
DFEMX: 0.45
PCY: 0.38
The chart of Martin ratio for DFEMX, currently valued at 1.49, compared to the broader market0.0010.0020.0030.0040.0050.00
DFEMX: 1.49
PCY: 2.00

The current DFEMX Sharpe Ratio is 0.52, which is comparable to the PCY Sharpe Ratio of 0.57. The chart below compares the historical Sharpe Ratios of DFEMX and PCY, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.000.501.001.502.002.50NovemberDecember2025FebruaryMarchApril
0.52
0.57
DFEMX
PCY

Dividends

DFEMX vs. PCY - Dividend Comparison

DFEMX's dividend yield for the trailing twelve months is around 3.11%, less than PCY's 6.63% yield.


TTM20242023202220212020201920182017201620152014
DFEMX
DFA Emerging Markets Portfolio
3.11%3.14%3.34%3.65%2.42%1.45%2.33%2.14%1.74%1.92%2.09%2.02%
PCY
Invesco Emerging Markets Sovereign Debt ETF
6.63%6.65%6.48%6.81%4.80%4.45%4.78%4.93%4.80%5.19%5.46%4.58%

Drawdowns

DFEMX vs. PCY - Drawdown Comparison

The maximum DFEMX drawdown since its inception was -63.93%, 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.


-18.00%-16.00%-14.00%-12.00%-10.00%-8.00%-6.00%NovemberDecember2025FebruaryMarchApril
-8.98%
-10.57%
DFEMX
PCY

Volatility

DFEMX vs. PCY - Volatility Comparison

DFA Emerging Markets Portfolio (DFEMX) has a higher volatility of 8.93% compared to Invesco Emerging Markets Sovereign Debt ETF (PCY) at 7.42%. 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.


2.00%4.00%6.00%8.00%NovemberDecember2025FebruaryMarchApril
8.93%
7.42%
DFEMX
PCY