DJP vs. PCY
DJP (iPath Bloomberg Commodity Index Total Return ETN) and PCY (Invesco Emerging Markets Sovereign Debt ETF) are both exchange-traded funds - DJP is a Commodities fund tracking the Bloomberg Commodity Index, while PCY is a Emerging Markets Bonds fund tracking the DB Emerging Market USD Liquid Balanced Index. Both are passively managed. Over the past 10 years, DJP returned 6.24%/yr vs 2.74%/yr for PCY. At a 0.19 correlation, their price movements are largely independent. DJP charges 0.70%/yr vs 0.50%/yr for PCY.
Performance
DJP vs. PCY - Performance Comparison
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Returns By Period
In the year-to-date period, DJP achieves a 17.18% return, which is significantly higher than PCY's 2.69% return. Over the past 10 years, DJP has outperformed PCY with an annualized return of 6.24%, while PCY has yielded a comparatively lower 2.74% annualized return.
DJP
- 1D
- -1.45%
- 1M
- -10.97%
- YTD
- 17.18%
- 6M
- 15.04%
- 1Y
- 26.02%
- 3Y*
- 12.62%
- 5Y*
- 10.72%
- 10Y*
- 6.24%
PCY
- 1D
- -0.18%
- 1M
- 2.37%
- YTD
- 2.69%
- 6M
- 2.60%
- 1Y
- 14.05%
- 3Y*
- 10.76%
- 5Y*
- 1.42%
- 10Y*
- 2.74%
DJP vs. PCY - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
DJP iPath Bloomberg Commodity Index Total Return ETN | 17.18% | 17.20% | 5.59% | -9.85% | 17.46% | 31.05% | -4.12% | 7.63% | -13.07% | 0.74% |
PCY Invesco Emerging Markets Sovereign Debt ETF | 2.69% | 16.31% | 2.55% | 18.48% | -24.47% | -4.30% | 2.29% | 17.66% | -6.16% | 9.71% |
Correlation
The correlation between DJP and PCY is -0.25, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.25 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.03 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.08 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.17 |
Correlation (All Time) Calculated using the full available price history since Oct 11, 2007 | 0.19 |
The correlation between DJP and PCY shifts across timeframes, from -0.25 (1 year) to 0.19 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
DJP vs. PCY — Risk / Return Rank
DJP
PCY
DJP vs. PCY - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iPath Bloomberg Commodity Index Total Return ETN (DJP) 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.
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.
| DJP | PCY | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.51 | ||
| Sortino ratioReturn per unit of downside risk | -0.86 | ||
| Omega ratioGain probability vs. loss probability | 1.25 | 1.34 | -0.09 |
| Calmar ratioReturn relative to maximum drawdown | 1.78 | 2.39 | -0.61 |
| Martin ratioReturn relative to average drawdown | 6.99 | 9.67 | -2.67 |
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Drawdowns
DJP vs. PCY - Drawdown Comparison
The maximum DJP drawdown since its inception was -78.35%, which is greater than PCY's maximum drawdown of -49.13%. Use the drawdown chart below to compare losses from any high point for DJP and PCY.
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Drawdown Indicators
| DJP | PCY | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -78.35% | -49.13% | -29.22% |
Max Drawdown (1Y)Largest decline over 1 year | -14.66% | -5.91% | -8.75% |
Max Drawdown (3Y)Largest decline over 3 years | -14.66% | -11.52% | -3.14% |
Max Drawdown (5Y)Largest decline over 5 years | -28.98% | -37.17% | +8.19% |
Max Drawdown (10Y)Largest decline over 10 years | -38.36% | -37.78% | -0.58% |
Current DrawdownCurrent decline from peak | -39.74% | -0.67% | -39.07% |
Average DrawdownAverage peak-to-trough decline | -50.82% | -6.95% | -43.87% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.76% | 1.46% | +2.30% |
Volatility
DJP vs. PCY - Volatility Comparison
iPath Bloomberg Commodity Index Total Return ETN (DJP) has a higher volatility of 4.23% compared to Invesco Emerging Markets Sovereign Debt ETF (PCY) at 2.20%. This indicates that DJP'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.
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Volatility by Period
| DJP | PCY | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.23% | 2.20% | +2.03% |
Volatility (6M)Calculated over the trailing 6-month period | 16.88% | 5.98% | +10.90% |
Volatility (1Y)Calculated over the trailing 1-year period | 19.24% | 7.52% | +11.72% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 18.95% | 13.18% | +5.77% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.06% | 12.95% | +4.11% |
DJP vs. PCY - Expense Ratio Comparison
DJP has a 0.70% expense ratio, which is higher than PCY's 0.50% expense ratio.
Dividends
DJP vs. PCY - Dividend Comparison
DJP has not paid dividends to shareholders, while PCY's dividend yield for the trailing twelve months is around 5.84%.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DJP iPath Bloomberg Commodity Index Total Return ETN | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
PCY Invesco Emerging Markets Sovereign Debt ETF | 5.84% | 5.93% | 6.65% | 6.48% | 6.81% | 4.80% | 4.45% | 4.78% | 4.93% | 4.80% | 5.19% | 5.46% |
Frequently Asked Questions
DJP and PCY have a correlation of -0.25, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
DJP has higher volatility (4.23%) compared to PCY (2.20%). In terms of maximum drawdown, DJP dropped -78.35% vs PCY's -49.13%.
On 10-year performance, DJP leads with 6.24% vs 2.74% for PCY. On fees, PCY is cheaper at 0.50% per year. On volatility, PCY has been the lower-risk option at 2.20%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, DJP has performed better with a 6.24% return vs 2.74%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
PCY is cheaper with a 0.50% expense ratio, compared with 0.70% for DJP.
PCY has the higher dividend yield at 5.84%, compared with 0.00% for DJP.
DJP is categorized as Commodities, while PCY is Emerging Markets Bonds. DJP tracks Bloomberg Commodity Index, while PCY tracks DB Emerging Market USD Liquid Balanced Index. They also come from different issuers: Barclays Capital and Invesco. Their fees differ too: 0.70% for DJP and 0.50% for PCY.
PCY currently has the higher Sharpe Ratio (1.88 vs 1.37), 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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