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PCEF vs. MDIV
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between PCEF and MDIV is 0.67, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.0
Correlation: 0.7

Performance

PCEF vs. MDIV - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco CEF Income Composite ETF (PCEF) and First Trust Multi-Asset Diversified Income Index Fund (MDIV). The values are adjusted to include any dividend payments, if applicable.

60.00%70.00%80.00%90.00%100.00%110.00%NovemberDecember2025FebruaryMarchApril
99.89%
70.12%
PCEF
MDIV

Key characteristics

Sharpe Ratio

PCEF:

0.78

MDIV:

0.72

Sortino Ratio

PCEF:

1.10

MDIV:

1.02

Omega Ratio

PCEF:

1.19

MDIV:

1.15

Calmar Ratio

PCEF:

0.75

MDIV:

0.77

Martin Ratio

PCEF:

3.74

MDIV:

3.22

Ulcer Index

PCEF:

2.82%

MDIV:

2.30%

Daily Std Dev

PCEF:

13.50%

MDIV:

10.23%

Max Drawdown

PCEF:

-38.64%

MDIV:

-48.51%

Current Drawdown

PCEF:

-5.99%

MDIV:

-4.72%

Returns By Period

In the year-to-date period, PCEF achieves a -1.72% return, which is significantly lower than MDIV's -0.70% return. Over the past 10 years, PCEF has outperformed MDIV with an annualized return of 5.46%, while MDIV has yielded a comparatively lower 3.30% annualized return.


PCEF

YTD

-1.72%

1M

-2.80%

6M

-1.71%

1Y

11.46%

5Y*

8.57%

10Y*

5.46%

MDIV

YTD

-0.70%

1M

-3.45%

6M

-1.09%

1Y

7.47%

5Y*

11.15%

10Y*

3.30%

*Annualized

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PCEF vs. MDIV - Expense Ratio Comparison

PCEF has a 2.34% expense ratio, which is higher than MDIV's 0.73% expense ratio.


Expense ratio chart for PCEF: current value is 2.34%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
PCEF: 2.34%
Expense ratio chart for MDIV: current value is 0.73%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
MDIV: 0.73%

Risk-Adjusted Performance

PCEF vs. MDIV — Risk-Adjusted Performance Rank

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

PCEF
The Risk-Adjusted Performance Rank of PCEF is 7575
Overall Rank
The Sharpe Ratio Rank of PCEF is 7373
Sharpe Ratio Rank
The Sortino Ratio Rank of PCEF is 6969
Sortino Ratio Rank
The Omega Ratio Rank of PCEF is 7878
Omega Ratio Rank
The Calmar Ratio Rank of PCEF is 7575
Calmar Ratio Rank
The Martin Ratio Rank of PCEF is 7979
Martin Ratio Rank

MDIV
The Risk-Adjusted Performance Rank of MDIV is 7171
Overall Rank
The Sharpe Ratio Rank of MDIV is 7070
Sharpe Ratio Rank
The Sortino Ratio Rank of MDIV is 6666
Sortino Ratio Rank
The Omega Ratio Rank of MDIV is 6969
Omega Ratio Rank
The Calmar Ratio Rank of MDIV is 7676
Calmar Ratio Rank
The Martin Ratio Rank of MDIV is 7575
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.

PCEF vs. MDIV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco CEF Income Composite ETF (PCEF) and First Trust Multi-Asset Diversified Income Index Fund (MDIV). 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 PCEF, currently valued at 0.78, compared to the broader market-1.000.001.002.003.004.00
PCEF: 0.78
MDIV: 0.72
The chart of Sortino ratio for PCEF, currently valued at 1.10, compared to the broader market-2.000.002.004.006.008.00
PCEF: 1.10
MDIV: 1.02
The chart of Omega ratio for PCEF, currently valued at 1.19, compared to the broader market0.501.001.502.002.50
PCEF: 1.19
MDIV: 1.15
The chart of Calmar ratio for PCEF, currently valued at 0.75, compared to the broader market0.002.004.006.008.0010.0012.00
PCEF: 0.75
MDIV: 0.77
The chart of Martin ratio for PCEF, currently valued at 3.74, compared to the broader market0.0020.0040.0060.00
PCEF: 3.74
MDIV: 3.22

The current PCEF Sharpe Ratio is 0.78, which is comparable to the MDIV Sharpe Ratio of 0.72. The chart below compares the historical Sharpe Ratios of PCEF and MDIV, 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 Ratio0.001.002.003.004.00NovemberDecember2025FebruaryMarchApril
0.78
0.72
PCEF
MDIV

Dividends

PCEF vs. MDIV - Dividend Comparison

PCEF's dividend yield for the trailing twelve months is around 9.03%, more than MDIV's 6.54% yield.


TTM20242023202220212020201920182017201620152014
PCEF
Invesco CEF Income Composite ETF
9.03%8.79%9.86%8.93%6.67%7.54%7.12%8.21%6.96%7.72%9.18%8.02%
MDIV
First Trust Multi-Asset Diversified Income Index Fund
6.54%6.40%6.47%6.71%5.30%6.00%5.90%6.76%6.04%6.35%7.38%5.73%

Drawdowns

PCEF vs. MDIV - Drawdown Comparison

The maximum PCEF drawdown since its inception was -38.64%, smaller than the maximum MDIV drawdown of -48.51%. Use the drawdown chart below to compare losses from any high point for PCEF and MDIV. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%NovemberDecember2025FebruaryMarchApril
-5.99%
-4.72%
PCEF
MDIV

Volatility

PCEF vs. MDIV - Volatility Comparison

Invesco CEF Income Composite ETF (PCEF) has a higher volatility of 11.14% compared to First Trust Multi-Asset Diversified Income Index Fund (MDIV) at 7.13%. This indicates that PCEF's price experiences larger fluctuations and is considered to be riskier than MDIV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%NovemberDecember2025FebruaryMarchApril
11.14%
7.13%
PCEF
MDIV