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

Correlation

The correlation between PCEF and MDIV is 0.65, 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.


-0.50.00.51.00.7

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.

0.00%2.00%4.00%6.00%8.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
8.00%
5.58%
PCEF
MDIV

Key characteristics

Sharpe Ratio

PCEF:

2.09

MDIV:

1.29

Sortino Ratio

PCEF:

2.76

MDIV:

1.82

Omega Ratio

PCEF:

1.40

MDIV:

1.24

Calmar Ratio

PCEF:

1.48

MDIV:

1.94

Martin Ratio

PCEF:

12.36

MDIV:

8.09

Ulcer Index

PCEF:

1.39%

MDIV:

1.24%

Daily Std Dev

PCEF:

8.24%

MDIV:

7.82%

Max Drawdown

PCEF:

-38.64%

MDIV:

-48.51%

Current Drawdown

PCEF:

-2.69%

MDIV:

-4.52%

Returns By Period

In the year-to-date period, PCEF achieves a 16.88% return, which is significantly higher than MDIV's 9.51% return. Over the past 10 years, PCEF has outperformed MDIV with an annualized return of 6.06%, while MDIV has yielded a comparatively lower 3.38% annualized return.


PCEF

YTD

16.88%

1M

-0.86%

6M

8.00%

1Y

17.07%

5Y*

4.79%

10Y*

6.06%

MDIV

YTD

9.51%

1M

-3.49%

6M

5.58%

1Y

10.07%

5Y*

3.23%

10Y*

3.38%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


PCEF vs. MDIV - Expense Ratio Comparison

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


PCEF
Invesco CEF Income Composite ETF
Expense ratio chart for PCEF: current value at 2.34% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%2.34%
Expense ratio chart for MDIV: current value at 0.73% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.73%

Risk-Adjusted Performance

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.


Sharpe ratio
The chart of Sharpe ratio for PCEF, currently valued at 2.09, compared to the broader market0.002.004.002.091.29
The chart of Sortino ratio for PCEF, currently valued at 2.76, compared to the broader market-2.000.002.004.006.008.0010.002.761.82
The chart of Omega ratio for PCEF, currently valued at 1.40, compared to the broader market0.501.001.502.002.503.001.401.24
The chart of Calmar ratio for PCEF, currently valued at 1.48, compared to the broader market0.005.0010.0015.001.481.94
The chart of Martin ratio for PCEF, currently valued at 12.36, compared to the broader market0.0020.0040.0060.0080.00100.0012.368.09
PCEF
MDIV

The current PCEF Sharpe Ratio is 2.09, which is higher than the MDIV Sharpe Ratio of 1.29. 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 Ratio1.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
2.09
1.29
PCEF
MDIV

Dividends

PCEF vs. MDIV - Dividend Comparison

PCEF's dividend yield for the trailing twelve months is around 8.78%, more than MDIV's 6.43% yield.


TTM20232022202120202019201820172016201520142013
PCEF
Invesco CEF Income Composite ETF
8.78%9.85%8.93%6.67%7.55%7.12%8.21%6.96%7.12%9.18%8.03%8.13%
MDIV
First Trust Multi-Asset Diversified Income Index Fund
6.43%6.47%6.70%5.31%6.01%5.91%6.76%6.05%6.36%6.16%5.74%5.68%

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.


-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-2.69%
-4.52%
PCEF
MDIV

Volatility

PCEF vs. MDIV - Volatility Comparison

Invesco CEF Income Composite ETF (PCEF) has a higher volatility of 2.80% compared to First Trust Multi-Asset Diversified Income Index Fund (MDIV) at 2.61%. 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.


1.00%1.50%2.00%2.50%3.00%3.50%4.00%4.50%JulyAugustSeptemberOctoberNovemberDecember
2.80%
2.61%
PCEF
MDIV
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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