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PCEF vs. MDIV
Performance
Return for Risk
Drawdowns
Volatility
Dividends

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.

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Returns By Period

In the year-to-date period, PCEF achieves a 5.15% return, which is significantly lower than MDIV's 7.49% return. Over the past 10 years, PCEF has outperformed MDIV with an annualized return of 7.33%, while MDIV has yielded a comparatively lower 4.79% annualized return.


PCEF

1D
-0.29%
1M
1.56%
YTD
5.15%
6M
5.39%
1Y
13.93%
3Y*
13.40%
5Y*
4.85%
10Y*
7.33%

MDIV

1D
0.09%
1M
-1.32%
YTD
7.49%
6M
7.59%
1Y
10.55%
3Y*
11.96%
5Y*
5.82%
10Y*
4.79%
*Multi-year figures are annualized to reflect compound growth (CAGR)

PCEF vs. MDIV - Yearly Performance Comparison


2026 (YTD)202520242023202220212020201920182017
PCEF
Invesco CEF Income Composite ETF
5.15%12.59%16.70%9.39%-18.66%15.38%4.61%24.08%-8.88%14.48%
MDIV
First Trust Multi-Asset Diversified Income Index Fund
7.49%3.77%10.05%11.50%-3.86%16.51%-14.84%18.59%-5.78%5.61%

Correlation

The correlation between PCEF and MDIV is 0.38, which is low. Their price movements are largely independent, making them effective diversification partners.


Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

0.38

Correlation (3Y)
Calculated over the trailing 3-year period

0.52

Correlation (5Y)
Calculated over the trailing 5-year period

0.62

Correlation (10Y)
Calculated over the trailing 10-year period

0.60

Correlation (All Time)
Calculated using the full available price history since Aug 14, 2012

0.63

Over the past year, the correlation between PCEF and MDIV has dropped to 0.38 - well below their long-term average of 0.63, suggesting their price drivers have been diverging.

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Return for Risk

PCEF vs. MDIV — Risk / Return Rank

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

PCEF
PCEF Risk / Return Rank: 4545
Overall Rank
PCEF Sharpe Ratio Rank: 4747
Sharpe Ratio Rank
PCEF Sortino Ratio Rank: 4646
Sortino Ratio Rank
PCEF Omega Ratio Rank: 4848
Omega Ratio Rank
PCEF Calmar Ratio Rank: 3535
Calmar Ratio Rank
PCEF Martin Ratio Rank: 4848
Martin Ratio Rank

MDIV
MDIV Risk / Return Rank: 5151
Overall Rank
MDIV Sharpe Ratio Rank: 4747
Sharpe Ratio Rank
MDIV Sortino Ratio Rank: 4747
Sortino Ratio Rank
MDIV Omega Ratio Rank: 4343
Omega Ratio Rank
MDIV Calmar Ratio Rank: 6565
Calmar Ratio Rank
MDIV Martin Ratio Rank: 5252
Martin Ratio Rank
The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

PCEF vs. MDIV - Risk-Adjusted Trends 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.

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.


PCEFMDIVDifference
Sharpe ratioReturn per unit of total volatility

+0.01

Sortino ratioReturn per unit of downside risk

-0.02

Omega ratioGain probability vs. loss probability

1.30

1.27

+0.02

Calmar ratioReturn relative to maximum drawdown

1.69

3.12

-1.44

Martin ratioReturn relative to average drawdown

7.79

8.65

-0.87

PCEF vs. MDIV - Sharpe Ratio Comparison

The current PCEF Sharpe Ratio is 1.57, which is comparable to the MDIV Sharpe Ratio of 1.56. The chart below compares the historical Sharpe Ratios of PCEF and MDIV, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.


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Drawdowns

PCEF vs. MDIV - Drawdown Comparison

The maximum PCEF drawdown since its inception was -38.64%, smaller than the maximum MDIV drawdown of -48.50%. Use the drawdown chart below to compare losses from any high point for PCEF and MDIV.


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Drawdown Indicators


PCEFMDIVDifference

Max Drawdown

Largest peak-to-trough decline

-38.64%

-48.50%

+9.86%

Max Drawdown (1Y)

Largest decline over 1 year

-8.30%

-3.39%

-4.91%

Max Drawdown (3Y)

Largest decline over 3 years

-14.09%

-9.62%

-4.47%

Max Drawdown (5Y)

Largest decline over 5 years

-24.25%

-13.02%

-11.23%

Max Drawdown (10Y)

Largest decline over 10 years

-38.64%

-48.50%

+9.86%

Current Drawdown

Current decline from peak

-0.58%

-1.73%

+1.15%

Average Drawdown

Average peak-to-trough decline

-4.46%

-4.57%

+0.11%

Ulcer Index

Depth and duration of drawdowns from previous peaks

1.79%

1.22%

+0.57%

Volatility

PCEF vs. MDIV - Volatility Comparison

Invesco CEF Income Composite ETF (PCEF) has a higher volatility of 2.86% compared to First Trust Multi-Asset Diversified Income Index Fund (MDIV) at 2.03%. 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.


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Volatility by Period


PCEFMDIVDifference

Volatility (1M)

Calculated over the trailing 1-month period

2.86%

2.03%

+0.83%

Volatility (6M)

Calculated over the trailing 6-month period

7.55%

4.47%

+3.08%

Volatility (1Y)

Calculated over the trailing 1-year period

8.92%

6.79%

+2.13%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

11.52%

10.93%

+0.59%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

13.31%

15.23%

-1.92%

PCEF vs. MDIV - Expense Ratio Comparison

PCEF has a 2.71% expense ratio, which is higher than MDIV's 0.73% expense ratio.


Dividends

PCEF vs. MDIV - Dividend Comparison

PCEF's dividend yield for the trailing twelve months is around 8.36%, more than MDIV's 6.40% yield.


PositionTTM20252024202320222021202020192018201720162015
MDIV
First Trust Multi-Asset Diversified Income Index Fund
6.40%6.51%6.40%6.08%6.71%5.30%6.00%5.90%6.76%6.04%6.35%7.38%
PCEF
Invesco CEF Income Composite ETF
8.36%7.96%8.79%9.86%8.93%6.67%7.54%7.12%8.21%6.96%7.72%9.18%

Frequently Asked Questions


PCEF and MDIV have a correlation of 0.38, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

PCEF has higher volatility (2.86%) compared to MDIV (2.03%). In terms of maximum drawdown, PCEF dropped -38.64% vs MDIV's -48.50%.

On 10-year performance, PCEF leads with 7.33% vs 4.79% for MDIV. On fees, MDIV is cheaper at 0.73% per year. On volatility, MDIV has been the lower-risk option at 2.03%. The better choice depends on whether you care most about return, fees, risk, or income.

Over the 10-year period, PCEF has performed better with a 7.33% return vs 4.79%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

MDIV is cheaper with a 0.73% expense ratio, compared with 2.71% for PCEF.

PCEF has the higher dividend yield at 8.36%, compared with 6.40% for MDIV.

PCEF tracks S-Network Composite Closed-End Fund Index, while MDIV tracks NASDAQ US Multi-Asset Diversified Income Index. They also come from different issuers: Invesco and First Trust. Their fees differ too: 2.71% for PCEF and 0.73% for MDIV.

PCEF currently has the higher Sharpe Ratio (1.57 vs 1.56), 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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