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

Key characteristics


PCYCMF
YTD Return6.63%1.46%
1Y Return20.85%6.92%
3Y Return (Ann)-2.27%-0.49%
5Y Return (Ann)-0.77%0.89%
10Y Return (Ann)2.20%1.98%
Sharpe Ratio1.881.73
Sortino Ratio2.712.48
Omega Ratio1.331.34
Calmar Ratio0.770.79
Martin Ratio9.577.62
Ulcer Index2.02%0.88%
Daily Std Dev10.32%3.86%
Max Drawdown-49.14%-16.45%
Current Drawdown-9.16%-2.06%

Correlation

-0.50.00.51.00.2

The correlation between PCY and CMF is 0.20, 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.

Performance

PCY vs. CMF - Performance Comparison

In the year-to-date period, PCY achieves a 6.63% return, which is significantly higher than CMF's 1.46% return. Over the past 10 years, PCY has outperformed CMF with an annualized return of 2.20%, while CMF has yielded a comparatively lower 1.98% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-2.00%0.00%2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
6.43%
1.96%
PCY
CMF

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PCY vs. CMF - Expense Ratio Comparison

PCY has a 0.50% expense ratio, which is higher than CMF's 0.25% expense ratio.


PCY
Invesco Emerging Markets Sovereign Debt ETF
Expense ratio chart for PCY: current value at 0.50% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.50%
Expense ratio chart for CMF: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%

Risk-Adjusted Performance

PCY vs. CMF - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Emerging Markets Sovereign Debt ETF (PCY) and iShares California Muni Bond ETF (CMF). 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.


PCY
Sharpe ratio
The chart of Sharpe ratio for PCY, currently valued at 1.88, compared to the broader market-2.000.002.004.006.001.88
Sortino ratio
The chart of Sortino ratio for PCY, currently valued at 2.71, compared to the broader market-2.000.002.004.006.008.0010.0012.002.71
Omega ratio
The chart of Omega ratio for PCY, currently valued at 1.33, compared to the broader market1.001.502.002.503.001.33
Calmar ratio
The chart of Calmar ratio for PCY, currently valued at 0.77, compared to the broader market0.005.0010.0015.000.77
Martin ratio
The chart of Martin ratio for PCY, currently valued at 9.57, compared to the broader market0.0020.0040.0060.0080.00100.009.57
CMF
Sharpe ratio
The chart of Sharpe ratio for CMF, currently valued at 1.73, compared to the broader market-2.000.002.004.006.001.73
Sortino ratio
The chart of Sortino ratio for CMF, currently valued at 2.48, compared to the broader market-2.000.002.004.006.008.0010.0012.002.48
Omega ratio
The chart of Omega ratio for CMF, currently valued at 1.34, compared to the broader market1.001.502.002.503.001.34
Calmar ratio
The chart of Calmar ratio for CMF, currently valued at 0.79, compared to the broader market0.005.0010.0015.000.79
Martin ratio
The chart of Martin ratio for CMF, currently valued at 7.62, compared to the broader market0.0020.0040.0060.0080.00100.007.62

PCY vs. CMF - Sharpe Ratio Comparison

The current PCY Sharpe Ratio is 1.88, which is comparable to the CMF Sharpe Ratio of 1.73. The chart below compares the historical Sharpe Ratios of PCY and CMF, 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 Ratio0.501.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
1.88
1.73
PCY
CMF

Dividends

PCY vs. CMF - Dividend Comparison

PCY's dividend yield for the trailing twelve months is around 6.42%, more than CMF's 2.74% yield.


TTM20232022202120202019201820172016201520142013
PCY
Invesco Emerging Markets Sovereign Debt ETF
6.42%6.48%6.81%4.80%4.45%4.79%4.93%4.80%5.20%5.46%4.58%4.69%
CMF
iShares California Muni Bond ETF
2.74%2.28%1.74%1.58%1.80%2.03%2.17%2.09%2.21%2.55%2.80%3.11%

Drawdowns

PCY vs. CMF - Drawdown Comparison

The maximum PCY drawdown since its inception was -49.14%, which is greater than CMF's maximum drawdown of -16.45%. Use the drawdown chart below to compare losses from any high point for PCY and CMF. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-9.16%
-2.06%
PCY
CMF

Volatility

PCY vs. CMF - Volatility Comparison

Invesco Emerging Markets Sovereign Debt ETF (PCY) has a higher volatility of 3.00% compared to iShares California Muni Bond ETF (CMF) at 2.06%. This indicates that PCY's price experiences larger fluctuations and is considered to be riskier than CMF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%1.00%2.00%3.00%4.00%JuneJulyAugustSeptemberOctoberNovember
3.00%
2.06%
PCY
CMF