PCY vs. CMF
Compare and contrast key facts about Invesco Emerging Markets Sovereign Debt ETF (PCY) and iShares California Muni Bond ETF (CMF).
PCY and CMF are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. PCY is a passively managed fund by Invesco that tracks the performance of the DB Emerging Market USD Liquid Balanced Index. It was launched on Oct 11, 2007. CMF is a passively managed fund by iShares that tracks the performance of the S&P California AMT-Free Municipal Bond Index. It was launched on Oct 4, 2007. Both PCY and CMF are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: PCY or CMF.
Performance
PCY vs. CMF - Performance Comparison
Returns By Period
In the year-to-date period, PCY achieves a 4.91% return, which is significantly higher than CMF's 1.62% return. Both investments have delivered pretty close results over the past 10 years, with PCY having a 1.96% annualized return and CMF not far ahead at 1.99%.
PCY
4.91%
-1.00%
3.48%
14.87%
-1.06%
1.96%
CMF
1.62%
0.30%
2.79%
5.07%
0.83%
1.99%
Key characteristics
| PCY | CMF | |
|---|---|---|
| Sharpe Ratio | 1.45 | 1.40 |
| Sortino Ratio | 2.10 | 1.99 |
| Omega Ratio | 1.25 | 1.27 |
| Calmar Ratio | 0.65 | 0.80 |
| Martin Ratio | 6.66 | 5.95 |
| Ulcer Index | 2.18% | 0.89% |
| Daily Std Dev | 10.02% | 3.79% |
| Max Drawdown | -49.14% | -16.45% |
| Current Drawdown | -10.62% | -1.91% |
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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.
Correlation
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.
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.
Dividends
PCY vs. CMF - Dividend Comparison
PCY's dividend yield for the trailing twelve months is around 6.49%, more than CMF's 2.73% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
PCY Invesco Emerging Markets Sovereign Debt ETF | 6.49% | 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 | 2.73% | 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.
Volatility
PCY vs. CMF - Volatility Comparison
Invesco Emerging Markets Sovereign Debt ETF (PCY) has a higher volatility of 3.09% compared to iShares California Muni Bond ETF (CMF) at 1.97%. 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.