PCY vs. DFEMX

Last updated Jun 23, 2026

PCY (Invesco Emerging Markets Sovereign Debt ETF) and DFEMX (DFA Emerging Markets Portfolio) are both funds - PCY is a Emerging Markets Bonds fund tracking the DB Emerging Market USD Liquid Balanced Index, while DFEMX is a Emerging Markets Diversified fund managed by Dimensional. Over the past 10 years, PCY returned 2.76%/yr vs 11.45%/yr for DFEMX. At a 0.38 correlation, their price movements are largely independent. PCY charges 0.50%/yr vs 0.36%/yr for DFEMX.

Performance

PCY vs. DFEMX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco Emerging Markets Sovereign Debt ETF (PCY) and DFA Emerging Markets Portfolio (DFEMX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, PCY achieves a 2.88% return, which is significantly lower than DFEMX's 31.40% return. Over the past 10 years, PCY has underperformed DFEMX with an annualized return of 2.76%, while DFEMX has yielded a comparatively higher 11.45% annualized return.

PCY

• 1D: -0.49%
• 1M: 2.56%
• YTD: 2.88%
• 6M: 2.98%
• 1Y: 14.69%
• 3Y*: 10.82%
• 5Y*: 1.46%
• 10Y*: 2.76%

DFEMX

• 1D: 3.05%
• 1M: 7.50%
• YTD: 31.40%
• 6M: 33.38%
• 1Y: 57.89%
• 3Y*: 24.30%
• 5Y*: 10.85%
• 10Y*: 11.45%

*Multi-year figures are annualized to reflect compound growth (CAGR)

PCY vs. DFEMX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
PCY Invesco Emerging Markets Sovereign Debt ETF	2.88%	16.31%	2.55%	18.48%	-24.47%	-4.30%	2.29%	17.66%	-6.16%	9.71%
DFEMX DFA Emerging Markets Portfolio	31.40%	33.57%	6.90%	13.08%	-16.91%	2.53%	13.89%	16.02%	-13.62%	36.57%

Correlation

The correlation between PCY and DFEMX is 0.42, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.42
Correlation (3Y) Calculated over the trailing 3-year period	0.39
Correlation (5Y) Calculated over the trailing 5-year period	0.40
Correlation (10Y) Calculated over the trailing 10-year period	0.44
Correlation (All Time) Calculated using the full available price history since Oct 11, 2007	0.38

Return for Risk

PCY vs. DFEMX — Risk / Return Rank

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

PCY

PCY Risk / Return Rank: 59
PCY Sharpe Ratio Rank: 61
PCY Sortino Ratio Rank: 63
PCY Omega Ratio Rank: 61
PCY Calmar Ratio Rank: 52
PCY Martin Ratio Rank: 59

DFEMX

DFEMX Risk / Return Rank: 90
DFEMX Sharpe Ratio Rank: 95
DFEMX Sortino Ratio Rank: 86
DFEMX Omega Ratio Rank: 88
DFEMX Calmar Ratio Rank: 91
DFEMX Martin Ratio Rank: 91

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.

PCY vs. DFEMX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Emerging Markets Sovereign Debt ETF (PCY) and DFA Emerging Markets Portfolio (DFEMX). 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.

	PCY	DFEMX	Difference
Sharpe ratio: Return per unit of total volatility	1.96	3.03	-1.07
Sortino ratio: Return per unit of downside risk	2.82	3.76	-0.94
Omega ratio: Gain probability vs. loss probability	1.36	1.58	-0.22
Calmar ratio: Return relative to maximum drawdown	2.50	4.50	-2.00
Martin ratio: Return relative to average drawdown	10.12	17.15	-7.03

PCY vs. DFEMX - Sharpe Ratio Comparison

The current PCY Sharpe Ratio is 1.96, which is lower than the DFEMX Sharpe Ratio of 3.03. The chart below compares the historical Sharpe Ratios of PCY and DFEMX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

PCY vs. DFEMX - Drawdown Comparison

The maximum PCY drawdown since its inception was -49.13%, smaller than the maximum DFEMX drawdown of -62.43%. Use the drawdown chart below to compare losses from any high point for PCY and DFEMX.

Drawdown Indicators

	PCY	DFEMX	Difference
Max Drawdown Largest peak-to-trough decline	-49.13%	-62.43%	+13.30%
Max Drawdown (1Y) Largest decline over 1 year	-5.91%	-12.85%	+6.94%
Max Drawdown (3Y) Largest decline over 3 years	-11.52%	-16.12%	+4.60%
Max Drawdown (5Y) Largest decline over 5 years	-37.17%	-31.35%	-5.82%
Max Drawdown (10Y) Largest decline over 10 years	-37.78%	-40.44%	+2.66%
Current Drawdown Current decline from peak	-0.49%	0.00%	-0.49%
Average Drawdown Average peak-to-trough decline	-6.96%	-15.32%	+8.36%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.46%	3.36%	-1.90%

Volatility

PCY vs. DFEMX - Volatility Comparison

The current volatility for Invesco Emerging Markets Sovereign Debt ETF (PCY) is 2.18%, while DFA Emerging Markets Portfolio (DFEMX) has a volatility of 10.43%. This indicates that PCY experiences smaller price fluctuations and is considered to be less risky than DFEMX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	PCY	DFEMX	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.18%	10.43%	-8.25%
Volatility (6M) Calculated over the trailing 6-month period	5.99%	17.35%	-11.36%
Volatility (1Y) Calculated over the trailing 1-year period	7.53%	19.08%	-11.55%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	13.18%	16.20%	-3.02%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	12.96%	16.79%	-3.83%

PCY vs. DFEMX - Expense Ratio Comparison

PCY has a 0.50% expense ratio, which is higher than DFEMX's 0.36% expense ratio.

Dividends

PCY vs. DFEMX - Dividend Comparison

PCY's dividend yield for the trailing twelve months is around 6.32%, more than DFEMX's 1.94% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
DFEMX DFA Emerging Markets Portfolio	1.94%	2.55%	3.14%	3.34%	3.90%	6.13%	1.45%	2.33%	2.14%	1.74%	1.92%	2.08%
PCY Invesco Emerging Markets Sovereign Debt ETF	6.32%	5.93%	6.65%	6.48%	6.81%	4.80%	4.45%	4.78%	4.93%	4.80%	5.19%	5.46%

Frequently Asked Questions

Can I hold both PCY and DFEMX in my portfolio?

PCY and DFEMX have a correlation of 0.42, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, PCY or DFEMX?

DFEMX has higher volatility (10.43%) compared to PCY (2.18%). In terms of maximum drawdown, PCY dropped -49.13% vs DFEMX's -62.43%.

Which has better risk-adjusted returns?

DFEMX currently has the higher Sharpe Ratio (3.03 vs 1.96), 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.