PCY vs. DFEMX
Compare and contrast key facts about Invesco Emerging Markets Sovereign Debt ETF (PCY) and DFA Emerging Markets Portfolio (DFEMX).
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. DFEMX is managed by Dimensional. It was launched on Apr 24, 1994.
Performance
PCY vs. DFEMX - Performance Comparison
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PCY vs. DFEMX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
PCY Invesco Emerging Markets Sovereign Debt ETF | -2.08% | 16.31% | 2.55% | 18.48% | -24.47% | -4.30% | 2.29% | 17.66% | -6.16% | 9.71% |
DFEMX DFA Emerging Markets Portfolio | 1.14% | 33.57% | 6.90% | 13.08% | -16.91% | 2.53% | 13.89% | 16.02% | -13.62% | 36.57% |
Returns By Period
In the year-to-date period, PCY achieves a -2.08% return, which is significantly lower than DFEMX's 1.14% return. Over the past 10 years, PCY has underperformed DFEMX with an annualized return of 2.50%, while DFEMX has yielded a comparatively higher 8.54% annualized return.
PCY
- 1D
- 1.26%
- 1M
- -4.45%
- YTD
- -2.08%
- 6M
- -0.18%
- 1Y
- 10.11%
- 3Y*
- 9.85%
- 5Y*
- 1.10%
- 10Y*
- 2.50%
DFEMX
- 1D
- -0.99%
- 1M
- -12.13%
- YTD
- 1.14%
- 6M
- 6.55%
- 1Y
- 31.39%
- 3Y*
- 15.76%
- 5Y*
- 5.86%
- 10Y*
- 8.54%
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PCY vs. DFEMX - Expense Ratio Comparison
PCY has a 0.50% expense ratio, which is higher than DFEMX's 0.36% expense ratio.
Return for Risk
PCY vs. DFEMX — Risk / Return Rank
PCY
DFEMX
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.
| PCY | DFEMX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.99 | 1.93 | -0.93 |
Sortino ratioReturn per unit of downside risk | 1.42 | 2.50 | -1.09 |
Omega ratioGain probability vs. loss probability | 1.21 | 1.37 | -0.16 |
Calmar ratioReturn relative to maximum drawdown | 1.68 | 2.22 | -0.54 |
Martin ratioReturn relative to average drawdown | 6.20 | 8.71 | -2.52 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| PCY | DFEMX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.99 | 1.93 | -0.93 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.08 | 0.39 | -0.30 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.19 | 0.52 | -0.33 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.28 | 0.37 | -0.09 |
Correlation
The correlation between PCY and DFEMX is 0.38, 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.
Dividends
PCY vs. DFEMX - Dividend Comparison
PCY's dividend yield for the trailing twelve months is around 6.08%, more than DFEMX's 2.52% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
PCY Invesco Emerging Markets Sovereign Debt ETF | 6.08% | 5.93% | 6.65% | 6.48% | 6.81% | 4.80% | 4.45% | 4.78% | 4.93% | 4.80% | 5.19% | 5.46% |
DFEMX DFA Emerging Markets Portfolio | 2.52% | 2.55% | 3.14% | 3.34% | 3.90% | 6.13% | 1.45% | 2.33% | 2.14% | 1.74% | 1.92% | 2.08% |
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.
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Drawdown Indicators
| PCY | DFEMX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -49.13% | -62.43% | +13.30% |
Max Drawdown (1Y)Largest decline over 1 year | -6.37% | -12.85% | +6.48% |
Max Drawdown (5Y)Largest decline over 5 years | -37.17% | -31.84% | -5.33% |
Max Drawdown (10Y)Largest decline over 10 years | -37.78% | -40.44% | +2.66% |
Current DrawdownCurrent decline from peak | -4.49% | -12.85% | +8.36% |
Average DrawdownAverage peak-to-trough decline | -7.03% | -15.41% | +8.38% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.73% | 3.28% | -1.55% |
Volatility
PCY vs. DFEMX - Volatility Comparison
The current volatility for Invesco Emerging Markets Sovereign Debt ETF (PCY) is 3.99%, while DFA Emerging Markets Portfolio (DFEMX) has a volatility of 8.01%. 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.
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Volatility by Period
| PCY | DFEMX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.99% | 8.01% | -4.02% |
Volatility (6M)Calculated over the trailing 6-month period | 5.34% | 11.89% | -6.55% |
Volatility (1Y)Calculated over the trailing 1-year period | 10.22% | 16.27% | -6.05% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 13.16% | 15.17% | -2.01% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 12.92% | 16.33% | -3.41% |