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 Fund Advisors LP. It was launched on Apr 24, 1994.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: PCY or DFEMX.
Key characteristics
| PCY | DFEMX | |
|---|---|---|
| YTD Return | 5.15% | 8.97% |
| 1Y Return | 19.43% | 17.27% |
| 3Y Return (Ann) | -2.20% | 0.06% |
| 5Y Return (Ann) | -1.10% | 4.98% |
| 10Y Return (Ann) | 2.08% | 4.09% |
| Sharpe Ratio | 1.80 | 1.29 |
| Sortino Ratio | 2.61 | 1.84 |
| Omega Ratio | 1.31 | 1.23 |
| Calmar Ratio | 0.74 | 0.87 |
| Martin Ratio | 9.05 | 6.54 |
| Ulcer Index | 2.05% | 2.61% |
| Daily Std Dev | 10.31% | 13.25% |
| Max Drawdown | -49.14% | -62.43% |
| Current Drawdown | -10.43% | -7.04% |
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.
Performance
PCY vs. DFEMX - Performance Comparison
In the year-to-date period, PCY achieves a 5.15% return, which is significantly lower than DFEMX's 8.97% return. Over the past 10 years, PCY has underperformed DFEMX with an annualized return of 2.08%, while DFEMX has yielded a comparatively higher 4.09% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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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.
Risk-Adjusted Performance
PCY vs. DFEMX - Risk-Adjusted Performance 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.
Dividends
PCY vs. DFEMX - Dividend Comparison
PCY's dividend yield for the trailing twelve months is around 6.51%, more than DFEMX's 3.24% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
PCY Invesco Emerging Markets Sovereign Debt ETF | 6.51% | 6.48% | 6.81% | 4.80% | 4.45% | 4.79% | 4.93% | 4.80% | 5.20% | 5.46% | 4.58% | 4.69% |
DFEMX DFA Emerging Markets Portfolio | 3.24% | 3.34% | 3.65% | 2.42% | 1.45% | 2.33% | 2.14% | 1.74% | 1.92% | 2.09% | 2.02% | 2.12% |
Drawdowns
PCY vs. DFEMX - Drawdown Comparison
The maximum PCY drawdown since its inception was -49.14%, 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. For additional features, visit the drawdowns tool.
Volatility
PCY vs. DFEMX - Volatility Comparison
The current volatility for Invesco Emerging Markets Sovereign Debt ETF (PCY) is 3.20%, while DFA Emerging Markets Portfolio (DFEMX) has a volatility of 4.35%. 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.