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

Correlation

The correlation between PCY and ELD is 0.51, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.00.5

Performance

PCY vs. ELD - Performance Comparison

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

0.00%10.00%20.00%30.00%40.00%50.00%60.00%JulyAugustSeptemberOctoberNovemberDecember
55.32%
1.16%
PCY
ELD

Key characteristics

Sharpe Ratio

PCY:

0.38

ELD:

-0.16

Sortino Ratio

PCY:

0.57

ELD:

-0.15

Omega Ratio

PCY:

1.07

ELD:

0.98

Calmar Ratio

PCY:

0.20

ELD:

-0.10

Martin Ratio

PCY:

1.58

ELD:

-0.54

Ulcer Index

PCY:

2.32%

ELD:

3.20%

Daily Std Dev

PCY:

9.74%

ELD:

10.70%

Max Drawdown

PCY:

-49.14%

ELD:

-31.92%

Current Drawdown

PCY:

-11.80%

ELD:

-15.89%

Returns By Period

In the year-to-date period, PCY achieves a 3.52% return, which is significantly higher than ELD's -3.32% return. Over the past 10 years, PCY has outperformed ELD with an annualized return of 2.02%, while ELD has yielded a comparatively lower 0.28% annualized return.


PCY

YTD

3.52%

1M

-1.32%

6M

1.76%

1Y

3.37%

5Y*

-1.81%

10Y*

2.02%

ELD

YTD

-3.32%

1M

-1.42%

6M

-0.47%

1Y

-1.91%

5Y*

-1.36%

10Y*

0.28%

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PCY vs. ELD - Expense Ratio Comparison

PCY has a 0.50% expense ratio, which is lower than ELD's 0.55% expense ratio.


ELD
WisdomTree Emerging Markets Local Debt Fund
Expense ratio chart for ELD: current value at 0.55% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.55%
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%

Risk-Adjusted Performance

PCY vs. ELD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Emerging Markets Sovereign Debt ETF (PCY) and WisdomTree Emerging Markets Local Debt Fund (ELD). 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.


Sharpe ratio
The chart of Sharpe ratio for PCY, currently valued at 0.38, compared to the broader market0.002.004.000.38-0.16
The chart of Sortino ratio for PCY, currently valued at 0.57, compared to the broader market-2.000.002.004.006.008.0010.000.57-0.15
The chart of Omega ratio for PCY, currently valued at 1.07, compared to the broader market0.501.001.502.002.503.001.070.98
The chart of Calmar ratio for PCY, currently valued at 0.20, compared to the broader market0.005.0010.0015.000.20-0.10
The chart of Martin ratio for PCY, currently valued at 1.58, compared to the broader market0.0020.0040.0060.0080.00100.001.58-0.54
PCY
ELD

The current PCY Sharpe Ratio is 0.38, which is higher than the ELD Sharpe Ratio of -0.16. The chart below compares the historical Sharpe Ratios of PCY and ELD, 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 Ratio-0.500.000.501.001.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
0.38
-0.16
PCY
ELD

Dividends

PCY vs. ELD - Dividend Comparison

PCY's dividend yield for the trailing twelve months is around 6.00%, more than ELD's 5.63% yield.


TTM20232022202120202019201820172016201520142013
PCY
Invesco Emerging Markets Sovereign Debt ETF
6.00%6.48%6.81%4.80%4.45%4.79%4.93%4.80%5.20%5.46%4.58%4.69%
ELD
WisdomTree Emerging Markets Local Debt Fund
5.17%4.85%5.29%4.99%4.70%4.92%6.30%4.68%4.86%5.57%4.33%3.90%

Drawdowns

PCY vs. ELD - Drawdown Comparison

The maximum PCY drawdown since its inception was -49.14%, which is greater than ELD's maximum drawdown of -31.92%. Use the drawdown chart below to compare losses from any high point for PCY and ELD. For additional features, visit the drawdowns tool.


-18.00%-16.00%-14.00%-12.00%-10.00%-8.00%-6.00%JulyAugustSeptemberOctoberNovemberDecember
-11.80%
-15.89%
PCY
ELD

Volatility

PCY vs. ELD - Volatility Comparison

Invesco Emerging Markets Sovereign Debt ETF (PCY) has a higher volatility of 3.29% compared to WisdomTree Emerging Markets Local Debt Fund (ELD) at 2.85%. This indicates that PCY's price experiences larger fluctuations and is considered to be riskier than ELD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%2.50%3.00%3.50%4.00%4.50%JulyAugustSeptemberOctoberNovemberDecember
3.29%
2.85%
PCY
ELD
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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