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CWS vs. DGEIX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between CWS and DGEIX is 0.75, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


-0.50.00.51.00.7

Performance

CWS vs. DGEIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AdvisorShares Focused Equity ETF (CWS) and DFA Global Equity Portfolio Institutional Class (DGEIX). The values are adjusted to include any dividend payments, if applicable.

120.00%140.00%160.00%180.00%200.00%JulyAugustSeptemberOctoberNovemberDecember
175.58%
132.64%
CWS
DGEIX

Key characteristics

Sharpe Ratio

CWS:

1.23

DGEIX:

1.29

Sortino Ratio

CWS:

1.72

DGEIX:

1.76

Omega Ratio

CWS:

1.22

DGEIX:

1.24

Calmar Ratio

CWS:

1.79

DGEIX:

1.99

Martin Ratio

CWS:

6.55

DGEIX:

7.71

Ulcer Index

CWS:

2.21%

DGEIX:

2.04%

Daily Std Dev

CWS:

11.75%

DGEIX:

12.17%

Max Drawdown

CWS:

-33.82%

DGEIX:

-59.77%

Current Drawdown

CWS:

-7.14%

DGEIX:

-6.49%

Returns By Period

In the year-to-date period, CWS achieves a 12.02% return, which is significantly lower than DGEIX's 13.41% return.


CWS

YTD

12.02%

1M

-4.28%

6M

6.02%

1Y

12.99%

5Y*

12.48%

10Y*

N/A

DGEIX

YTD

13.41%

1M

-3.86%

6M

3.46%

1Y

14.27%

5Y*

10.36%

10Y*

9.32%

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CWS vs. DGEIX - Expense Ratio Comparison

CWS has a 0.77% expense ratio, which is higher than DGEIX's 0.25% expense ratio.


CWS
AdvisorShares Focused Equity ETF
Expense ratio chart for CWS: current value at 0.77% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.77%
Expense ratio chart for DGEIX: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%

Risk-Adjusted Performance

CWS vs. DGEIX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for AdvisorShares Focused Equity ETF (CWS) and DFA Global Equity Portfolio Institutional Class (DGEIX). 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 CWS, currently valued at 1.23, compared to the broader market0.002.004.001.231.29
The chart of Sortino ratio for CWS, currently valued at 1.72, compared to the broader market-2.000.002.004.006.008.0010.001.721.76
The chart of Omega ratio for CWS, currently valued at 1.22, compared to the broader market0.501.001.502.002.503.001.221.24
The chart of Calmar ratio for CWS, currently valued at 1.79, compared to the broader market0.005.0010.0015.001.791.99
The chart of Martin ratio for CWS, currently valued at 6.55, compared to the broader market0.0020.0040.0060.0080.00100.006.557.71
CWS
DGEIX

The current CWS Sharpe Ratio is 1.23, which is comparable to the DGEIX Sharpe Ratio of 1.29. The chart below compares the historical Sharpe Ratios of CWS and DGEIX, 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 Ratio1.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
1.23
1.29
CWS
DGEIX

Dividends

CWS vs. DGEIX - Dividend Comparison

CWS's dividend yield for the trailing twelve months is around 0.22%, less than DGEIX's 1.17% yield.


TTM20232022202120202019201820172016201520142013
CWS
AdvisorShares Focused Equity ETF
0.22%0.25%0.50%0.16%0.27%0.39%2.61%0.29%0.03%0.00%0.00%0.00%
DGEIX
DFA Global Equity Portfolio Institutional Class
1.17%1.97%1.89%1.67%1.44%1.73%1.99%1.83%1.91%1.99%1.88%1.70%

Drawdowns

CWS vs. DGEIX - Drawdown Comparison

The maximum CWS drawdown since its inception was -33.82%, smaller than the maximum DGEIX drawdown of -59.77%. Use the drawdown chart below to compare losses from any high point for CWS and DGEIX. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-7.14%
-6.49%
CWS
DGEIX

Volatility

CWS vs. DGEIX - Volatility Comparison

The current volatility for AdvisorShares Focused Equity ETF (CWS) is 4.11%, while DFA Global Equity Portfolio Institutional Class (DGEIX) has a volatility of 4.34%. This indicates that CWS experiences smaller price fluctuations and is considered to be less risky than DGEIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
4.11%
4.34%
CWS
DGEIX
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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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