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DBAW vs. HFXI
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


DBAWHFXI
YTD Return11.24%10.06%
1Y Return14.54%15.38%
3Y Return (Ann)5.54%5.46%
5Y Return (Ann)8.48%8.84%
Sharpe Ratio1.531.48
Daily Std Dev10.63%11.68%
Max Drawdown-31.44%-32.42%
Current Drawdown-3.15%-2.28%

Correlation

-0.50.00.51.00.9

The correlation between DBAW and HFXI is 0.87, 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.

Performance

DBAW vs. HFXI - Performance Comparison

In the year-to-date period, DBAW achieves a 11.24% return, which is significantly higher than HFXI's 10.06% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


70.00%75.00%80.00%85.00%AprilMayJuneJulyAugustSeptember
81.94%
81.77%
DBAW
HFXI

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DBAW vs. HFXI - Expense Ratio Comparison

DBAW has a 0.41% expense ratio, which is higher than HFXI's 0.20% expense ratio.


DBAW
Xtrackers MSCI All World ex US Hedged Equity ETF
Expense ratio chart for DBAW: current value at 0.41% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.41%
Expense ratio chart for HFXI: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%

Risk-Adjusted Performance

DBAW vs. HFXI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Xtrackers MSCI All World ex US Hedged Equity ETF (DBAW) and IQ 50 Percent Hedged FTSE International ETF (HFXI). 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.


DBAW
Sharpe ratio
The chart of Sharpe ratio for DBAW, currently valued at 1.53, compared to the broader market0.002.004.001.53
Sortino ratio
The chart of Sortino ratio for DBAW, currently valued at 2.09, compared to the broader market-2.000.002.004.006.008.0010.0012.002.09
Omega ratio
The chart of Omega ratio for DBAW, currently valued at 1.25, compared to the broader market0.501.001.502.002.503.001.25
Calmar ratio
The chart of Calmar ratio for DBAW, currently valued at 1.82, compared to the broader market0.005.0010.0015.001.82
Martin ratio
The chart of Martin ratio for DBAW, currently valued at 6.91, compared to the broader market0.0020.0040.0060.0080.00100.006.91
HFXI
Sharpe ratio
The chart of Sharpe ratio for HFXI, currently valued at 1.48, compared to the broader market0.002.004.001.48
Sortino ratio
The chart of Sortino ratio for HFXI, currently valued at 2.07, compared to the broader market-2.000.002.004.006.008.0010.0012.002.07
Omega ratio
The chart of Omega ratio for HFXI, currently valued at 1.26, compared to the broader market0.501.001.502.002.503.001.26
Calmar ratio
The chart of Calmar ratio for HFXI, currently valued at 1.80, compared to the broader market0.005.0010.0015.001.80
Martin ratio
The chart of Martin ratio for HFXI, currently valued at 6.92, compared to the broader market0.0020.0040.0060.0080.00100.006.92

DBAW vs. HFXI - Sharpe Ratio Comparison

The current DBAW Sharpe Ratio is 1.53, which roughly equals the HFXI Sharpe Ratio of 1.48. The chart below compares the 12-month rolling Sharpe Ratio of DBAW and HFXI.


Rolling 12-month Sharpe Ratio1.001.502.002.50AprilMayJuneJulyAugustSeptember
1.53
1.48
DBAW
HFXI

Dividends

DBAW vs. HFXI - Dividend Comparison

DBAW's dividend yield for the trailing twelve months is around 0.83%, less than HFXI's 2.48% yield.


TTM2023202220212020201920182017201620152014
DBAW
Xtrackers MSCI All World ex US Hedged Equity ETF
0.83%3.45%13.44%2.05%2.08%2.91%2.93%2.41%1.99%5.74%7.59%
HFXI
IQ 50 Percent Hedged FTSE International ETF
2.07%2.49%4.65%3.10%2.00%3.19%4.33%2.56%3.47%0.78%0.00%

Drawdowns

DBAW vs. HFXI - Drawdown Comparison

The maximum DBAW drawdown since its inception was -31.44%, roughly equal to the maximum HFXI drawdown of -32.42%. Use the drawdown chart below to compare losses from any high point for DBAW and HFXI. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%AprilMayJuneJulyAugustSeptember
-3.15%
-2.28%
DBAW
HFXI

Volatility

DBAW vs. HFXI - Volatility Comparison

Xtrackers MSCI All World ex US Hedged Equity ETF (DBAW) has a higher volatility of 3.87% compared to IQ 50 Percent Hedged FTSE International ETF (HFXI) at 3.51%. This indicates that DBAW's price experiences larger fluctuations and is considered to be riskier than HFXI 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%AprilMayJuneJulyAugustSeptember
3.87%
3.51%
DBAW
HFXI