DEMSX vs. DISVX
Compare and contrast key facts about DFA Emerging Markets Small Cap Portfolio (DEMSX) and DFA International Small Cap Value Portfolio (DISVX).
DEMSX is managed by Dimensional Fund Advisors LP. It was launched on Mar 4, 1998. DISVX is managed by Dimensional Fund Advisors LP. It was launched on Dec 28, 1994.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DEMSX or DISVX.
Performance
DEMSX vs. DISVX - Performance Comparison
Returns By Period
In the year-to-date period, DEMSX achieves a 5.13% return, which is significantly lower than DISVX's 8.00% return. Over the past 10 years, DEMSX has outperformed DISVX with an annualized return of 5.42%, while DISVX has yielded a comparatively lower 4.18% annualized return.
DEMSX
5.13%
-3.88%
-1.20%
9.27%
7.68%
5.42%
DISVX
8.00%
-3.78%
-0.70%
15.43%
6.74%
4.18%
Key characteristics
| DEMSX | DISVX | |
|---|---|---|
| Sharpe Ratio | 0.79 | 1.09 |
| Sortino Ratio | 1.09 | 1.53 |
| Omega Ratio | 1.15 | 1.19 |
| Calmar Ratio | 1.03 | 1.87 |
| Martin Ratio | 3.29 | 5.39 |
| Ulcer Index | 2.76% | 2.73% |
| Daily Std Dev | 11.46% | 13.59% |
| Max Drawdown | -66.70% | -63.79% |
| Current Drawdown | -7.57% | -7.19% |
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DEMSX vs. DISVX - Expense Ratio Comparison
DEMSX has a 0.59% expense ratio, which is higher than DISVX's 0.46% expense ratio.
Correlation
The correlation between DEMSX and DISVX is 0.73, 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.
Risk-Adjusted Performance
DEMSX vs. DISVX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for DFA Emerging Markets Small Cap Portfolio (DEMSX) and DFA International Small Cap Value Portfolio (DISVX). 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
DEMSX vs. DISVX - Dividend Comparison
DEMSX's dividend yield for the trailing twelve months is around 3.23%, less than DISVX's 3.94% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DEMSX DFA Emerging Markets Small Cap Portfolio | 3.23% | 2.94% | 2.45% | 3.36% | 2.25% | 2.48% | 2.16% | 2.50% | 2.59% | 2.44% | 2.15% | 2.17% |
DISVX DFA International Small Cap Value Portfolio | 3.94% | 3.75% | 2.40% | 2.76% | 1.85% | 2.47% | 2.20% | 2.54% | 2.60% | 2.01% | 2.09% | 2.12% |
Drawdowns
DEMSX vs. DISVX - Drawdown Comparison
The maximum DEMSX drawdown since its inception was -66.70%, roughly equal to the maximum DISVX drawdown of -63.79%. Use the drawdown chart below to compare losses from any high point for DEMSX and DISVX. For additional features, visit the drawdowns tool.
Volatility
DEMSX vs. DISVX - Volatility Comparison
The current volatility for DFA Emerging Markets Small Cap Portfolio (DEMSX) is 3.41%, while DFA International Small Cap Value Portfolio (DISVX) has a volatility of 4.05%. This indicates that DEMSX experiences smaller price fluctuations and is considered to be less risky than DISVX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.