DEMSX vs. HSCZ
Compare and contrast key facts about DFA Emerging Markets Small Cap Portfolio (DEMSX) and iShares Currency Hedged MSCI EAFE Small Cap ETF (HSCZ).
DEMSX is managed by Dimensional Fund Advisors LP. It was launched on Mar 4, 1998. HSCZ is a passively managed fund by iShares that tracks the performance of the MSCI EAFE Small-Cap 100% Hedged to USD Index. It was launched on Jun 29, 2015.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DEMSX or HSCZ.
Key characteristics
| DEMSX | HSCZ | |
|---|---|---|
| YTD Return | 8.30% | 11.65% |
| 1Y Return | 16.87% | 20.31% |
| 3Y Return (Ann) | 2.21% | 4.45% |
| 5Y Return (Ann) | 7.93% | 8.47% |
| Sharpe Ratio | 1.40 | 1.81 |
| Sortino Ratio | 1.85 | 2.41 |
| Omega Ratio | 1.26 | 1.33 |
| Calmar Ratio | 1.38 | 2.14 |
| Martin Ratio | 6.67 | 10.67 |
| Ulcer Index | 2.39% | 1.97% |
| Daily Std Dev | 11.38% | 11.66% |
| Max Drawdown | -66.70% | -34.89% |
| Current Drawdown | -4.79% | -1.95% |
Correlation
The correlation between DEMSX and HSCZ is 0.57, 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.
Performance
DEMSX vs. HSCZ - Performance Comparison
In the year-to-date period, DEMSX achieves a 8.30% return, which is significantly lower than HSCZ's 11.65% 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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DEMSX vs. HSCZ - Expense Ratio Comparison
DEMSX has a 0.59% expense ratio, which is higher than HSCZ's 0.43% expense ratio.
Risk-Adjusted Performance
DEMSX vs. HSCZ - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for DFA Emerging Markets Small Cap Portfolio (DEMSX) and iShares Currency Hedged MSCI EAFE Small Cap ETF (HSCZ). 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. HSCZ - Dividend Comparison
DEMSX's dividend yield for the trailing twelve months is around 3.14%, more than HSCZ's 2.54% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DEMSX DFA Emerging Markets Small Cap Portfolio | 3.14% | 2.94% | 2.45% | 3.36% | 2.25% | 2.48% | 2.16% | 2.50% | 2.59% | 2.44% | 2.15% | 2.17% |
HSCZ iShares Currency Hedged MSCI EAFE Small Cap ETF | 2.54% | 2.98% | 26.91% | 2.90% | 1.46% | 4.51% | 6.15% | 2.52% | 2.57% | 1.75% | 0.00% | 0.00% |
Drawdowns
DEMSX vs. HSCZ - Drawdown Comparison
The maximum DEMSX drawdown since its inception was -66.70%, which is greater than HSCZ's maximum drawdown of -34.89%. Use the drawdown chart below to compare losses from any high point for DEMSX and HSCZ. For additional features, visit the drawdowns tool.
Volatility
DEMSX vs. HSCZ - Volatility Comparison
DFA Emerging Markets Small Cap Portfolio (DEMSX) has a higher volatility of 3.26% compared to iShares Currency Hedged MSCI EAFE Small Cap ETF (HSCZ) at 2.39%. This indicates that DEMSX's price experiences larger fluctuations and is considered to be riskier than HSCZ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.