PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
DEMSX vs. VINIX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


DEMSXVINIX
YTD Return5.66%26.89%
1Y Return13.81%37.53%
3Y Return (Ann)1.10%10.21%
5Y Return (Ann)7.77%15.93%
10Y Return (Ann)5.55%13.41%
Sharpe Ratio1.203.05
Sortino Ratio1.594.06
Omega Ratio1.221.57
Calmar Ratio1.204.43
Martin Ratio5.6120.05
Ulcer Index2.46%1.87%
Daily Std Dev11.52%12.28%
Max Drawdown-66.70%-55.19%
Current Drawdown-7.10%-0.28%

Correlation

-0.50.00.51.00.7

The correlation between DEMSX and VINIX is 0.65, 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. VINIX - Performance Comparison

In the year-to-date period, DEMSX achieves a 5.66% return, which is significantly lower than VINIX's 26.89% return. Over the past 10 years, DEMSX has underperformed VINIX with an annualized return of 5.55%, while VINIX has yielded a comparatively higher 13.41% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
0.05%
13.44%
DEMSX
VINIX

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


DEMSX vs. VINIX - Expense Ratio Comparison

DEMSX has a 0.59% expense ratio, which is higher than VINIX's 0.04% expense ratio.


DEMSX
DFA Emerging Markets Small Cap Portfolio
Expense ratio chart for DEMSX: current value at 0.59% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.59%
Expense ratio chart for VINIX: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%

Risk-Adjusted Performance

DEMSX vs. VINIX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for DFA Emerging Markets Small Cap Portfolio (DEMSX) and Vanguard Institutional Index Fund Institutional Shares (VINIX). 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.


DEMSX
Sharpe ratio
The chart of Sharpe ratio for DEMSX, currently valued at 1.20, compared to the broader market0.002.004.001.20
Sortino ratio
The chart of Sortino ratio for DEMSX, currently valued at 1.59, compared to the broader market0.005.0010.001.59
Omega ratio
The chart of Omega ratio for DEMSX, currently valued at 1.22, compared to the broader market1.002.003.004.001.22
Calmar ratio
The chart of Calmar ratio for DEMSX, currently valued at 1.20, compared to the broader market0.005.0010.0015.0020.0025.001.20
Martin ratio
The chart of Martin ratio for DEMSX, currently valued at 5.61, compared to the broader market0.0020.0040.0060.0080.00100.005.61
VINIX
Sharpe ratio
The chart of Sharpe ratio for VINIX, currently valued at 3.05, compared to the broader market0.002.004.003.05
Sortino ratio
The chart of Sortino ratio for VINIX, currently valued at 4.06, compared to the broader market0.005.0010.004.06
Omega ratio
The chart of Omega ratio for VINIX, currently valued at 1.57, compared to the broader market1.002.003.004.001.57
Calmar ratio
The chart of Calmar ratio for VINIX, currently valued at 4.43, compared to the broader market0.005.0010.0015.0020.0025.004.43
Martin ratio
The chart of Martin ratio for VINIX, currently valued at 20.05, compared to the broader market0.0020.0040.0060.0080.00100.0020.05

DEMSX vs. VINIX - Sharpe Ratio Comparison

The current DEMSX Sharpe Ratio is 1.20, which is lower than the VINIX Sharpe Ratio of 3.05. The chart below compares the historical Sharpe Ratios of DEMSX and VINIX, 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
1.20
3.05
DEMSX
VINIX

Dividends

DEMSX vs. VINIX - Dividend Comparison

DEMSX's dividend yield for the trailing twelve months is around 3.21%, more than VINIX's 1.24% yield.


TTM20232022202120202019201820172016201520142013
DEMSX
DFA Emerging Markets Small Cap Portfolio
3.21%2.94%2.45%3.36%2.25%2.48%2.16%2.50%2.59%2.44%2.15%2.17%
VINIX
Vanguard Institutional Index Fund Institutional Shares
1.24%1.47%1.74%1.28%1.59%1.91%2.13%1.82%2.07%2.45%1.88%1.85%

Drawdowns

DEMSX vs. VINIX - Drawdown Comparison

The maximum DEMSX drawdown since its inception was -66.70%, which is greater than VINIX's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for DEMSX and VINIX. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-7.10%
-0.28%
DEMSX
VINIX

Volatility

DEMSX vs. VINIX - Volatility Comparison

DFA Emerging Markets Small Cap Portfolio (DEMSX) and Vanguard Institutional Index Fund Institutional Shares (VINIX) have volatilities of 3.69% and 3.85%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.69%
3.85%
DEMSX
VINIX