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DEMSX vs. VINIX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

DEMSX vs. VINIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in DFA Emerging Markets Small Cap Portfolio (DEMSX) and Vanguard Institutional Index Fund Institutional Shares (VINIX). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
-0.17%
13.04%
DEMSX
VINIX

Returns By Period

In the year-to-date period, DEMSX achieves a 5.13% return, which is significantly lower than VINIX's 25.53% return. Over the past 10 years, DEMSX has underperformed VINIX with an annualized return of 5.42%, while VINIX has yielded a comparatively higher 13.15% annualized return.


DEMSX

YTD

5.13%

1M

-3.88%

6M

-1.20%

1Y

9.27%

5Y (annualized)

7.68%

10Y (annualized)

5.42%

VINIX

YTD

25.53%

1M

1.18%

6M

12.21%

1Y

32.16%

5Y (annualized)

15.57%

10Y (annualized)

13.15%

Key characteristics


DEMSXVINIX
Sharpe Ratio0.792.61
Sortino Ratio1.093.49
Omega Ratio1.151.48
Calmar Ratio1.033.77
Martin Ratio3.2916.97
Ulcer Index2.76%1.88%
Daily Std Dev11.46%12.24%
Max Drawdown-66.70%-55.19%
Current Drawdown-7.57%-1.35%

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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%

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.

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.


Sharpe ratio
The chart of Sharpe ratio for DEMSX, currently valued at 0.79, compared to the broader market-1.000.001.002.003.004.005.000.792.61
The chart of Sortino ratio for DEMSX, currently valued at 1.09, compared to the broader market0.005.0010.001.093.49
The chart of Omega ratio for DEMSX, currently valued at 1.15, compared to the broader market1.002.003.004.001.151.48
The chart of Calmar ratio for DEMSX, currently valued at 1.03, compared to the broader market0.005.0010.0015.0020.0025.001.033.77
The chart of Martin ratio for DEMSX, currently valued at 3.29, compared to the broader market0.0020.0040.0060.0080.00100.003.2916.97
DEMSX
VINIX

The current DEMSX Sharpe Ratio is 0.79, which is lower than the VINIX Sharpe Ratio of 2.61. 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
0.79
2.61
DEMSX
VINIX

Dividends

DEMSX vs. VINIX - Dividend Comparison

DEMSX's dividend yield for the trailing twelve months is around 3.23%, more than VINIX's 1.26% yield.


TTM20232022202120202019201820172016201520142013
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%
VINIX
Vanguard Institutional Index Fund Institutional Shares
1.26%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
-7.57%
-1.35%
DEMSX
VINIX

Volatility

DEMSX vs. VINIX - Volatility Comparison

The current volatility for DFA Emerging Markets Small Cap Portfolio (DEMSX) is 3.41%, while Vanguard Institutional Index Fund Institutional Shares (VINIX) has a volatility of 4.06%. This indicates that DEMSX experiences smaller price fluctuations and is considered to be less risky than VINIX 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%JuneJulyAugustSeptemberOctoberNovember
3.41%
4.06%
DEMSX
VINIX