DEMSX vs. VOO
Compare and contrast key facts about DFA Emerging Markets Small Cap Portfolio (DEMSX) and Vanguard S&P 500 ETF (VOO).
DEMSX is managed by Dimensional Fund Advisors LP. It was launched on Mar 4, 1998. VOO is a passively managed fund by Vanguard that tracks the performance of the S&P 500 Index. It was launched on Sep 7, 2010.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DEMSX or VOO.
Performance
DEMSX vs. VOO - Performance Comparison
Returns By Period
In the year-to-date period, DEMSX achieves a 5.13% return, which is significantly lower than VOO's 25.52% return. Over the past 10 years, DEMSX has underperformed VOO with an annualized return of 5.42%, while VOO has yielded a comparatively higher 13.15% annualized return.
DEMSX
5.13%
-3.88%
-1.20%
9.27%
7.68%
5.42%
VOO
25.52%
1.19%
12.21%
32.23%
15.58%
13.15%
Key characteristics
| DEMSX | VOO | |
|---|---|---|
| Sharpe Ratio | 0.79 | 2.62 |
| Sortino Ratio | 1.09 | 3.50 |
| Omega Ratio | 1.15 | 1.49 |
| Calmar Ratio | 1.03 | 3.78 |
| Martin Ratio | 3.29 | 17.12 |
| Ulcer Index | 2.76% | 1.86% |
| Daily Std Dev | 11.46% | 12.19% |
| Max Drawdown | -66.70% | -33.99% |
| Current Drawdown | -7.57% | -1.36% |
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DEMSX vs. VOO - Expense Ratio Comparison
DEMSX has a 0.59% expense ratio, which is higher than VOO's 0.03% expense ratio.
Correlation
The correlation between DEMSX and VOO 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. VOO - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for DFA Emerging Markets Small Cap Portfolio (DEMSX) and Vanguard S&P 500 ETF (VOO). 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. VOO - Dividend Comparison
DEMSX's dividend yield for the trailing twelve months is around 3.23%, more than VOO's 1.25% 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% |
VOO Vanguard S&P 500 ETF | 1.25% | 1.46% | 1.69% | 1.25% | 1.54% | 1.88% | 2.06% | 1.78% | 2.02% | 2.10% | 1.85% | 1.84% |
Drawdowns
DEMSX vs. VOO - Drawdown Comparison
The maximum DEMSX drawdown since its inception was -66.70%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for DEMSX and VOO. For additional features, visit the drawdowns tool.
Volatility
DEMSX vs. VOO - Volatility Comparison
The current volatility for DFA Emerging Markets Small Cap Portfolio (DEMSX) is 3.41%, while Vanguard S&P 500 ETF (VOO) has a volatility of 4.10%. This indicates that DEMSX experiences smaller price fluctuations and is considered to be less risky than VOO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.