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DFAE vs. DFAI
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between DFAE and DFAI is 0.78, 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.


-0.50.00.51.00.8

Performance

DFAE vs. DFAI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Dimensional Emerging Core Equity Market ETF (DFAE) and Dimensional International Core Equity Market ETF (DFAI). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
-0.66%
-1.73%
DFAE
DFAI

Key characteristics

Sharpe Ratio

DFAE:

0.70

DFAI:

0.47

Sortino Ratio

DFAE:

1.06

DFAI:

0.72

Omega Ratio

DFAE:

1.13

DFAI:

1.09

Calmar Ratio

DFAE:

0.55

DFAI:

0.63

Martin Ratio

DFAE:

2.84

DFAI:

1.96

Ulcer Index

DFAE:

3.71%

DFAI:

3.03%

Daily Std Dev

DFAE:

15.13%

DFAI:

12.66%

Max Drawdown

DFAE:

-32.21%

DFAI:

-27.44%

Current Drawdown

DFAE:

-9.33%

DFAI:

-9.42%

Returns By Period

In the year-to-date period, DFAE achieves a 7.72% return, which is significantly higher than DFAI's 3.32% return.


DFAE

YTD

7.72%

1M

-1.34%

6M

-0.88%

1Y

9.72%

5Y*

N/A

10Y*

N/A

DFAI

YTD

3.32%

1M

-2.58%

6M

-1.66%

1Y

4.90%

5Y*

N/A

10Y*

N/A

Compare stocks, funds, or ETFs

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


DFAE vs. DFAI - Expense Ratio Comparison

DFAE has a 0.35% expense ratio, which is higher than DFAI's 0.18% expense ratio.


DFAE
Dimensional Emerging Core Equity Market ETF
Expense ratio chart for DFAE: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%
Expense ratio chart for DFAI: current value at 0.18% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.18%

Risk-Adjusted Performance

DFAE vs. DFAI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Dimensional Emerging Core Equity Market ETF (DFAE) and Dimensional International Core Equity Market ETF (DFAI). 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 DFAE, currently valued at 0.70, compared to the broader market0.002.004.000.700.47
The chart of Sortino ratio for DFAE, currently valued at 1.06, compared to the broader market-2.000.002.004.006.008.0010.001.060.72
The chart of Omega ratio for DFAE, currently valued at 1.13, compared to the broader market0.501.001.502.002.503.001.131.09
The chart of Calmar ratio for DFAE, currently valued at 0.55, compared to the broader market0.005.0010.0015.000.550.63
The chart of Martin ratio for DFAE, currently valued at 2.84, compared to the broader market0.0020.0040.0060.0080.00100.002.841.96
DFAE
DFAI

The current DFAE Sharpe Ratio is 0.70, which is higher than the DFAI Sharpe Ratio of 0.47. The chart below compares the historical Sharpe Ratios of DFAE and DFAI, 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 Ratio0.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
0.70
0.47
DFAE
DFAI

Dividends

DFAE vs. DFAI - Dividend Comparison

DFAE's dividend yield for the trailing twelve months is around 2.35%, more than DFAI's 1.95% yield.


TTM2023202220212020
DFAE
Dimensional Emerging Core Equity Market ETF
2.35%2.43%2.85%1.64%0.01%
DFAI
Dimensional International Core Equity Market ETF
1.95%2.64%2.72%2.06%0.09%

Drawdowns

DFAE vs. DFAI - Drawdown Comparison

The maximum DFAE drawdown since its inception was -32.21%, which is greater than DFAI's maximum drawdown of -27.44%. Use the drawdown chart below to compare losses from any high point for DFAE and DFAI. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-9.33%
-9.42%
DFAE
DFAI

Volatility

DFAE vs. DFAI - Volatility Comparison

Dimensional Emerging Core Equity Market ETF (DFAE) and Dimensional International Core Equity Market ETF (DFAI) have volatilities of 3.73% and 3.65%, 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%7.00%JulyAugustSeptemberOctoberNovemberDecember
3.73%
3.65%
DFAE
DFAI
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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