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

Correlation

The correlation between DFAE and VT is 0.64, 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

DFAE vs. VT - Performance Comparison

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

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Key characteristics

Sharpe Ratio

DFAE:

0.41

VT:

0.70

Sortino Ratio

DFAE:

0.78

VT:

1.09

Omega Ratio

DFAE:

1.10

VT:

1.16

Calmar Ratio

DFAE:

0.47

VT:

0.75

Martin Ratio

DFAE:

1.37

VT:

3.27

Ulcer Index

DFAE:

6.17%

VT:

3.77%

Daily Std Dev

DFAE:

18.67%

VT:

17.78%

Max Drawdown

DFAE:

-32.21%

VT:

-50.27%

Current Drawdown

DFAE:

-1.15%

VT:

0.00%

Returns By Period

In the year-to-date period, DFAE achieves a 9.06% return, which is significantly higher than VT's 5.86% return.


DFAE

YTD

9.06%

1M

10.71%

6M

7.57%

1Y

7.53%

3Y*

7.39%

5Y*

N/A

10Y*

N/A

VT

YTD

5.86%

1M

11.49%

6M

5.10%

1Y

12.36%

3Y*

13.95%

5Y*

14.06%

10Y*

9.16%

*Annualized

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Vanguard Total World Stock ETF

DFAE vs. VT - Expense Ratio Comparison

DFAE has a 0.35% expense ratio, which is higher than VT's 0.07% expense ratio.


Risk-Adjusted Performance

DFAE vs. VT — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

DFAE
The Risk-Adjusted Performance Rank of DFAE is 4343
Overall Rank
The Sharpe Ratio Rank of DFAE is 4040
Sharpe Ratio Rank
The Sortino Ratio Rank of DFAE is 4444
Sortino Ratio Rank
The Omega Ratio Rank of DFAE is 4141
Omega Ratio Rank
The Calmar Ratio Rank of DFAE is 5050
Calmar Ratio Rank
The Martin Ratio Rank of DFAE is 4141
Martin Ratio Rank

VT
The Risk-Adjusted Performance Rank of VT is 6868
Overall Rank
The Sharpe Ratio Rank of VT is 6767
Sharpe Ratio Rank
The Sortino Ratio Rank of VT is 6464
Sortino Ratio Rank
The Omega Ratio Rank of VT is 6666
Omega Ratio Rank
The Calmar Ratio Rank of VT is 6969
Calmar Ratio Rank
The Martin Ratio Rank of VT is 7474
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

DFAE vs. VT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Dimensional Emerging Core Equity Market ETF (DFAE) and Vanguard Total World Stock ETF (VT). 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.


The current DFAE Sharpe Ratio is 0.41, which is lower than the VT Sharpe Ratio of 0.70. The chart below compares the historical Sharpe Ratios of DFAE and VT, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Dividends

DFAE vs. VT - Dividend Comparison

DFAE's dividend yield for the trailing twelve months is around 2.26%, more than VT's 1.82% yield.


TTM20242023202220212020201920182017201620152014
DFAE
Dimensional Emerging Core Equity Market ETF
2.26%2.35%2.43%2.85%1.64%0.01%0.00%0.00%0.00%0.00%0.00%0.00%
VT
Vanguard Total World Stock ETF
1.82%1.95%2.08%2.20%1.82%1.66%2.32%2.53%2.11%2.39%2.45%2.44%

Drawdowns

DFAE vs. VT - Drawdown Comparison

The maximum DFAE drawdown since its inception was -32.21%, smaller than the maximum VT drawdown of -50.27%. Use the drawdown chart below to compare losses from any high point for DFAE and VT. For additional features, visit the drawdowns tool.


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Volatility

DFAE vs. VT - Volatility Comparison

Dimensional Emerging Core Equity Market ETF (DFAE) and Vanguard Total World Stock ETF (VT) have volatilities of 4.11% and 4.23%, 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.


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