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

Correlation

The correlation between DFAE and VWO is 0.98, 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.


-0.50.00.51.01.0

Performance

DFAE vs. VWO - Performance Comparison

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

0.00%5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
9.66%
5.11%
DFAE
VWO

Key characteristics

Sharpe Ratio

DFAE:

0.85

VWO:

1.05

Sortino Ratio

DFAE:

1.26

VWO:

1.54

Omega Ratio

DFAE:

1.16

VWO:

1.19

Calmar Ratio

DFAE:

0.67

VWO:

0.66

Martin Ratio

DFAE:

3.37

VWO:

4.30

Ulcer Index

DFAE:

3.78%

VWO:

3.64%

Daily Std Dev

DFAE:

15.02%

VWO:

14.94%

Max Drawdown

DFAE:

-32.21%

VWO:

-67.68%

Current Drawdown

DFAE:

-8.47%

VWO:

-10.25%

Returns By Period

In the year-to-date period, DFAE achieves a 8.74% return, which is significantly lower than VWO's 11.50% return.


DFAE

YTD

8.74%

1M

-0.44%

6M

0.59%

1Y

10.62%

5Y*

N/A

10Y*

N/A

VWO

YTD

11.50%

1M

0.16%

6M

3.77%

1Y

13.82%

5Y*

3.23%

10Y*

4.14%

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


DFAE vs. VWO - Expense Ratio Comparison

DFAE has a 0.35% expense ratio, which is higher than VWO's 0.08% 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 VWO: current value at 0.08% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.08%

Risk-Adjusted Performance

DFAE vs. VWO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Dimensional Emerging Core Equity Market ETF (DFAE) and Vanguard FTSE Emerging Markets ETF (VWO). 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 0.85, compared to the broader market0.002.004.000.851.05
The chart of Sortino ratio for DFAE, currently valued at 1.26, compared to the broader market-2.000.002.004.006.008.0010.001.261.54
The chart of Omega ratio for DFAE, currently valued at 1.16, compared to the broader market0.501.001.502.002.503.001.161.19
The chart of Calmar ratio for DFAE, currently valued at 0.67, compared to the broader market0.005.0010.0015.000.670.66
The chart of Martin ratio for DFAE, currently valued at 3.37, compared to the broader market0.0020.0040.0060.0080.00100.003.374.30
DFAE
VWO

The current DFAE Sharpe Ratio is 0.85, which is comparable to the VWO Sharpe Ratio of 1.05. The chart below compares the historical Sharpe Ratios of DFAE and VWO, 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
0.85
1.05
DFAE
VWO

Dividends

DFAE vs. VWO - Dividend Comparison

DFAE's dividend yield for the trailing twelve months is around 2.33%, less than VWO's 3.17% yield.


TTM20232022202120202019201820172016201520142013
DFAE
Dimensional Emerging Core Equity Market ETF
2.33%2.43%2.85%1.64%0.01%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
VWO
Vanguard FTSE Emerging Markets ETF
3.17%3.52%4.11%2.63%1.91%3.24%2.88%2.30%2.52%3.26%2.86%2.73%

Drawdowns

DFAE vs. VWO - Drawdown Comparison

The maximum DFAE drawdown since its inception was -32.21%, smaller than the maximum VWO drawdown of -67.68%. Use the drawdown chart below to compare losses from any high point for DFAE and VWO. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-8.47%
-10.25%
DFAE
VWO

Volatility

DFAE vs. VWO - Volatility Comparison

The current volatility for Dimensional Emerging Core Equity Market ETF (DFAE) is 3.80%, while Vanguard FTSE Emerging Markets ETF (VWO) has a volatility of 4.30%. This indicates that DFAE experiences smaller price fluctuations and is considered to be less risky than VWO 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%7.00%JulyAugustSeptemberOctoberNovemberDecember
3.80%
4.30%
DFAE
VWO
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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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