DFAE vs. XSOE
Compare and contrast key facts about Dimensional Emerging Core Equity Market ETF (DFAE) and WisdomTree Emerging Markets ex-State-Owned Enterprises Fund (XSOE).
DFAE and XSOE are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. DFAE is an actively managed fund by Dimensional Fund Advisors LP. It was launched on Dec 2, 2020. XSOE is a passively managed fund by WisdomTree that tracks the performance of the WisdomTree Emerging Markets ex-State-Owned Enterprises Index. It was launched on Dec 10, 2014.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DFAE or XSOE.
Performance
DFAE vs. XSOE - Performance Comparison
Returns By Period
The year-to-date returns for both investments are quite close, with DFAE having a 9.35% return and XSOE slightly higher at 9.69%.
DFAE
9.35%
-4.95%
0.92%
12.68%
N/A
N/A
XSOE
9.69%
-4.82%
2.85%
14.08%
3.16%
N/A
Key characteristics
| DFAE | XSOE | |
|---|---|---|
| Sharpe Ratio | 0.93 | 0.98 |
| Sortino Ratio | 1.38 | 1.47 |
| Omega Ratio | 1.17 | 1.18 |
| Calmar Ratio | 0.73 | 0.42 |
| Martin Ratio | 4.56 | 4.64 |
| Ulcer Index | 3.07% | 3.32% |
| Daily Std Dev | 14.97% | 15.70% |
| Max Drawdown | -32.21% | -45.23% |
| Current Drawdown | -7.96% | -25.67% |
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DFAE vs. XSOE - Expense Ratio Comparison
DFAE has a 0.35% expense ratio, which is higher than XSOE's 0.32% expense ratio.
Correlation
The correlation between DFAE and XSOE 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.
Risk-Adjusted Performance
DFAE vs. XSOE - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Dimensional Emerging Core Equity Market ETF (DFAE) and WisdomTree Emerging Markets ex-State-Owned Enterprises Fund (XSOE). 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
DFAE vs. XSOE - Dividend Comparison
DFAE's dividend yield for the trailing twelve months is around 2.09%, more than XSOE's 1.55% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|
DFAE Dimensional Emerging Core Equity Market ETF | 2.09% | 2.43% | 2.85% | 1.64% | 0.01% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
XSOE WisdomTree Emerging Markets ex-State-Owned Enterprises Fund | 1.55% | 1.78% | 2.53% | 1.36% | 1.02% | 2.01% | 1.56% | 0.65% | 1.43% | 3.94% | 0.21% |
Drawdowns
DFAE vs. XSOE - Drawdown Comparison
The maximum DFAE drawdown since its inception was -32.21%, smaller than the maximum XSOE drawdown of -45.23%. Use the drawdown chart below to compare losses from any high point for DFAE and XSOE. For additional features, visit the drawdowns tool.
Volatility
DFAE vs. XSOE - Volatility Comparison
Dimensional Emerging Core Equity Market ETF (DFAE) has a higher volatility of 4.72% compared to WisdomTree Emerging Markets ex-State-Owned Enterprises Fund (XSOE) at 4.29%. This indicates that DFAE's price experiences larger fluctuations and is considered to be riskier than XSOE based on this measure. The chart below showcases a comparison of their rolling one-month volatility.