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

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.


-0.50.00.51.01.0

Performance

DFAE vs. XSOE - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Dimensional Emerging Core Equity Market ETF (DFAE) and WisdomTree Emerging Markets ex-State-Owned Enterprises Fund (XSOE). The values are adjusted to include any dividend payments, if applicable.

-20.00%-10.00%0.00%10.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
9.66%
-11.90%
DFAE
XSOE

Key characteristics

Sharpe Ratio

DFAE:

0.85

XSOE:

0.83

Sortino Ratio

DFAE:

1.26

XSOE:

1.25

Omega Ratio

DFAE:

1.16

XSOE:

1.15

Calmar Ratio

DFAE:

0.67

XSOE:

0.36

Martin Ratio

DFAE:

3.37

XSOE:

3.19

Ulcer Index

DFAE:

3.78%

XSOE:

4.07%

Daily Std Dev

DFAE:

15.02%

XSOE:

15.69%

Max Drawdown

DFAE:

-32.21%

XSOE:

-45.23%

Current Drawdown

DFAE:

-8.47%

XSOE:

-26.46%

Returns By Period

The year-to-date returns for both stocks are quite close, with DFAE having a 8.74% return and XSOE slightly lower at 8.53%.


DFAE

YTD

8.74%

1M

-0.44%

6M

0.59%

1Y

10.62%

5Y*

N/A

10Y*

N/A

XSOE

YTD

8.53%

1M

-0.67%

6M

2.00%

1Y

10.99%

5Y*

1.54%

10Y*

4.90%

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. XSOE - Expense Ratio Comparison

DFAE has a 0.35% expense ratio, which is higher than XSOE's 0.32% 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 XSOE: current value at 0.32% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.32%

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.


Sharpe ratio
The chart of Sharpe ratio for DFAE, currently valued at 0.85, compared to the broader market0.002.004.000.850.83
The chart of Sortino ratio for DFAE, currently valued at 1.26, compared to the broader market-2.000.002.004.006.008.0010.001.261.25
The chart of Omega ratio for DFAE, currently valued at 1.16, compared to the broader market0.501.001.502.002.503.001.161.15
The chart of Calmar ratio for DFAE, currently valued at 0.67, compared to the broader market0.005.0010.0015.000.670.36
The chart of Martin ratio for DFAE, currently valued at 3.37, compared to the broader market0.0020.0040.0060.0080.00100.003.373.19
DFAE
XSOE

The current DFAE Sharpe Ratio is 0.85, which is comparable to the XSOE Sharpe Ratio of 0.83. The chart below compares the historical Sharpe Ratios of DFAE and XSOE, 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
0.83
DFAE
XSOE

Dividends

DFAE vs. XSOE - Dividend Comparison

DFAE's dividend yield for the trailing twelve months is around 2.33%, more than XSOE's 1.00% yield.


TTM2023202220212020201920182017201620152014
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%
XSOE
WisdomTree Emerging Markets ex-State-Owned Enterprises Fund
1.00%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.


-35.00%-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-8.47%
-26.46%
DFAE
XSOE

Volatility

DFAE vs. XSOE - Volatility Comparison

Dimensional Emerging Core Equity Market ETF (DFAE) and WisdomTree Emerging Markets ex-State-Owned Enterprises Fund (XSOE) have volatilities of 3.80% and 3.78%, 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
3.80%
3.78%
DFAE
XSOE
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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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