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

Key characteristics


DFAIDFAE
YTD Return7.56%12.47%
1Y Return19.25%19.30%
3Y Return (Ann)2.61%1.40%
Sharpe Ratio1.471.29
Sortino Ratio2.081.87
Omega Ratio1.261.23
Calmar Ratio1.860.93
Martin Ratio8.456.96
Ulcer Index2.17%2.73%
Daily Std Dev12.46%14.69%
Max Drawdown-27.44%-32.21%
Current Drawdown-5.71%-5.33%

Correlation

-0.50.00.51.00.8

The correlation between DFAI and DFAE 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.

Performance

DFAI vs. DFAE - Performance Comparison

In the year-to-date period, DFAI achieves a 7.56% return, which is significantly lower than DFAE's 12.47% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
1.37%
6.29%
DFAI
DFAE

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


DFAI vs. DFAE - Expense Ratio Comparison

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

DFAI vs. DFAE - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Dimensional International Core Equity Market ETF (DFAI) and Dimensional Emerging Core Equity Market ETF (DFAE). 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.


DFAI
Sharpe ratio
The chart of Sharpe ratio for DFAI, currently valued at 1.47, compared to the broader market-2.000.002.004.006.001.47
Sortino ratio
The chart of Sortino ratio for DFAI, currently valued at 2.08, compared to the broader market0.005.0010.002.08
Omega ratio
The chart of Omega ratio for DFAI, currently valued at 1.26, compared to the broader market0.501.001.502.002.503.001.26
Calmar ratio
The chart of Calmar ratio for DFAI, currently valued at 1.86, compared to the broader market0.005.0010.0015.001.86
Martin ratio
The chart of Martin ratio for DFAI, currently valued at 8.45, compared to the broader market0.0020.0040.0060.0080.00100.008.45
DFAE
Sharpe ratio
The chart of Sharpe ratio for DFAE, currently valued at 1.29, compared to the broader market-2.000.002.004.006.001.29
Sortino ratio
The chart of Sortino ratio for DFAE, currently valued at 1.87, compared to the broader market0.005.0010.001.87
Omega ratio
The chart of Omega ratio for DFAE, currently valued at 1.23, compared to the broader market0.501.001.502.002.503.001.23
Calmar ratio
The chart of Calmar ratio for DFAE, currently valued at 0.93, compared to the broader market0.005.0010.0015.000.93
Martin ratio
The chart of Martin ratio for DFAE, currently valued at 6.96, compared to the broader market0.0020.0040.0060.0080.00100.006.96

DFAI vs. DFAE - Sharpe Ratio Comparison

The current DFAI Sharpe Ratio is 1.47, which is comparable to the DFAE Sharpe Ratio of 1.29. The chart below compares the historical Sharpe Ratios of DFAI and DFAE, 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 Ratio0.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
1.47
1.29
DFAI
DFAE

Dividends

DFAI vs. DFAE - Dividend Comparison

DFAI's dividend yield for the trailing twelve months is around 2.44%, more than DFAE's 2.03% yield.


TTM2023202220212020
DFAI
Dimensional International Core Equity Market ETF
2.44%2.64%2.72%2.06%0.09%
DFAE
Dimensional Emerging Core Equity Market ETF
2.03%2.43%2.85%1.64%0.01%

Drawdowns

DFAI vs. DFAE - Drawdown Comparison

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


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-5.71%
-5.33%
DFAI
DFAE

Volatility

DFAI vs. DFAE - Volatility Comparison

The current volatility for Dimensional International Core Equity Market ETF (DFAI) is 3.09%, while Dimensional Emerging Core Equity Market ETF (DFAE) has a volatility of 3.60%. This indicates that DFAI experiences smaller price fluctuations and is considered to be less risky than DFAE 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%JuneJulyAugustSeptemberOctoberNovember
3.09%
3.60%
DFAI
DFAE