PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
DFAR vs. DFGR
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between DFAR and DFGR is 0.97, 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

DFAR vs. DFGR - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Dimensional US Real Estate ETF (DFAR) and Dimensional Global Real Estate ETF (DFGR). The values are adjusted to include any dividend payments, if applicable.

5.00%10.00%15.00%20.00%25.00%JulyAugustSeptemberOctoberNovemberDecember
11.87%
7.47%
DFAR
DFGR

Key characteristics

Sharpe Ratio

DFAR:

0.27

DFGR:

0.08

Sortino Ratio

DFAR:

0.47

DFGR:

0.21

Omega Ratio

DFAR:

1.06

DFGR:

1.03

Calmar Ratio

DFAR:

0.18

DFGR:

0.09

Martin Ratio

DFAR:

0.97

DFGR:

0.26

Ulcer Index

DFAR:

4.50%

DFGR:

4.61%

Daily Std Dev

DFAR:

15.98%

DFGR:

14.52%

Max Drawdown

DFAR:

-32.27%

DFGR:

-21.28%

Current Drawdown

DFAR:

-13.08%

DFGR:

-12.93%

Returns By Period

In the year-to-date period, DFAR achieves a 2.82% return, which is significantly higher than DFGR's -0.74% return.


DFAR

YTD

2.82%

1M

-6.98%

6M

6.13%

1Y

3.60%

5Y*

N/A

10Y*

N/A

DFGR

YTD

-0.74%

1M

-7.31%

6M

2.89%

1Y

0.30%

5Y*

N/A

10Y*

N/A

Compare stocks, funds, or ETFs

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


DFAR vs. DFGR - Expense Ratio Comparison

DFAR has a 0.19% expense ratio, which is lower than DFGR's 0.22% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


DFGR
Dimensional Global Real Estate ETF
Expense ratio chart for DFGR: current value at 0.22% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.22%
Expense ratio chart for DFAR: current value at 0.19% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.19%

Risk-Adjusted Performance

DFAR vs. DFGR - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Dimensional US Real Estate ETF (DFAR) and Dimensional Global Real Estate ETF (DFGR). 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 DFAR, currently valued at 0.27, compared to the broader market0.002.004.000.270.08
The chart of Sortino ratio for DFAR, currently valued at 0.47, compared to the broader market-2.000.002.004.006.008.0010.000.470.21
The chart of Omega ratio for DFAR, currently valued at 1.06, compared to the broader market0.501.001.502.002.503.001.061.03
The chart of Calmar ratio for DFAR, currently valued at 0.37, compared to the broader market0.005.0010.0015.000.370.09
The chart of Martin ratio for DFAR, currently valued at 0.97, compared to the broader market0.0020.0040.0060.0080.00100.000.970.26
DFAR
DFGR

The current DFAR Sharpe Ratio is 0.27, which is higher than the DFGR Sharpe Ratio of 0.08. The chart below compares the historical Sharpe Ratios of DFAR and DFGR, 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 Ratio0.000.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
0.27
0.08
DFAR
DFGR

Dividends

DFAR vs. DFGR - Dividend Comparison

DFAR's dividend yield for the trailing twelve months is around 1.37%, less than DFGR's 1.72% yield.


TTM20232022
DFAR
Dimensional US Real Estate ETF
1.37%3.06%1.70%
DFGR
Dimensional Global Real Estate ETF
1.72%2.76%0.59%

Drawdowns

DFAR vs. DFGR - Drawdown Comparison

The maximum DFAR drawdown since its inception was -32.27%, which is greater than DFGR's maximum drawdown of -21.28%. Use the drawdown chart below to compare losses from any high point for DFAR and DFGR. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-10.87%
-12.93%
DFAR
DFGR

Volatility

DFAR vs. DFGR - Volatility Comparison

Dimensional US Real Estate ETF (DFAR) has a higher volatility of 5.20% compared to Dimensional Global Real Estate ETF (DFGR) at 4.95%. This indicates that DFAR's price experiences larger fluctuations and is considered to be riskier than DFGR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.50%3.00%3.50%4.00%4.50%5.00%5.50%6.00%JulyAugustSeptemberOctoberNovemberDecember
5.20%
4.95%
DFAR
DFGR
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab