DFAS vs. XSMO
Compare and contrast key facts about Dimensional U.S. Small Cap ETF (DFAS) and Invesco S&P SmallCap Momentum ETF (XSMO).
DFAS and XSMO are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. DFAS is an actively managed fund by Dimensional Fund Advisors LP. It was launched on Jun 14, 2021. XSMO is a passively managed fund by Invesco that tracks the performance of the S&P SmallCap 600 Index. It was launched on Mar 3, 2005.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DFAS or XSMO.
Performance
DFAS vs. XSMO - Performance Comparison
Returns By Period
In the year-to-date period, DFAS achieves a 16.17% return, which is significantly lower than XSMO's 27.28% return.
DFAS
16.17%
6.13%
13.90%
29.69%
N/A
N/A
XSMO
27.28%
8.82%
18.94%
42.80%
14.69%
12.13%
Key characteristics
| DFAS | XSMO | |
|---|---|---|
| Sharpe Ratio | 1.60 | 2.05 |
| Sortino Ratio | 2.31 | 2.92 |
| Omega Ratio | 1.28 | 1.36 |
| Calmar Ratio | 2.45 | 2.77 |
| Martin Ratio | 8.99 | 13.42 |
| Ulcer Index | 3.39% | 3.24% |
| Daily Std Dev | 19.10% | 21.23% |
| Max Drawdown | -24.77% | -58.07% |
| Current Drawdown | -2.12% | -2.11% |
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DFAS vs. XSMO - Expense Ratio Comparison
DFAS has a 0.34% expense ratio, which is lower than XSMO's 0.39% expense ratio.
Correlation
The correlation between DFAS and XSMO is 0.94, 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
DFAS vs. XSMO - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Dimensional U.S. Small Cap ETF (DFAS) and Invesco S&P SmallCap Momentum ETF (XSMO). 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
DFAS vs. XSMO - Dividend Comparison
DFAS's dividend yield for the trailing twelve months is around 0.87%, more than XSMO's 0.46% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DFAS Dimensional U.S. Small Cap ETF | 0.87% | 1.00% | 1.03% | 3.24% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
XSMO Invesco S&P SmallCap Momentum ETF | 0.46% | 0.96% | 1.19% | 0.30% | 0.82% | 0.69% | 0.65% | 0.28% | 0.30% | 0.35% | 1.31% | 0.91% |
Drawdowns
DFAS vs. XSMO - Drawdown Comparison
The maximum DFAS drawdown since its inception was -24.77%, smaller than the maximum XSMO drawdown of -58.07%. Use the drawdown chart below to compare losses from any high point for DFAS and XSMO. For additional features, visit the drawdowns tool.
Volatility
DFAS vs. XSMO - Volatility Comparison
The current volatility for Dimensional U.S. Small Cap ETF (DFAS) is 7.07%, while Invesco S&P SmallCap Momentum ETF (XSMO) has a volatility of 8.56%. This indicates that DFAS experiences smaller price fluctuations and is considered to be less risky than XSMO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.