DFAW vs. DGEIX
Compare and contrast key facts about Dimensional World Equity ETF (DFAW) and DFA Global Equity Portfolio Institutional Class (DGEIX).
DFAW is an actively managed fund by Dimensional. It was launched on Sep 26, 2023. DGEIX is managed by Dimensional Fund Advisors LP. It was launched on Dec 24, 2003.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DFAW or DGEIX.
Key characteristics
| DFAW | DGEIX | |
|---|---|---|
| YTD Return | 19.62% | 20.12% |
| 1Y Return | 32.44% | 32.65% |
| Sharpe Ratio | 2.69 | 2.85 |
| Sortino Ratio | 3.67 | 3.87 |
| Omega Ratio | 1.50 | 1.52 |
| Calmar Ratio | 4.08 | 4.35 |
| Martin Ratio | 17.59 | 18.90 |
| Ulcer Index | 1.84% | 1.81% |
| Daily Std Dev | 12.08% | 11.96% |
| Max Drawdown | -7.94% | -59.77% |
| Current Drawdown | -0.01% | 0.00% |
Correlation
The correlation between DFAW and DGEIX 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.
Performance
DFAW vs. DGEIX - Performance Comparison
The year-to-date returns for both investments are quite close, with DFAW having a 19.62% return and DGEIX slightly higher at 20.12%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
DFAW vs. DGEIX - Expense Ratio Comparison
Both DFAW and DGEIX have an expense ratio of 0.25%, making them cost-effective options compared to the broader market, where average expense ratios typically range from 0.3% to 0.9%.
Risk-Adjusted Performance
DFAW vs. DGEIX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Dimensional World Equity ETF (DFAW) and DFA Global Equity Portfolio Institutional Class (DGEIX). 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
DFAW vs. DGEIX - Dividend Comparison
DFAW's dividend yield for the trailing twelve months is around 1.31%, less than DGEIX's 1.66% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DFAW Dimensional World Equity ETF | 1.31% | 0.42% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
DGEIX DFA Global Equity Portfolio Institutional Class | 1.66% | 1.97% | 1.89% | 1.67% | 1.44% | 1.73% | 1.99% | 1.83% | 1.91% | 1.99% | 1.88% | 1.70% |
Drawdowns
DFAW vs. DGEIX - Drawdown Comparison
The maximum DFAW drawdown since its inception was -7.94%, smaller than the maximum DGEIX drawdown of -59.77%. Use the drawdown chart below to compare losses from any high point for DFAW and DGEIX. For additional features, visit the drawdowns tool.
Volatility
DFAW vs. DGEIX - Volatility Comparison
Dimensional World Equity ETF (DFAW) and DFA Global Equity Portfolio Institutional Class (DGEIX) have volatilities of 3.53% and 3.45%, 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.