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

Correlation

The correlation between DFEVX and DEM is 0.88, 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.


-0.50.00.51.00.9

Performance

DFEVX vs. DEM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in DFA Emerging Markets Value Portfolio (DFEVX) and WisdomTree Emerging Markets Equity Income Fund (DEM). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%JulyAugustSeptemberOctoberNovemberDecember
-3.55%
-3.99%
DFEVX
DEM

Key characteristics

Sharpe Ratio

DFEVX:

0.68

DEM:

0.62

Sortino Ratio

DFEVX:

0.98

DEM:

0.94

Omega Ratio

DFEVX:

1.13

DEM:

1.12

Calmar Ratio

DFEVX:

0.84

DEM:

0.86

Martin Ratio

DFEVX:

2.40

DEM:

2.26

Ulcer Index

DFEVX:

3.59%

DEM:

3.98%

Daily Std Dev

DFEVX:

12.69%

DEM:

14.64%

Max Drawdown

DFEVX:

-67.59%

DEM:

-51.85%

Current Drawdown

DFEVX:

-10.21%

DEM:

-9.44%

Returns By Period

The year-to-date returns for both investments are quite close, with DFEVX having a 4.67% return and DEM slightly higher at 4.90%. Both investments have delivered pretty close results over the past 10 years, with DFEVX having a 4.80% annualized return and DEM not far behind at 4.76%.


DFEVX

YTD

4.67%

1M

-3.32%

6M

-3.40%

1Y

7.34%

5Y*

4.99%

10Y*

4.80%

DEM

YTD

4.90%

1M

-1.21%

6M

-4.12%

1Y

7.24%

5Y*

3.80%

10Y*

4.76%

Compare stocks, funds, or ETFs

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


DFEVX vs. DEM - Expense Ratio Comparison

DFEVX has a 0.45% expense ratio, which is lower than DEM's 0.63% expense ratio.


DEM
WisdomTree Emerging Markets Equity Income Fund
Expense ratio chart for DEM: current value at 0.63% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.63%
Expense ratio chart for DFEVX: current value at 0.45% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.45%

Risk-Adjusted Performance

DFEVX vs. DEM - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for DFA Emerging Markets Value Portfolio (DFEVX) and WisdomTree Emerging Markets Equity Income Fund (DEM). 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 DFEVX, currently valued at 0.68, compared to the broader market-1.000.001.002.003.004.000.680.62
The chart of Sortino ratio for DFEVX, currently valued at 0.97, compared to the broader market-2.000.002.004.006.008.0010.000.980.94
The chart of Omega ratio for DFEVX, currently valued at 1.13, compared to the broader market0.501.001.502.002.503.003.501.131.12
The chart of Calmar ratio for DFEVX, currently valued at 0.84, compared to the broader market0.002.004.006.008.0010.0012.0014.000.840.86
The chart of Martin ratio for DFEVX, currently valued at 2.40, compared to the broader market0.0020.0040.0060.002.402.26
DFEVX
DEM

The current DFEVX Sharpe Ratio is 0.68, which is comparable to the DEM Sharpe Ratio of 0.62. The chart below compares the historical Sharpe Ratios of DFEVX and DEM, 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
0.68
0.62
DFEVX
DEM

Dividends

DFEVX vs. DEM - Dividend Comparison

DFEVX's dividend yield for the trailing twelve months is around 2.92%, less than DEM's 5.47% yield.


TTM20232022202120202019201820172016201520142013
DFEVX
DFA Emerging Markets Value Portfolio
2.92%4.39%4.44%3.81%2.46%2.47%2.49%2.44%1.99%2.55%2.63%2.39%
DEM
WisdomTree Emerging Markets Equity Income Fund
4.70%5.49%8.62%5.87%4.21%4.78%4.47%3.67%3.63%5.21%5.51%4.10%

Drawdowns

DFEVX vs. DEM - Drawdown Comparison

The maximum DFEVX drawdown since its inception was -67.59%, which is greater than DEM's maximum drawdown of -51.85%. Use the drawdown chart below to compare losses from any high point for DFEVX and DEM. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-10.21%
-9.44%
DFEVX
DEM

Volatility

DFEVX vs. DEM - Volatility Comparison

The current volatility for DFA Emerging Markets Value Portfolio (DFEVX) is 3.02%, while WisdomTree Emerging Markets Equity Income Fund (DEM) has a volatility of 3.64%. This indicates that DFEVX experiences smaller price fluctuations and is considered to be less risky than DEM 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%JulyAugustSeptemberOctoberNovemberDecember
3.02%
3.64%
DFEVX
DEM
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