DFEVX vs. VWO
Compare and contrast key facts about DFA Emerging Markets Value Portfolio (DFEVX) and Vanguard FTSE Emerging Markets ETF (VWO).
DFEVX is managed by Dimensional Fund Advisors LP. It was launched on Mar 31, 1998. VWO is a passively managed fund by Vanguard that tracks the performance of the FTSE Emerging Index. It was launched on Mar 4, 2005.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DFEVX or VWO.
Performance
DFEVX vs. VWO - Performance Comparison
Returns By Period
In the year-to-date period, DFEVX achieves a 8.27% return, which is significantly lower than VWO's 11.74% return. Over the past 10 years, DFEVX has outperformed VWO with an annualized return of 4.57%, while VWO has yielded a comparatively lower 3.37% annualized return.
DFEVX
8.27%
-4.17%
-1.26%
13.45%
6.70%
4.57%
VWO
11.74%
-4.73%
3.04%
14.92%
4.46%
3.37%
Key characteristics
| DFEVX | VWO | |
|---|---|---|
| Sharpe Ratio | 1.16 | 1.09 |
| Sortino Ratio | 1.59 | 1.61 |
| Omega Ratio | 1.21 | 1.20 |
| Calmar Ratio | 1.70 | 0.69 |
| Martin Ratio | 5.08 | 5.50 |
| Ulcer Index | 2.86% | 2.94% |
| Daily Std Dev | 12.52% | 14.77% |
| Max Drawdown | -67.59% | -67.68% |
| Current Drawdown | -7.13% | -10.06% |
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DFEVX vs. VWO - Expense Ratio Comparison
DFEVX has a 0.45% expense ratio, which is higher than VWO's 0.08% expense ratio.
Correlation
The correlation between DFEVX and VWO 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.
Risk-Adjusted Performance
DFEVX vs. VWO - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for DFA Emerging Markets Value Portfolio (DFEVX) and Vanguard FTSE Emerging Markets ETF (VWO). 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
DFEVX vs. VWO - Dividend Comparison
DFEVX's dividend yield for the trailing twelve months is around 4.57%, more than VWO's 2.65% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DFEVX DFA Emerging Markets Value Portfolio | 4.57% | 4.39% | 4.44% | 3.81% | 2.46% | 2.47% | 2.49% | 2.44% | 1.99% | 2.55% | 2.63% | 2.39% |
VWO Vanguard FTSE Emerging Markets ETF | 2.65% | 3.52% | 4.11% | 2.63% | 1.91% | 3.24% | 2.88% | 2.30% | 2.52% | 3.26% | 2.86% | 2.73% |
Drawdowns
DFEVX vs. VWO - Drawdown Comparison
The maximum DFEVX drawdown since its inception was -67.59%, roughly equal to the maximum VWO drawdown of -67.68%. Use the drawdown chart below to compare losses from any high point for DFEVX and VWO. For additional features, visit the drawdowns tool.
Volatility
DFEVX vs. VWO - Volatility Comparison
The current volatility for DFA Emerging Markets Value Portfolio (DFEVX) is 3.93%, while Vanguard FTSE Emerging Markets ETF (VWO) has a volatility of 4.49%. This indicates that DFEVX experiences smaller price fluctuations and is considered to be less risky than VWO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.