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DFEVX vs. VWO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

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.


-0.50.00.51.00.9

Performance

DFEVX vs. VWO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in DFA Emerging Markets Value Portfolio (DFEVX) and Vanguard FTSE Emerging Markets ETF (VWO). The values are adjusted to include any dividend payments, if applicable.

180.00%200.00%220.00%240.00%260.00%280.00%JulyAugustSeptemberOctoberNovemberDecember
234.63%
201.16%
DFEVX
VWO

Key characteristics

Sharpe Ratio

DFEVX:

0.68

VWO:

1.05

Sortino Ratio

DFEVX:

0.98

VWO:

1.54

Omega Ratio

DFEVX:

1.13

VWO:

1.19

Calmar Ratio

DFEVX:

0.84

VWO:

0.66

Martin Ratio

DFEVX:

2.40

VWO:

4.30

Ulcer Index

DFEVX:

3.59%

VWO:

3.64%

Daily Std Dev

DFEVX:

12.69%

VWO:

14.94%

Max Drawdown

DFEVX:

-67.59%

VWO:

-67.68%

Current Drawdown

DFEVX:

-10.21%

VWO:

-10.25%

Returns By Period

In the year-to-date period, DFEVX achieves a 4.67% return, which is significantly lower than VWO's 11.50% return. Over the past 10 years, DFEVX has outperformed VWO with an annualized return of 4.80%, while VWO has yielded a comparatively lower 4.14% annualized return.


DFEVX

YTD

4.67%

1M

-3.32%

6M

-3.40%

1Y

7.34%

5Y*

4.99%

10Y*

4.80%

VWO

YTD

11.50%

1M

0.16%

6M

3.77%

1Y

13.82%

5Y*

3.23%

10Y*

4.14%

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. VWO - Expense Ratio Comparison

DFEVX has a 0.45% expense ratio, which is higher than VWO's 0.08% expense ratio.


DFEVX
DFA Emerging Markets Value Portfolio
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%
Expense ratio chart for VWO: current value at 0.08% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.08%

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.


Sharpe ratio
The chart of Sharpe ratio for DFEVX, currently valued at 0.68, compared to the broader market-1.000.001.002.003.004.000.681.05
The chart of Sortino ratio for DFEVX, currently valued at 0.97, compared to the broader market-2.000.002.004.006.008.0010.000.981.54
The chart of Omega ratio for DFEVX, currently valued at 1.13, compared to the broader market0.501.001.502.002.503.003.501.131.19
The chart of Calmar ratio for DFEVX, currently valued at 0.84, compared to the broader market0.002.004.006.008.0010.0012.0014.000.840.66
The chart of Martin ratio for DFEVX, currently valued at 2.40, compared to the broader market0.0020.0040.0060.002.404.30
DFEVX
VWO

The current DFEVX Sharpe Ratio is 0.68, which is lower than the VWO Sharpe Ratio of 1.05. The chart below compares the historical Sharpe Ratios of DFEVX and VWO, 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
1.05
DFEVX
VWO

Dividends

DFEVX vs. VWO - Dividend Comparison

DFEVX's dividend yield for the trailing twelve months is around 2.92%, less than VWO's 3.17% 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%
VWO
Vanguard FTSE Emerging Markets ETF
3.17%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.


-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-10.21%
-10.25%
DFEVX
VWO

Volatility

DFEVX vs. VWO - Volatility Comparison

The current volatility for DFA Emerging Markets Value Portfolio (DFEVX) is 3.02%, while Vanguard FTSE Emerging Markets ETF (VWO) has a volatility of 4.30%. 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.


2.00%3.00%4.00%5.00%6.00%7.00%JulyAugustSeptemberOctoberNovemberDecember
3.02%
4.30%
DFEVX
VWO
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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.

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