DFGEX vs. VNQI
Compare and contrast key facts about DFA Global Real Estate Securities Portfolio (DFGEX) and Vanguard Global ex-U.S. Real Estate ETF (VNQI).
DFGEX is managed by Dimensional Fund Advisors LP. It was launched on Jun 3, 2008. VNQI is a passively managed fund by Vanguard that tracks the performance of the S&P Global ex-U.S. Property Index. It was launched on Nov 1, 2010.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DFGEX or VNQI.
Performance
DFGEX vs. VNQI - Performance Comparison
Returns By Period
In the year-to-date period, DFGEX achieves a 7.89% return, which is significantly higher than VNQI's -0.77% return. Over the past 10 years, DFGEX has outperformed VNQI with an annualized return of 4.87%, while VNQI has yielded a comparatively lower 0.91% annualized return.
DFGEX
7.89%
-1.86%
14.11%
20.54%
2.57%
4.87%
VNQI
-0.77%
-4.67%
1.73%
7.81%
-3.41%
0.91%
Key characteristics
| DFGEX | VNQI | |
|---|---|---|
| Sharpe Ratio | 1.45 | 0.57 |
| Sortino Ratio | 2.06 | 0.89 |
| Omega Ratio | 1.26 | 1.11 |
| Calmar Ratio | 0.83 | 0.29 |
| Martin Ratio | 4.95 | 1.92 |
| Ulcer Index | 4.23% | 4.24% |
| Daily Std Dev | 14.40% | 14.38% |
| Max Drawdown | -62.57% | -38.35% |
| Current Drawdown | -9.99% | -22.65% |
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DFGEX vs. VNQI - Expense Ratio Comparison
DFGEX has a 0.14% expense ratio, which is higher than VNQI's 0.12% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.
Correlation
The correlation between DFGEX and VNQI is 0.73, 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
DFGEX vs. VNQI - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for DFA Global Real Estate Securities Portfolio (DFGEX) and Vanguard Global ex-U.S. Real Estate ETF (VNQI). 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
DFGEX vs. VNQI - Dividend Comparison
DFGEX's dividend yield for the trailing twelve months is around 3.11%, less than VNQI's 3.76% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DFGEX DFA Global Real Estate Securities Portfolio | 3.11% | 3.36% | 1.47% | 3.58% | 2.00% | 5.90% | 5.09% | 3.08% | 4.73% | 2.44% | 3.74% | 3.63% |
VNQI Vanguard Global ex-U.S. Real Estate ETF | 3.76% | 3.74% | 0.57% | 6.48% | 0.93% | 7.57% | 4.62% | 3.86% | 5.18% | 2.86% | 4.11% | 3.27% |
Drawdowns
DFGEX vs. VNQI - Drawdown Comparison
The maximum DFGEX drawdown since its inception was -62.57%, which is greater than VNQI's maximum drawdown of -38.35%. Use the drawdown chart below to compare losses from any high point for DFGEX and VNQI. For additional features, visit the drawdowns tool.
Volatility
DFGEX vs. VNQI - Volatility Comparison
DFA Global Real Estate Securities Portfolio (DFGEX) and Vanguard Global ex-U.S. Real Estate ETF (VNQI) have volatilities of 4.04% and 3.90%, 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.