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DFIC vs. BNY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

DFIC vs. BNY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in DFA Dimensional International Core Equity 2 ETF (DFIC) and BlackRock New York Municipal Income Trust (BNY). The values are adjusted to include any dividend payments, if applicable.

-4.00%-2.00%0.00%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
-0.60%
1.40%
DFIC
BNY

Returns By Period

In the year-to-date period, DFIC achieves a 5.03% return, which is significantly higher than BNY's 4.37% return.


DFIC

YTD

5.03%

1M

-3.75%

6M

-1.17%

1Y

12.03%

5Y (annualized)

N/A

10Y (annualized)

N/A

BNY

YTD

4.37%

1M

-3.21%

6M

0.73%

1Y

12.62%

5Y (annualized)

-0.95%

10Y (annualized)

1.63%

Key characteristics


DFICBNY
Sharpe Ratio0.931.61
Sortino Ratio1.342.47
Omega Ratio1.161.29
Calmar Ratio1.540.41
Martin Ratio4.538.13
Ulcer Index2.55%1.59%
Daily Std Dev12.46%8.04%
Max Drawdown-24.40%-49.55%
Current Drawdown-7.33%-23.00%

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Correlation

-0.50.00.51.00.3

The correlation between DFIC and BNY is 0.30, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Risk-Adjusted Performance

DFIC vs. BNY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for DFA Dimensional International Core Equity 2 ETF (DFIC) and BlackRock New York Municipal Income Trust (BNY). 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 DFIC, currently valued at 0.93, compared to the broader market0.002.004.000.931.61
The chart of Sortino ratio for DFIC, currently valued at 1.34, compared to the broader market-2.000.002.004.006.008.0010.0012.001.342.47
The chart of Omega ratio for DFIC, currently valued at 1.16, compared to the broader market0.501.001.502.002.503.001.161.29
The chart of Calmar ratio for DFIC, currently valued at 1.54, compared to the broader market0.005.0010.0015.001.540.92
The chart of Martin ratio for DFIC, currently valued at 4.53, compared to the broader market0.0020.0040.0060.0080.00100.004.538.13
DFIC
BNY

The current DFIC Sharpe Ratio is 0.93, which is lower than the BNY Sharpe Ratio of 1.61. The chart below compares the historical Sharpe Ratios of DFIC and BNY, 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
0.93
1.61
DFIC
BNY

Dividends

DFIC vs. BNY - Dividend Comparison

DFIC's dividend yield for the trailing twelve months is around 2.63%, less than BNY's 5.07% yield.


TTM20232022202120202019201820172016201520142013
DFIC
DFA Dimensional International Core Equity 2 ETF
2.63%2.54%1.48%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
BNY
BlackRock New York Municipal Income Trust
5.07%3.78%5.53%5.06%4.16%3.87%4.71%4.99%5.39%5.31%5.77%6.75%

Drawdowns

DFIC vs. BNY - Drawdown Comparison

The maximum DFIC drawdown since its inception was -24.40%, smaller than the maximum BNY drawdown of -49.55%. Use the drawdown chart below to compare losses from any high point for DFIC and BNY. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-7.33%
-4.25%
DFIC
BNY

Volatility

DFIC vs. BNY - Volatility Comparison

DFA Dimensional International Core Equity 2 ETF (DFIC) and BlackRock New York Municipal Income Trust (BNY) have volatilities of 3.63% and 3.54%, 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.


1.00%2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.63%
3.54%
DFIC
BNY