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

Key characteristics


DFICVEA
YTD Return5.41%5.01%
1Y Return16.19%16.10%
Sharpe Ratio1.291.24
Sortino Ratio1.841.78
Omega Ratio1.231.22
Calmar Ratio2.271.35
Martin Ratio7.226.72
Ulcer Index2.29%2.42%
Daily Std Dev12.78%13.09%
Max Drawdown-24.40%-60.70%
Current Drawdown-7.00%-7.32%

Correlation

-0.50.00.51.01.0

The correlation between DFIC and VEA is 0.99, 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.

Performance

DFIC vs. VEA - Performance Comparison

In the year-to-date period, DFIC achieves a 5.41% return, which is significantly higher than VEA's 5.01% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-6.00%-4.00%-2.00%0.00%2.00%4.00%6.00%JuneJulyAugustSeptemberOctoberNovember
-2.06%
-2.35%
DFIC
VEA

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DFIC vs. VEA - Expense Ratio Comparison

DFIC has a 0.23% expense ratio, which is higher than VEA's 0.05% 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%.


DFIC
DFA Dimensional International Core Equity 2 ETF
Expense ratio chart for DFIC: current value at 0.23% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.23%
Expense ratio chart for VEA: current value at 0.05% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.05%

Risk-Adjusted Performance

DFIC vs. VEA - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for DFA Dimensional International Core Equity 2 ETF (DFIC) and Vanguard FTSE Developed Markets ETF (VEA). 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.


DFIC
Sharpe ratio
The chart of Sharpe ratio for DFIC, currently valued at 1.29, compared to the broader market-2.000.002.004.006.001.29
Sortino ratio
The chart of Sortino ratio for DFIC, currently valued at 1.84, compared to the broader market-2.000.002.004.006.008.0010.0012.001.84
Omega ratio
The chart of Omega ratio for DFIC, currently valued at 1.23, compared to the broader market1.001.502.002.503.001.23
Calmar ratio
The chart of Calmar ratio for DFIC, currently valued at 2.27, compared to the broader market0.005.0010.0015.002.27
Martin ratio
The chart of Martin ratio for DFIC, currently valued at 7.22, compared to the broader market0.0020.0040.0060.0080.00100.00120.007.22
VEA
Sharpe ratio
The chart of Sharpe ratio for VEA, currently valued at 1.24, compared to the broader market-2.000.002.004.006.001.24
Sortino ratio
The chart of Sortino ratio for VEA, currently valued at 1.78, compared to the broader market-2.000.002.004.006.008.0010.0012.001.78
Omega ratio
The chart of Omega ratio for VEA, currently valued at 1.22, compared to the broader market1.001.502.002.503.001.22
Calmar ratio
The chart of Calmar ratio for VEA, currently valued at 2.15, compared to the broader market0.005.0010.0015.002.15
Martin ratio
The chart of Martin ratio for VEA, currently valued at 6.72, compared to the broader market0.0020.0040.0060.0080.00100.00120.006.72

DFIC vs. VEA - Sharpe Ratio Comparison

The current DFIC Sharpe Ratio is 1.29, which is comparable to the VEA Sharpe Ratio of 1.24. The chart below compares the historical Sharpe Ratios of DFIC and VEA, 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 Ratio0.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
1.29
1.24
DFIC
VEA

Dividends

DFIC vs. VEA - Dividend Comparison

DFIC's dividend yield for the trailing twelve months is around 2.62%, less than VEA's 3.04% yield.


TTM20232022202120202019201820172016201520142013
DFIC
DFA Dimensional International Core Equity 2 ETF
2.62%2.54%1.48%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
VEA
Vanguard FTSE Developed Markets ETF
3.04%3.16%2.91%3.16%2.04%3.04%3.35%2.77%3.05%2.92%3.68%2.60%

Drawdowns

DFIC vs. VEA - Drawdown Comparison

The maximum DFIC drawdown since its inception was -24.40%, smaller than the maximum VEA drawdown of -60.70%. Use the drawdown chart below to compare losses from any high point for DFIC and VEA. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-7.00%
-7.32%
DFIC
VEA

Volatility

DFIC vs. VEA - Volatility Comparison

DFA Dimensional International Core Equity 2 ETF (DFIC) and Vanguard FTSE Developed Markets ETF (VEA) have volatilities of 3.84% and 3.95%, 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.


2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.84%
3.95%
DFIC
VEA