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DFIV vs. VYMI
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


DFIVVYMI
YTD Return10.06%10.23%
1Y Return20.94%21.37%
3Y Return (Ann)7.08%6.15%
Sharpe Ratio1.651.74
Sortino Ratio2.242.38
Omega Ratio1.281.30
Calmar Ratio2.833.12
Martin Ratio9.5810.81
Ulcer Index2.20%1.97%
Daily Std Dev12.76%12.23%
Max Drawdown-25.42%-40.00%
Current Drawdown-4.22%-4.29%

Correlation

-0.50.00.51.01.0

The correlation between DFIV and VYMI is 0.97, 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

DFIV vs. VYMI - Performance Comparison

The year-to-date returns for both investments are quite close, with DFIV having a 10.06% return and VYMI slightly higher at 10.23%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


10.00%15.00%20.00%25.00%30.00%JuneJulyAugustSeptemberOctoberNovember
24.90%
20.42%
DFIV
VYMI

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DFIV vs. VYMI - Expense Ratio Comparison

DFIV has a 0.27% expense ratio, which is higher than VYMI's 0.22% 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%.


DFIV
Dimensional International Value ETF
Expense ratio chart for DFIV: current value at 0.27% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.27%
Expense ratio chart for VYMI: current value at 0.22% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.22%

Risk-Adjusted Performance

DFIV vs. VYMI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Dimensional International Value ETF (DFIV) and Vanguard International High Dividend Yield ETF (VYMI). 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.


DFIV
Sharpe ratio
The chart of Sharpe ratio for DFIV, currently valued at 1.65, compared to the broader market-2.000.002.004.006.001.65
Sortino ratio
The chart of Sortino ratio for DFIV, currently valued at 2.24, compared to the broader market-2.000.002.004.006.008.0010.0012.002.24
Omega ratio
The chart of Omega ratio for DFIV, currently valued at 1.28, compared to the broader market1.001.502.002.503.001.28
Calmar ratio
The chart of Calmar ratio for DFIV, currently valued at 2.83, compared to the broader market0.005.0010.0015.002.83
Martin ratio
The chart of Martin ratio for DFIV, currently valued at 9.58, compared to the broader market0.0020.0040.0060.0080.00100.00120.009.58
VYMI
Sharpe ratio
The chart of Sharpe ratio for VYMI, currently valued at 1.74, compared to the broader market-2.000.002.004.006.001.74
Sortino ratio
The chart of Sortino ratio for VYMI, currently valued at 2.38, compared to the broader market-2.000.002.004.006.008.0010.0012.002.38
Omega ratio
The chart of Omega ratio for VYMI, currently valued at 1.30, compared to the broader market1.001.502.002.503.001.30
Calmar ratio
The chart of Calmar ratio for VYMI, currently valued at 3.12, compared to the broader market0.005.0010.0015.003.12
Martin ratio
The chart of Martin ratio for VYMI, currently valued at 10.81, compared to the broader market0.0020.0040.0060.0080.00100.00120.0010.81

DFIV vs. VYMI - Sharpe Ratio Comparison

The current DFIV Sharpe Ratio is 1.65, which is comparable to the VYMI Sharpe Ratio of 1.74. The chart below compares the historical Sharpe Ratios of DFIV and VYMI, 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
1.65
1.74
DFIV
VYMI

Dividends

DFIV vs. VYMI - Dividend Comparison

DFIV's dividend yield for the trailing twelve months is around 3.71%, less than VYMI's 4.49% yield.


TTM20232022202120202019201820172016
DFIV
Dimensional International Value ETF
3.71%3.93%3.84%2.31%0.00%0.00%0.00%0.00%0.00%
VYMI
Vanguard International High Dividend Yield ETF
4.49%4.58%4.71%4.30%3.22%4.20%4.29%3.21%2.39%

Drawdowns

DFIV vs. VYMI - Drawdown Comparison

The maximum DFIV drawdown since its inception was -25.42%, smaller than the maximum VYMI drawdown of -40.00%. Use the drawdown chart below to compare losses from any high point for DFIV and VYMI. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-4.22%
-4.29%
DFIV
VYMI

Volatility

DFIV vs. VYMI - Volatility Comparison

The current volatility for Dimensional International Value ETF (DFIV) is 3.67%, while Vanguard International High Dividend Yield ETF (VYMI) has a volatility of 4.00%. This indicates that DFIV experiences smaller price fluctuations and is considered to be less risky than VYMI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.50%3.00%3.50%4.00%4.50%5.00%5.50%6.00%JuneJulyAugustSeptemberOctoberNovember
3.67%
4.00%
DFIV
VYMI