DFIVX vs. EFV
Compare and contrast key facts about DFA International Value Portfolio (DFIVX) and iShares MSCI EAFE Value ETF (EFV).
DFIVX is managed by Dimensional Fund Advisors LP. It was launched on Feb 14, 1994. EFV is a passively managed fund by iShares that tracks the performance of the MSCI EAFE Value Index. It was launched on Aug 1, 2005.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DFIVX or EFV.
Performance
DFIVX vs. EFV - Performance Comparison
Returns By Period
In the year-to-date period, DFIVX achieves a 8.01% return, which is significantly higher than EFV's 6.52% return. Over the past 10 years, DFIVX has outperformed EFV with an annualized return of 5.41%, while EFV has yielded a comparatively lower 4.04% annualized return.
DFIVX
8.01%
-3.67%
-2.31%
14.02%
7.92%
5.41%
EFV
6.52%
-4.82%
-1.62%
12.77%
5.83%
4.04%
Key characteristics
| DFIVX | EFV | |
|---|---|---|
| Sharpe Ratio | 1.22 | 1.16 |
| Sortino Ratio | 1.66 | 1.60 |
| Omega Ratio | 1.21 | 1.20 |
| Calmar Ratio | 2.08 | 1.85 |
| Martin Ratio | 6.52 | 6.15 |
| Ulcer Index | 2.33% | 2.31% |
| Daily Std Dev | 12.50% | 12.29% |
| Max Drawdown | -65.67% | -63.94% |
| Current Drawdown | -5.75% | -6.90% |
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DFIVX vs. EFV - Expense Ratio Comparison
DFIVX has a 0.30% expense ratio, which is lower than EFV's 0.39% expense ratio.
Correlation
The correlation between DFIVX and EFV is 0.96, 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
DFIVX vs. EFV - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for DFA International Value Portfolio (DFIVX) and iShares MSCI EAFE Value ETF (EFV). 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
DFIVX vs. EFV - Dividend Comparison
DFIVX's dividend yield for the trailing twelve months is around 4.26%, less than EFV's 4.62% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DFIVX DFA International Value Portfolio | 4.26% | 4.40% | 3.78% | 4.27% | 2.43% | 3.70% | 3.31% | 2.85% | 3.37% | 3.45% | 4.89% | 2.71% |
EFV iShares MSCI EAFE Value ETF | 4.62% | 4.36% | 4.17% | 4.07% | 2.42% | 4.62% | 4.56% | 3.56% | 3.27% | 3.59% | 4.87% | 3.19% |
Drawdowns
DFIVX vs. EFV - Drawdown Comparison
The maximum DFIVX drawdown since its inception was -65.67%, roughly equal to the maximum EFV drawdown of -63.94%. Use the drawdown chart below to compare losses from any high point for DFIVX and EFV. For additional features, visit the drawdowns tool.
Volatility
DFIVX vs. EFV - Volatility Comparison
The current volatility for DFA International Value Portfolio (DFIVX) is 3.64%, while iShares MSCI EAFE Value ETF (EFV) has a volatility of 4.12%. This indicates that DFIVX experiences smaller price fluctuations and is considered to be less risky than EFV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.