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DFIVX vs. IDVO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between DFIVX and IDVO is 0.87, 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.


-0.50.00.51.00.9

Performance

DFIVX vs. IDVO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in DFA International Value Portfolio (DFIVX) and Amplify International Enhanced Dividend Income ETF (IDVO). The values are adjusted to include any dividend payments, if applicable.

-8.00%-6.00%-4.00%-2.00%0.00%2.00%4.00%AugustSeptemberOctoberNovemberDecember
-3.22%
-0.88%
DFIVX
IDVO

Key characteristics

Sharpe Ratio

DFIVX:

0.48

IDVO:

0.80

Sortino Ratio

DFIVX:

0.70

IDVO:

1.15

Omega Ratio

DFIVX:

1.09

IDVO:

1.14

Calmar Ratio

DFIVX:

0.64

IDVO:

1.15

Martin Ratio

DFIVX:

1.92

IDVO:

4.30

Ulcer Index

DFIVX:

3.10%

IDVO:

2.46%

Daily Std Dev

DFIVX:

12.50%

IDVO:

13.19%

Max Drawdown

DFIVX:

-65.67%

IDVO:

-11.00%

Current Drawdown

DFIVX:

-7.73%

IDVO:

-3.81%

Returns By Period

In the year-to-date period, DFIVX achieves a 5.74% return, which is significantly lower than IDVO's 10.28% return.


DFIVX

YTD

5.74%

1M

-3.61%

6M

-1.28%

1Y

5.74%

5Y*

6.93%

10Y*

5.53%

IDVO

YTD

10.28%

1M

-2.54%

6M

1.01%

1Y

10.28%

5Y*

N/A

10Y*

N/A

*Annualized

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DFIVX vs. IDVO - Expense Ratio Comparison

DFIVX has a 0.30% expense ratio, which is lower than IDVO's 0.65% expense ratio.


Expense ratio chart for IDVO: current value at 0.65% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.65%
Expense ratio chart for DFIVX: current value at 0.30% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.30%

Risk-Adjusted Performance

DFIVX vs. IDVO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for DFA International Value Portfolio (DFIVX) and Amplify International Enhanced Dividend Income ETF (IDVO). 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.


The chart of Sharpe ratio for DFIVX, currently valued at 0.48, compared to the broader market-1.000.001.002.003.000.480.80
The chart of Sortino ratio for DFIVX, currently valued at 0.70, compared to the broader market-2.000.002.004.006.008.000.701.15
The chart of Omega ratio for DFIVX, currently valued at 1.09, compared to the broader market0.501.001.502.002.503.001.091.14
The chart of Calmar ratio for DFIVX, currently valued at 0.64, compared to the broader market0.002.004.006.008.0010.0012.000.641.15
The chart of Martin ratio for DFIVX, currently valued at 1.92, compared to the broader market0.0010.0020.0030.0040.0050.001.924.30
DFIVX
IDVO

The current DFIVX Sharpe Ratio is 0.48, which is lower than the IDVO Sharpe Ratio of 0.80. The chart below compares the historical Sharpe Ratios of DFIVX and IDVO, 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 Ratio0.501.001.502.00AugustSeptemberOctoberNovemberDecember
0.48
0.80
DFIVX
IDVO

Dividends

DFIVX vs. IDVO - Dividend Comparison

DFIVX's dividend yield for the trailing twelve months is around 2.96%, less than IDVO's 6.13% yield.


TTM2023202220212020201920182017201620152014
DFIVX
DFA International Value Portfolio
2.96%4.40%3.78%4.27%2.43%3.70%3.31%2.85%3.37%3.45%4.89%
IDVO
Amplify International Enhanced Dividend Income ETF
6.13%5.71%1.96%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

DFIVX vs. IDVO - Drawdown Comparison

The maximum DFIVX drawdown since its inception was -65.67%, which is greater than IDVO's maximum drawdown of -11.00%. Use the drawdown chart below to compare losses from any high point for DFIVX and IDVO. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%AugustSeptemberOctoberNovemberDecember
-7.73%
-3.81%
DFIVX
IDVO

Volatility

DFIVX vs. IDVO - Volatility Comparison

The current volatility for DFA International Value Portfolio (DFIVX) is 3.51%, while Amplify International Enhanced Dividend Income ETF (IDVO) has a volatility of 3.75%. This indicates that DFIVX experiences smaller price fluctuations and is considered to be less risky than IDVO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%AugustSeptemberOctoberNovemberDecember
3.51%
3.75%
DFIVX
IDVO