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DFLV vs. DUHP
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


DFLVDUHP
YTD Return14.89%20.41%
1Y Return26.99%33.40%
Sharpe Ratio2.322.96
Sortino Ratio3.214.12
Omega Ratio1.401.53
Calmar Ratio2.493.92
Martin Ratio12.0916.76
Ulcer Index2.33%2.07%
Daily Std Dev12.11%11.71%
Max Drawdown-11.29%-20.05%
Current Drawdown-0.81%0.00%

Correlation

-0.50.00.51.00.8

The correlation between DFLV and DUHP is 0.82, 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

DFLV vs. DUHP - Performance Comparison

In the year-to-date period, DFLV achieves a 14.89% return, which is significantly lower than DUHP's 20.41% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


20.00%25.00%30.00%35.00%40.00%MayJuneJulyAugustSeptemberOctober
28.17%
42.77%
DFLV
DUHP

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DFLV vs. DUHP - Expense Ratio Comparison

DFLV has a 0.22% expense ratio, which is higher than DUHP's 0.21% 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%.


DFLV
Dimensional US Large Cap Value ETF
Expense ratio chart for DFLV: 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%
Expense ratio chart for DUHP: current value at 0.21% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.21%

Risk-Adjusted Performance

DFLV vs. DUHP - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Dimensional US Large Cap Value ETF (DFLV) and DFA Dimensional US High Profitability ETF (DUHP). 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.


DFLV
Sharpe ratio
The chart of Sharpe ratio for DFLV, currently valued at 2.32, compared to the broader market0.002.004.002.32
Sortino ratio
The chart of Sortino ratio for DFLV, currently valued at 3.21, compared to the broader market-2.000.002.004.006.008.0010.0012.003.21
Omega ratio
The chart of Omega ratio for DFLV, currently valued at 1.40, compared to the broader market1.001.502.002.503.001.40
Calmar ratio
The chart of Calmar ratio for DFLV, currently valued at 2.49, compared to the broader market0.005.0010.0015.002.49
Martin ratio
The chart of Martin ratio for DFLV, currently valued at 12.09, compared to the broader market0.0020.0040.0060.0080.00100.0012.09
DUHP
Sharpe ratio
The chart of Sharpe ratio for DUHP, currently valued at 2.96, compared to the broader market0.002.004.002.96
Sortino ratio
The chart of Sortino ratio for DUHP, currently valued at 4.12, compared to the broader market-2.000.002.004.006.008.0010.0012.004.12
Omega ratio
The chart of Omega ratio for DUHP, currently valued at 1.53, compared to the broader market1.001.502.002.503.001.53
Calmar ratio
The chart of Calmar ratio for DUHP, currently valued at 3.92, compared to the broader market0.005.0010.0015.003.92
Martin ratio
The chart of Martin ratio for DUHP, currently valued at 16.76, compared to the broader market0.0020.0040.0060.0080.00100.0016.76

DFLV vs. DUHP - Sharpe Ratio Comparison

The current DFLV Sharpe Ratio is 2.32, which roughly equals the DUHP Sharpe Ratio of 2.96. The chart below compares the historical Sharpe Ratios of DFLV and DUHP, offering insights into how both instruments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio1.001.502.002.503.00MayJuneJulyAugustSeptemberOctober
2.32
2.96
DFLV
DUHP

Dividends

DFLV vs. DUHP - Dividend Comparison

DFLV's dividend yield for the trailing twelve months is around 1.66%, more than DUHP's 1.23% yield.


TTM20232022
DFLV
Dimensional US Large Cap Value ETF
1.66%1.72%0.11%
DUHP
DFA Dimensional US High Profitability ETF
1.23%1.51%1.10%

Drawdowns

DFLV vs. DUHP - Drawdown Comparison

The maximum DFLV drawdown since its inception was -11.29%, smaller than the maximum DUHP drawdown of -20.05%. Use the drawdown chart below to compare losses from any high point for DFLV and DUHP. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%MayJuneJulyAugustSeptemberOctober
-0.81%
0
DFLV
DUHP

Volatility

DFLV vs. DUHP - Volatility Comparison

Dimensional US Large Cap Value ETF (DFLV) has a higher volatility of 2.91% compared to DFA Dimensional US High Profitability ETF (DUHP) at 2.44%. This indicates that DFLV's price experiences larger fluctuations and is considered to be riskier than DUHP based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%MayJuneJulyAugustSeptemberOctober
2.91%
2.44%
DFLV
DUHP