DFSD vs. SEMH.L
Compare and contrast key facts about Dimensional Short-Duration Fixed Income ETF (DFSD) and SPDR ICE BofA 0-5 Year EM USD Government Bond UCITS ETF (SEMH.L).
DFSD and SEMH.L are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. DFSD is an actively managed fund by Dimensional. It was launched on Nov 15, 2021. SEMH.L is a passively managed fund by State Street that tracks the performance of the JPM EMBI Global Diversified TR USD. It was launched on Nov 12, 2014.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DFSD or SEMH.L.
Key characteristics
| DFSD | SEMH.L | |
|---|---|---|
| YTD Return | 4.22% | 3.51% |
| 1Y Return | 6.84% | 3.03% |
| Sharpe Ratio | 3.37 | 0.44 |
| Sortino Ratio | 5.32 | 0.68 |
| Omega Ratio | 1.79 | 1.08 |
| Calmar Ratio | 2.43 | 0.27 |
| Martin Ratio | 29.80 | 1.82 |
| Ulcer Index | 0.22% | 1.37% |
| Daily Std Dev | 1.98% | 5.67% |
| Max Drawdown | -8.45% | -13.63% |
| Current Drawdown | -0.40% | -4.52% |
Correlation
The correlation between DFSD and SEMH.L is 0.36, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Performance
DFSD vs. SEMH.L - Performance Comparison
In the year-to-date period, DFSD achieves a 4.22% return, which is significantly higher than SEMH.L's 3.51% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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DFSD vs. SEMH.L - Expense Ratio Comparison
DFSD has a 0.16% expense ratio, which is lower than SEMH.L's 0.42% expense ratio.
Risk-Adjusted Performance
DFSD vs. SEMH.L - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Dimensional Short-Duration Fixed Income ETF (DFSD) and SPDR ICE BofA 0-5 Year EM USD Government Bond UCITS ETF (SEMH.L). 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
DFSD vs. SEMH.L - Dividend Comparison
DFSD's dividend yield for the trailing twelve months is around 4.59%, more than SEMH.L's 4.36% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|
DFSD Dimensional Short-Duration Fixed Income ETF | 4.59% | 3.89% | 2.11% | 0.11% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
SEMH.L SPDR ICE BofA 0-5 Year EM USD Government Bond UCITS ETF | 4.36% | 3.18% | 2.39% | 2.72% | 3.42% | 3.52% | 2.69% | 3.13% | 2.55% | 1.76% |
Drawdowns
DFSD vs. SEMH.L - Drawdown Comparison
The maximum DFSD drawdown since its inception was -8.45%, smaller than the maximum SEMH.L drawdown of -13.63%. Use the drawdown chart below to compare losses from any high point for DFSD and SEMH.L. For additional features, visit the drawdowns tool.
Volatility
DFSD vs. SEMH.L - Volatility Comparison
The current volatility for Dimensional Short-Duration Fixed Income ETF (DFSD) is 0.47%, while SPDR ICE BofA 0-5 Year EM USD Government Bond UCITS ETF (SEMH.L) has a volatility of 1.01%. This indicates that DFSD experiences smaller price fluctuations and is considered to be less risky than SEMH.L based on this measure. The chart below showcases a comparison of their rolling one-month volatility.