DFSE vs. VEU
Compare and contrast key facts about Dimensional Emerging Markets Sustainability Core 1 ETF (DFSE) and Vanguard FTSE All-World ex-US ETF (VEU).
DFSE and VEU are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. DFSE is an actively managed fund by Dimensional. It was launched on Nov 1, 2022. VEU is a passively managed fund by Vanguard that tracks the performance of the FTSE All-World ex US Index. It was launched on Mar 2, 2007.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DFSE or VEU.
Key characteristics
| DFSE | VEU | |
|---|---|---|
| YTD Return | 13.82% | 11.02% |
| 1Y Return | 21.75% | 21.90% |
| Sharpe Ratio | 1.28 | 1.71 |
| Sortino Ratio | 1.91 | 2.42 |
| Omega Ratio | 1.24 | 1.30 |
| Calmar Ratio | 2.33 | 1.52 |
| Martin Ratio | 6.59 | 10.01 |
| Ulcer Index | 3.21% | 2.15% |
| Daily Std Dev | 16.54% | 12.63% |
| Max Drawdown | -11.93% | -61.52% |
| Current Drawdown | -5.19% | -3.64% |
Correlation
The correlation between DFSE and VEU is 0.85, 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
DFSE vs. VEU - Performance Comparison
In the year-to-date period, DFSE achieves a 13.82% return, which is significantly higher than VEU's 11.02% 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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DFSE vs. VEU - Expense Ratio Comparison
DFSE has a 0.41% expense ratio, which is higher than VEU's 0.07% expense ratio.
Risk-Adjusted Performance
DFSE vs. VEU - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Dimensional Emerging Markets Sustainability Core 1 ETF (DFSE) and Vanguard FTSE All-World ex-US ETF (VEU). 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
DFSE vs. VEU - Dividend Comparison
DFSE's dividend yield for the trailing twelve months is around 1.82%, less than VEU's 2.87% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DFSE Dimensional Emerging Markets Sustainability Core 1 ETF | 1.82% | 2.06% | 0.36% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
VEU Vanguard FTSE All-World ex-US ETF | 2.87% | 3.32% | 3.12% | 3.07% | 2.00% | 3.10% | 3.27% | 2.66% | 2.96% | 2.95% | 3.52% | 2.66% |
Drawdowns
DFSE vs. VEU - Drawdown Comparison
The maximum DFSE drawdown since its inception was -11.93%, smaller than the maximum VEU drawdown of -61.52%. Use the drawdown chart below to compare losses from any high point for DFSE and VEU. For additional features, visit the drawdowns tool.
Volatility
DFSE vs. VEU - Volatility Comparison
Dimensional Emerging Markets Sustainability Core 1 ETF (DFSE) has a higher volatility of 4.51% compared to Vanguard FTSE All-World ex-US ETF (VEU) at 3.58%. This indicates that DFSE's price experiences larger fluctuations and is considered to be riskier than VEU based on this measure. The chart below showcases a comparison of their rolling one-month volatility.