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DGS vs. AVDV
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


DGSAVDV
YTD Return1.98%7.25%
1Y Return9.19%15.88%
3Y Return (Ann)2.24%2.94%
5Y Return (Ann)6.26%7.21%
Sharpe Ratio0.921.34
Sortino Ratio1.351.88
Omega Ratio1.171.23
Calmar Ratio1.352.34
Martin Ratio4.567.55
Ulcer Index2.68%2.59%
Daily Std Dev13.27%14.60%
Max Drawdown-61.83%-43.01%
Current Drawdown-8.29%-7.47%

Correlation

-0.50.00.51.00.8

The correlation between DGS and AVDV is 0.77, 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

DGS vs. AVDV - Performance Comparison

In the year-to-date period, DGS achieves a 1.98% return, which is significantly lower than AVDV's 7.25% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-6.00%-4.00%-2.00%0.00%2.00%4.00%6.00%JuneJulyAugustSeptemberOctoberNovember
-3.42%
-1.00%
DGS
AVDV

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DGS vs. AVDV - Expense Ratio Comparison

DGS has a 0.63% expense ratio, which is higher than AVDV's 0.36% expense ratio.


DGS
WisdomTree Emerging Markets SmallCap Divdend Fund
Expense ratio chart for DGS: current value at 0.63% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.63%
Expense ratio chart for AVDV: current value at 0.36% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.36%

Risk-Adjusted Performance

DGS vs. AVDV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for WisdomTree Emerging Markets SmallCap Divdend Fund (DGS) and Avantis International Small Cap Value ETF (AVDV). 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.


DGS
Sharpe ratio
The chart of Sharpe ratio for DGS, currently valued at 0.92, compared to the broader market-2.000.002.004.000.92
Sortino ratio
The chart of Sortino ratio for DGS, currently valued at 1.35, compared to the broader market-2.000.002.004.006.008.0010.0012.001.35
Omega ratio
The chart of Omega ratio for DGS, currently valued at 1.17, compared to the broader market1.001.502.002.503.001.17
Calmar ratio
The chart of Calmar ratio for DGS, currently valued at 1.35, compared to the broader market0.005.0010.0015.001.35
Martin ratio
The chart of Martin ratio for DGS, currently valued at 4.56, compared to the broader market0.0020.0040.0060.0080.00100.00120.004.56
AVDV
Sharpe ratio
The chart of Sharpe ratio for AVDV, currently valued at 1.34, compared to the broader market-2.000.002.004.001.34
Sortino ratio
The chart of Sortino ratio for AVDV, currently valued at 1.88, compared to the broader market-2.000.002.004.006.008.0010.0012.001.88
Omega ratio
The chart of Omega ratio for AVDV, currently valued at 1.23, compared to the broader market1.001.502.002.503.001.23
Calmar ratio
The chart of Calmar ratio for AVDV, currently valued at 2.34, compared to the broader market0.005.0010.0015.002.34
Martin ratio
The chart of Martin ratio for AVDV, currently valued at 7.55, compared to the broader market0.0020.0040.0060.0080.00100.00120.007.55

DGS vs. AVDV - Sharpe Ratio Comparison

The current DGS Sharpe Ratio is 0.92, which is lower than the AVDV Sharpe Ratio of 1.34. The chart below compares the historical Sharpe Ratios of DGS and AVDV, 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 Ratio0.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
0.92
1.34
DGS
AVDV

Dividends

DGS vs. AVDV - Dividend Comparison

DGS's dividend yield for the trailing twelve months is around 3.61%, more than AVDV's 3.15% yield.


TTM20232022202120202019201820172016201520142013
DGS
WisdomTree Emerging Markets SmallCap Divdend Fund
3.61%4.55%5.34%3.98%3.69%3.95%4.24%2.81%3.42%3.28%3.20%3.45%
AVDV
Avantis International Small Cap Value ETF
3.15%3.29%3.17%2.39%1.67%0.36%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

DGS vs. AVDV - Drawdown Comparison

The maximum DGS drawdown since its inception was -61.83%, which is greater than AVDV's maximum drawdown of -43.01%. Use the drawdown chart below to compare losses from any high point for DGS and AVDV. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-8.29%
-7.47%
DGS
AVDV

Volatility

DGS vs. AVDV - Volatility Comparison

WisdomTree Emerging Markets SmallCap Divdend Fund (DGS) and Avantis International Small Cap Value ETF (AVDV) have volatilities of 3.74% and 3.92%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%JuneJulyAugustSeptemberOctoberNovember
3.74%
3.92%
DGS
AVDV