PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
DGS vs. VXUS
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between DGS and VXUS is 0.86, 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

DGS vs. VXUS - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in WisdomTree Emerging Markets SmallCap Divdend Fund (DGS) and Vanguard Total International Stock ETF (VXUS). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
-2.26%
-0.02%
DGS
VXUS

Key characteristics

Sharpe Ratio

DGS:

0.32

VXUS:

0.55

Sortino Ratio

DGS:

0.51

VXUS:

0.83

Omega Ratio

DGS:

1.06

VXUS:

1.10

Calmar Ratio

DGS:

0.44

VXUS:

0.74

Martin Ratio

DGS:

1.15

VXUS:

2.23

Ulcer Index

DGS:

3.51%

VXUS:

3.10%

Daily Std Dev

DGS:

12.77%

VXUS:

12.69%

Max Drawdown

DGS:

-61.83%

VXUS:

-35.97%

Current Drawdown

DGS:

-8.28%

VXUS:

-7.86%

Returns By Period

In the year-to-date period, DGS achieves a 2.00% return, which is significantly lower than VXUS's 5.60% return. Over the past 10 years, DGS has outperformed VXUS with an annualized return of 5.33%, while VXUS has yielded a comparatively lower 4.97% annualized return.


DGS

YTD

2.00%

1M

-1.31%

6M

-2.64%

1Y

3.71%

5Y*

5.37%

10Y*

5.33%

VXUS

YTD

5.60%

1M

-1.11%

6M

-0.02%

1Y

6.89%

5Y*

4.50%

10Y*

4.97%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


DGS vs. VXUS - Expense Ratio Comparison

DGS has a 0.63% expense ratio, which is higher than VXUS's 0.07% 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 VXUS: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%

Risk-Adjusted Performance

DGS vs. VXUS - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for WisdomTree Emerging Markets SmallCap Divdend Fund (DGS) and Vanguard Total International Stock ETF (VXUS). 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.


Sharpe ratio
The chart of Sharpe ratio for DGS, currently valued at 0.32, compared to the broader market0.002.004.000.320.55
The chart of Sortino ratio for DGS, currently valued at 0.51, compared to the broader market-2.000.002.004.006.008.0010.000.510.83
The chart of Omega ratio for DGS, currently valued at 1.06, compared to the broader market0.501.001.502.002.503.001.061.10
The chart of Calmar ratio for DGS, currently valued at 0.44, compared to the broader market0.005.0010.0015.000.440.74
The chart of Martin ratio for DGS, currently valued at 1.15, compared to the broader market0.0020.0040.0060.0080.00100.001.152.23
DGS
VXUS

The current DGS Sharpe Ratio is 0.32, which is lower than the VXUS Sharpe Ratio of 0.55. The chart below compares the historical Sharpe Ratios of DGS and VXUS, 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 Ratio0.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
0.32
0.55
DGS
VXUS

Dividends

DGS vs. VXUS - Dividend Comparison

DGS's dividend yield for the trailing twelve months is around 2.69%, less than VXUS's 3.35% yield.


TTM20232022202120202019201820172016201520142013
DGS
WisdomTree Emerging Markets SmallCap Divdend Fund
2.69%4.55%5.34%3.98%3.69%3.95%4.24%2.81%3.42%3.28%3.20%3.45%
VXUS
Vanguard Total International Stock ETF
3.35%3.25%3.09%3.10%2.14%3.06%3.17%2.73%2.93%2.83%3.40%2.70%

Drawdowns

DGS vs. VXUS - Drawdown Comparison

The maximum DGS drawdown since its inception was -61.83%, which is greater than VXUS's maximum drawdown of -35.97%. Use the drawdown chart below to compare losses from any high point for DGS and VXUS. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-8.28%
-7.86%
DGS
VXUS

Volatility

DGS vs. VXUS - Volatility Comparison

The current volatility for WisdomTree Emerging Markets SmallCap Divdend Fund (DGS) is 3.26%, while Vanguard Total International Stock ETF (VXUS) has a volatility of 3.47%. This indicates that DGS experiences smaller price fluctuations and is considered to be less risky than VXUS 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%7.00%JulyAugustSeptemberOctoberNovemberDecember
3.26%
3.47%
DGS
VXUS
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab