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DIHRX vs. DFAI
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


DIHRXDFAI
YTD Return4.33%8.87%
1Y Return14.72%19.79%
3Y Return (Ann)0.61%3.03%
Sharpe Ratio1.131.54
Sortino Ratio1.672.18
Omega Ratio1.201.27
Calmar Ratio1.131.95
Martin Ratio5.878.94
Ulcer Index2.47%2.14%
Daily Std Dev12.85%12.41%
Max Drawdown-33.30%-27.44%
Current Drawdown-5.98%-4.55%

Correlation

-0.50.00.51.01.0

The correlation between DIHRX and DFAI is 0.97, 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

DIHRX vs. DFAI - Performance Comparison

In the year-to-date period, DIHRX achieves a 4.33% return, which is significantly lower than DFAI's 8.87% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-4.00%-2.00%0.00%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
1.27%
3.39%
DIHRX
DFAI

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DIHRX vs. DFAI - Expense Ratio Comparison

DIHRX has a 0.30% expense ratio, which is higher than DFAI's 0.18% expense ratio.


DIHRX
DFA International High Relative Profitability Portfolio
Expense ratio chart for DIHRX: current value at 0.30% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.30%
Expense ratio chart for DFAI: current value at 0.18% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.18%

Risk-Adjusted Performance

DIHRX vs. DFAI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for DFA International High Relative Profitability Portfolio (DIHRX) and Dimensional International Core Equity Market ETF (DFAI). 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.


DIHRX
Sharpe ratio
The chart of Sharpe ratio for DIHRX, currently valued at 1.13, compared to the broader market0.002.004.001.13
Sortino ratio
The chart of Sortino ratio for DIHRX, currently valued at 1.67, compared to the broader market0.005.0010.001.67
Omega ratio
The chart of Omega ratio for DIHRX, currently valued at 1.20, compared to the broader market1.002.003.004.001.20
Calmar ratio
The chart of Calmar ratio for DIHRX, currently valued at 1.13, compared to the broader market0.005.0010.0015.0020.001.13
Martin ratio
The chart of Martin ratio for DIHRX, currently valued at 5.87, compared to the broader market0.0020.0040.0060.0080.00100.005.87
DFAI
Sharpe ratio
The chart of Sharpe ratio for DFAI, currently valued at 1.54, compared to the broader market0.002.004.001.54
Sortino ratio
The chart of Sortino ratio for DFAI, currently valued at 2.18, compared to the broader market0.005.0010.002.18
Omega ratio
The chart of Omega ratio for DFAI, currently valued at 1.27, compared to the broader market1.002.003.004.001.27
Calmar ratio
The chart of Calmar ratio for DFAI, currently valued at 1.95, compared to the broader market0.005.0010.0015.0020.001.95
Martin ratio
The chart of Martin ratio for DFAI, currently valued at 8.94, compared to the broader market0.0020.0040.0060.0080.00100.008.94

DIHRX vs. DFAI - Sharpe Ratio Comparison

The current DIHRX Sharpe Ratio is 1.13, which is comparable to the DFAI Sharpe Ratio of 1.54. The chart below compares the historical Sharpe Ratios of DIHRX and DFAI, 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
1.13
1.54
DIHRX
DFAI

Dividends

DIHRX vs. DFAI - Dividend Comparison

DIHRX's dividend yield for the trailing twelve months is around 2.40%, which matches DFAI's 2.41% yield.


TTM2023202220212020201920182017
DIHRX
DFA International High Relative Profitability Portfolio
2.40%2.59%3.06%3.10%1.40%2.11%2.35%0.87%
DFAI
Dimensional International Core Equity Market ETF
2.41%2.64%2.72%2.06%0.09%0.00%0.00%0.00%

Drawdowns

DIHRX vs. DFAI - Drawdown Comparison

The maximum DIHRX drawdown since its inception was -33.30%, which is greater than DFAI's maximum drawdown of -27.44%. Use the drawdown chart below to compare losses from any high point for DIHRX and DFAI. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-5.98%
-4.55%
DIHRX
DFAI

Volatility

DIHRX vs. DFAI - Volatility Comparison

DFA International High Relative Profitability Portfolio (DIHRX) has a higher volatility of 3.08% compared to Dimensional International Core Equity Market ETF (DFAI) at 2.89%. This indicates that DIHRX's price experiences larger fluctuations and is considered to be riskier than DFAI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.50%3.00%3.50%4.00%4.50%5.00%5.50%6.00%JuneJulyAugustSeptemberOctoberNovember
3.08%
2.89%
DIHRX
DFAI