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

Key characteristics


DIHRXVEA
YTD Return4.73%8.21%
1Y Return15.95%20.39%
3Y Return (Ann)0.67%1.91%
5Y Return (Ann)6.53%6.49%
Sharpe Ratio1.221.56
Sortino Ratio1.792.20
Omega Ratio1.211.27
Calmar Ratio1.231.60
Martin Ratio6.258.67
Ulcer Index2.54%2.32%
Daily Std Dev12.97%12.92%
Max Drawdown-33.30%-60.70%
Current Drawdown-5.62%-4.48%

Correlation

-0.50.00.51.01.0

The correlation between DIHRX and VEA is 0.96, 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. VEA - Performance Comparison

In the year-to-date period, DIHRX achieves a 4.73% return, which is significantly lower than VEA's 8.21% 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
0.74%
2.38%
DIHRX
VEA

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DIHRX vs. VEA - Expense Ratio Comparison

DIHRX has a 0.30% expense ratio, which is higher than VEA's 0.05% 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 VEA: current value at 0.05% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.05%

Risk-Adjusted Performance

DIHRX vs. VEA - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for DFA International High Relative Profitability Portfolio (DIHRX) and Vanguard FTSE Developed Markets ETF (VEA). 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 1.22, compared to the broader market0.002.004.001.22
Sortino ratio
The chart of Sortino ratio for DIHRX, currently valued at 1.79, compared to the broader market0.005.0010.001.79
Omega ratio
The chart of Omega ratio for DIHRX, currently valued at 1.21, compared to the broader market1.002.003.004.001.21
Calmar ratio
The chart of Calmar ratio for DIHRX, currently valued at 1.23, compared to the broader market0.005.0010.0015.0020.0025.001.23
Martin ratio
The chart of Martin ratio for DIHRX, currently valued at 6.25, compared to the broader market0.0020.0040.0060.0080.00100.006.25
VEA
Sharpe ratio
The chart of Sharpe ratio for VEA, currently valued at 1.56, compared to the broader market0.002.004.001.56
Sortino ratio
The chart of Sortino ratio for VEA, currently valued at 2.20, compared to the broader market0.005.0010.002.20
Omega ratio
The chart of Omega ratio for VEA, currently valued at 1.27, compared to the broader market1.002.003.004.001.27
Calmar ratio
The chart of Calmar ratio for VEA, currently valued at 1.60, compared to the broader market0.005.0010.0015.0020.0025.001.60
Martin ratio
The chart of Martin ratio for VEA, currently valued at 8.67, compared to the broader market0.0020.0040.0060.0080.00100.008.67

DIHRX vs. VEA - Sharpe Ratio Comparison

The current DIHRX Sharpe Ratio is 1.22, which is comparable to the VEA Sharpe Ratio of 1.56. The chart below compares the historical Sharpe Ratios of DIHRX and VEA, 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
1.22
1.56
DIHRX
VEA

Dividends

DIHRX vs. VEA - Dividend Comparison

DIHRX's dividend yield for the trailing twelve months is around 2.39%, less than VEA's 2.95% yield.


TTM20232022202120202019201820172016201520142013
DIHRX
DFA International High Relative Profitability Portfolio
2.39%2.59%3.06%2.32%1.39%2.11%2.36%0.86%0.00%0.00%0.00%0.00%
VEA
Vanguard FTSE Developed Markets ETF
2.95%3.16%2.91%3.16%2.04%3.04%3.35%2.77%3.05%2.92%3.68%2.60%

Drawdowns

DIHRX vs. VEA - Drawdown Comparison

The maximum DIHRX drawdown since its inception was -33.30%, smaller than the maximum VEA drawdown of -60.70%. Use the drawdown chart below to compare losses from any high point for DIHRX and VEA. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-5.62%
-4.48%
DIHRX
VEA

Volatility

DIHRX vs. VEA - Volatility Comparison

DFA International High Relative Profitability Portfolio (DIHRX) and Vanguard FTSE Developed Markets ETF (VEA) have volatilities of 3.68% and 3.54%, 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.


2.50%3.00%3.50%4.00%4.50%5.00%5.50%6.00%JuneJulyAugustSeptemberOctoberNovember
3.68%
3.54%
DIHRX
VEA