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

Performance

DIHRX vs. VIGI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in DFA International High Relative Profitability Portfolio (DIHRX) and Vanguard International Dividend Appreciation ETF (VIGI). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
-2.95%
2.59%
DIHRX
VIGI

Returns By Period

In the year-to-date period, DIHRX achieves a 0.97% return, which is significantly lower than VIGI's 4.84% return.


DIHRX

YTD

0.97%

1M

-4.10%

6M

-2.95%

1Y

7.16%

5Y (annualized)

5.83%

10Y (annualized)

N/A

VIGI

YTD

4.84%

1M

-4.06%

6M

2.59%

1Y

11.71%

5Y (annualized)

6.47%

10Y (annualized)

N/A

Key characteristics


DIHRXVIGI
Sharpe Ratio0.571.07
Sortino Ratio0.881.58
Omega Ratio1.101.19
Calmar Ratio0.771.09
Martin Ratio2.414.68
Ulcer Index3.05%2.61%
Daily Std Dev12.91%11.40%
Max Drawdown-33.30%-31.01%
Current Drawdown-9.01%-7.86%

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DIHRX vs. VIGI - Expense Ratio Comparison

DIHRX has a 0.30% expense ratio, which is higher than VIGI's 0.15% 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 VIGI: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%

Correlation

-0.50.00.51.00.9

The correlation between DIHRX and VIGI is 0.93, 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.

Risk-Adjusted Performance

DIHRX vs. VIGI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for DFA International High Relative Profitability Portfolio (DIHRX) and Vanguard International Dividend Appreciation ETF (VIGI). 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 DIHRX, currently valued at 0.57, compared to the broader market-1.000.001.002.003.004.005.000.571.07
The chart of Sortino ratio for DIHRX, currently valued at 0.88, compared to the broader market0.005.0010.000.881.58
The chart of Omega ratio for DIHRX, currently valued at 1.10, compared to the broader market1.002.003.004.001.101.19
The chart of Calmar ratio for DIHRX, currently valued at 0.77, compared to the broader market0.005.0010.0015.0020.000.771.09
The chart of Martin ratio for DIHRX, currently valued at 2.41, compared to the broader market0.0020.0040.0060.0080.00100.002.414.68
DIHRX
VIGI

The current DIHRX Sharpe Ratio is 0.57, which is lower than the VIGI Sharpe Ratio of 1.07. The chart below compares the historical Sharpe Ratios of DIHRX and VIGI, 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
0.57
1.07
DIHRX
VIGI

Dividends

DIHRX vs. VIGI - Dividend Comparison

DIHRX's dividend yield for the trailing twelve months is around 2.48%, more than VIGI's 2.02% yield.


TTM20232022202120202019201820172016
DIHRX
DFA International High Relative Profitability Portfolio
2.48%2.59%3.06%2.32%1.39%2.11%2.36%0.86%0.00%
VIGI
Vanguard International Dividend Appreciation ETF
2.02%1.92%2.06%7.02%1.29%1.83%1.99%1.75%0.98%

Drawdowns

DIHRX vs. VIGI - Drawdown Comparison

The maximum DIHRX drawdown since its inception was -33.30%, which is greater than VIGI's maximum drawdown of -31.01%. Use the drawdown chart below to compare losses from any high point for DIHRX and VIGI. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-9.01%
-7.86%
DIHRX
VIGI

Volatility

DIHRX vs. VIGI - Volatility Comparison

DFA International High Relative Profitability Portfolio (DIHRX) has a higher volatility of 3.55% compared to Vanguard International Dividend Appreciation ETF (VIGI) at 3.18%. This indicates that DIHRX's price experiences larger fluctuations and is considered to be riskier than VIGI 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%JuneJulyAugustSeptemberOctoberNovember
3.55%
3.18%
DIHRX
VIGI