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

Performance

DISV vs. IVLU - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Dimensional International Small Cap Value ETF (DISV) and iShares MSCI Intl Value Factor ETF (IVLU). The values are adjusted to include any dividend payments, if applicable.

-6.00%-4.00%-2.00%0.00%2.00%4.00%6.00%JuneJulyAugustSeptemberOctoberNovember
-2.34%
-2.14%
DISV
IVLU

Returns By Period

The year-to-date returns for both stocks are quite close, with DISV having a 6.94% return and IVLU slightly lower at 6.87%.


DISV

YTD

6.94%

1M

-2.32%

6M

-2.33%

1Y

14.28%

5Y (annualized)

N/A

10Y (annualized)

N/A

IVLU

YTD

6.87%

1M

-2.10%

6M

-2.14%

1Y

12.56%

5Y (annualized)

6.52%

10Y (annualized)

N/A

Key characteristics


DISVIVLU
Sharpe Ratio0.990.98
Sortino Ratio1.381.37
Omega Ratio1.171.17
Calmar Ratio1.611.56
Martin Ratio4.714.60
Ulcer Index3.03%2.73%
Daily Std Dev14.43%12.77%
Max Drawdown-26.77%-41.86%
Current Drawdown-7.47%-7.27%

Compare stocks, funds, or ETFs

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


DISV vs. IVLU - Expense Ratio Comparison

DISV has a 0.42% expense ratio, which is higher than IVLU's 0.30% expense ratio.


DISV
Dimensional International Small Cap Value ETF
Expense ratio chart for DISV: current value at 0.42% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.42%
Expense ratio chart for IVLU: 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%

Correlation

-0.50.00.51.00.9

The correlation between DISV and IVLU is 0.94, 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

DISV vs. IVLU - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Dimensional International Small Cap Value ETF (DISV) and iShares MSCI Intl Value Factor ETF (IVLU). 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 DISV, currently valued at 0.99, compared to the broader market0.002.004.000.990.98
The chart of Sortino ratio for DISV, currently valued at 1.38, compared to the broader market-2.000.002.004.006.008.0010.0012.001.381.37
The chart of Omega ratio for DISV, currently valued at 1.17, compared to the broader market0.501.001.502.002.503.001.171.17
The chart of Calmar ratio for DISV, currently valued at 1.61, compared to the broader market0.005.0010.0015.0020.001.611.56
The chart of Martin ratio for DISV, currently valued at 4.71, compared to the broader market0.0020.0040.0060.0080.00100.004.714.60
DISV
IVLU

The current DISV Sharpe Ratio is 0.99, which is comparable to the IVLU Sharpe Ratio of 0.98. The chart below compares the historical Sharpe Ratios of DISV and IVLU, 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
0.99
0.98
DISV
IVLU

Dividends

DISV vs. IVLU - Dividend Comparison

DISV's dividend yield for the trailing twelve months is around 2.78%, less than IVLU's 4.56% yield.


TTM202320222021202020192018201720162015
DISV
Dimensional International Small Cap Value ETF
2.78%2.73%1.23%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
IVLU
iShares MSCI Intl Value Factor ETF
4.56%4.69%3.59%3.25%2.05%3.53%2.82%2.87%2.53%0.93%

Drawdowns

DISV vs. IVLU - Drawdown Comparison

The maximum DISV drawdown since its inception was -26.77%, smaller than the maximum IVLU drawdown of -41.86%. Use the drawdown chart below to compare losses from any high point for DISV and IVLU. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-7.47%
-7.27%
DISV
IVLU

Volatility

DISV vs. IVLU - Volatility Comparison

Dimensional International Small Cap Value ETF (DISV) and iShares MSCI Intl Value Factor ETF (IVLU) have volatilities of 3.87% and 3.71%, 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.


3.00%4.00%5.00%6.00%7.00%JuneJulyAugustSeptemberOctoberNovember
3.87%
3.71%
DISV
IVLU