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DISV vs. IVLU
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


DISVIVLU
YTD Return8.54%8.92%
1Y Return20.53%19.74%
Sharpe Ratio1.441.53
Sortino Ratio1.972.10
Omega Ratio1.251.26
Calmar Ratio2.642.47
Martin Ratio8.128.45
Ulcer Index2.59%2.35%
Daily Std Dev14.66%12.94%
Max Drawdown-26.77%-41.86%
Current Drawdown-6.08%-5.49%

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.

Performance

DISV vs. IVLU - Performance Comparison

The year-to-date returns for both investments are quite close, with DISV having a 8.54% return and IVLU slightly higher at 8.92%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-6.00%-4.00%-2.00%0.00%2.00%4.00%6.00%JuneJulyAugustSeptemberOctoberNovember
0.38%
0.43%
DISV
IVLU

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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%

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.


DISV
Sharpe ratio
The chart of Sharpe ratio for DISV, currently valued at 1.44, compared to the broader market-2.000.002.004.001.44
Sortino ratio
The chart of Sortino ratio for DISV, currently valued at 1.97, compared to the broader market-2.000.002.004.006.008.0010.0012.001.97
Omega ratio
The chart of Omega ratio for DISV, currently valued at 1.25, compared to the broader market1.001.502.002.503.001.25
Calmar ratio
The chart of Calmar ratio for DISV, currently valued at 2.64, compared to the broader market0.005.0010.0015.002.64
Martin ratio
The chart of Martin ratio for DISV, currently valued at 8.12, compared to the broader market0.0020.0040.0060.0080.00100.00120.008.12
IVLU
Sharpe ratio
The chart of Sharpe ratio for IVLU, currently valued at 1.53, compared to the broader market-2.000.002.004.001.53
Sortino ratio
The chart of Sortino ratio for IVLU, currently valued at 2.10, compared to the broader market-2.000.002.004.006.008.0010.0012.002.10
Omega ratio
The chart of Omega ratio for IVLU, currently valued at 1.26, compared to the broader market1.001.502.002.503.001.26
Calmar ratio
The chart of Calmar ratio for IVLU, currently valued at 2.47, compared to the broader market0.005.0010.0015.002.47
Martin ratio
The chart of Martin ratio for IVLU, currently valued at 8.45, compared to the broader market0.0020.0040.0060.0080.00100.00120.008.45

DISV vs. IVLU - Sharpe Ratio Comparison

The current DISV Sharpe Ratio is 1.44, which is comparable to the IVLU Sharpe Ratio of 1.53. 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
1.44
1.53
DISV
IVLU

Dividends

DISV vs. IVLU - Dividend Comparison

DISV's dividend yield for the trailing twelve months is around 2.74%, less than IVLU's 4.47% yield.


TTM202320222021202020192018201720162015
DISV
Dimensional International Small Cap Value ETF
2.74%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
4.47%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
-6.08%
-5.49%
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 3.96% and 3.81%, 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
3.96%
3.81%
DISV
IVLU