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

Key characteristics


DISVSPY
YTD Return8.54%27.04%
1Y Return20.53%39.75%
Sharpe Ratio1.443.15
Sortino Ratio1.974.19
Omega Ratio1.251.59
Calmar Ratio2.644.60
Martin Ratio8.1220.85
Ulcer Index2.59%1.85%
Daily Std Dev14.66%12.29%
Max Drawdown-26.77%-55.19%
Current Drawdown-6.08%0.00%

Correlation

-0.50.00.51.00.7

The correlation between DISV and SPY is 0.71, 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. SPY - Performance Comparison

In the year-to-date period, DISV achieves a 8.54% return, which is significantly lower than SPY's 27.04% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
0.38%
15.58%
DISV
SPY

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DISV vs. SPY - Expense Ratio Comparison

DISV has a 0.42% expense ratio, which is higher than SPY's 0.09% 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 SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

DISV vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Dimensional International Small Cap Value ETF (DISV) and SPDR S&P 500 ETF (SPY). 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-2.000.002.004.006.001.44
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 market0.0020.0040.0060.0080.00100.008.12
SPY
Sharpe ratio
The chart of Sharpe ratio for SPY, currently valued at 3.15, compared to the broader market-2.000.002.004.006.003.15
Sortino ratio
The chart of Sortino ratio for SPY, currently valued at 4.19, compared to the broader market-2.000.002.004.006.008.0010.0012.004.19
Omega ratio
The chart of Omega ratio for SPY, currently valued at 1.59, compared to the broader market1.001.502.002.503.001.59
Calmar ratio
The chart of Calmar ratio for SPY, currently valued at 4.60, compared to the broader market0.005.0010.0015.004.60
Martin ratio
The chart of Martin ratio for SPY, currently valued at 20.85, compared to the broader market0.0020.0040.0060.0080.00100.0020.85

DISV vs. SPY - Sharpe Ratio Comparison

The current DISV Sharpe Ratio is 1.44, which is lower than the SPY Sharpe Ratio of 3.15. The chart below compares the historical Sharpe Ratios of DISV and SPY, 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 Ratio0.501.001.502.002.503.003.504.00JuneJulyAugustSeptemberOctoberNovember
1.44
3.15
DISV
SPY

Dividends

DISV vs. SPY - Dividend Comparison

DISV's dividend yield for the trailing twelve months is around 2.74%, more than SPY's 1.17% yield.


TTM20232022202120202019201820172016201520142013
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%0.00%0.00%
SPY
SPDR S&P 500 ETF
1.17%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

DISV vs. SPY - Drawdown Comparison

The maximum DISV drawdown since its inception was -26.77%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for DISV and SPY. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-6.08%
0
DISV
SPY

Volatility

DISV vs. SPY - Volatility Comparison

Dimensional International Small Cap Value ETF (DISV) and SPDR S&P 500 ETF (SPY) have volatilities of 3.96% and 3.95%, 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.


2.00%3.00%4.00%5.00%6.00%7.00%JuneJulyAugustSeptemberOctoberNovember
3.96%
3.95%
DISV
SPY