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

Performance

DISV vs. VB - Performance Comparison

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

-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
-2.87%
10.54%
DISV
VB

Returns By Period

In the year-to-date period, DISV achieves a 7.10% return, which is significantly lower than VB's 17.09% return.


DISV

YTD

7.10%

1M

-4.99%

6M

-2.94%

1Y

14.40%

5Y (annualized)

N/A

10Y (annualized)

N/A

VB

YTD

17.09%

1M

2.04%

6M

10.26%

1Y

30.90%

5Y (annualized)

10.70%

10Y (annualized)

9.53%

Key characteristics


DISVVB
Sharpe Ratio1.121.88
Sortino Ratio1.542.63
Omega Ratio1.191.32
Calmar Ratio1.821.84
Martin Ratio5.6410.36
Ulcer Index2.87%3.11%
Daily Std Dev14.45%17.16%
Max Drawdown-26.77%-59.58%
Current Drawdown-7.33%-3.48%

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. VB - Expense Ratio Comparison

DISV has a 0.42% expense ratio, which is higher than VB's 0.05% 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 VB: 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%

Correlation

-0.50.00.51.00.8

The correlation between DISV and VB is 0.76, 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. VB - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Dimensional International Small Cap Value ETF (DISV) and Vanguard Small-Cap ETF (VB). 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 1.11, compared to the broader market0.002.004.001.121.88
The chart of Sortino ratio for DISV, currently valued at 1.54, compared to the broader market-2.000.002.004.006.008.0010.001.542.63
The chart of Omega ratio for DISV, currently valued at 1.19, compared to the broader market0.501.001.502.002.503.001.191.32
The chart of Calmar ratio for DISV, currently valued at 1.82, compared to the broader market0.005.0010.0015.001.823.06
The chart of Martin ratio for DISV, currently valued at 5.64, compared to the broader market0.0020.0040.0060.0080.00100.005.6410.36
DISV
VB

The current DISV Sharpe Ratio is 1.12, which is lower than the VB Sharpe Ratio of 1.88. The chart below compares the historical Sharpe Ratios of DISV and VB, 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 Ratio0.501.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
1.12
1.88
DISV
VB

Dividends

DISV vs. VB - Dividend Comparison

DISV's dividend yield for the trailing twelve months is around 2.78%, more than VB's 1.34% yield.


TTM20232022202120202019201820172016201520142013
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%0.00%0.00%
VB
Vanguard Small-Cap ETF
1.34%1.55%1.59%1.24%1.14%1.39%1.67%1.35%1.50%1.48%1.43%1.31%

Drawdowns

DISV vs. VB - Drawdown Comparison

The maximum DISV drawdown since its inception was -26.77%, smaller than the maximum VB drawdown of -59.58%. Use the drawdown chart below to compare losses from any high point for DISV and VB. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-7.33%
-3.48%
DISV
VB

Volatility

DISV vs. VB - Volatility Comparison

The current volatility for Dimensional International Small Cap Value ETF (DISV) is 4.15%, while Vanguard Small-Cap ETF (VB) has a volatility of 5.73%. This indicates that DISV experiences smaller price fluctuations and is considered to be less risky than VB based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%JuneJulyAugustSeptemberOctoberNovember
4.15%
5.73%
DISV
VB