DISVX vs. DFEMX
Compare and contrast key facts about DFA International Small Cap Value Portfolio (DISVX) and DFA Emerging Markets Portfolio (DFEMX).
DISVX is managed by Dimensional Fund Advisors LP. It was launched on Dec 28, 1994. DFEMX is managed by Dimensional Fund Advisors LP. It was launched on Apr 24, 1994.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DISVX or DFEMX.
Performance
DISVX vs. DFEMX - Performance Comparison
Returns By Period
In the year-to-date period, DISVX achieves a 8.00% return, which is significantly lower than DFEMX's 8.71% return. Over the past 10 years, DISVX has outperformed DFEMX with an annualized return of 4.18%, while DFEMX has yielded a comparatively lower 3.90% annualized return.
DISVX
8.00%
-3.78%
-0.70%
15.43%
6.74%
4.18%
DFEMX
8.71%
-4.46%
0.67%
13.23%
4.86%
3.90%
Key characteristics
| DISVX | DFEMX | |
|---|---|---|
| Sharpe Ratio | 1.09 | 0.98 |
| Sortino Ratio | 1.53 | 1.42 |
| Omega Ratio | 1.19 | 1.18 |
| Calmar Ratio | 1.87 | 0.69 |
| Martin Ratio | 5.39 | 4.47 |
| Ulcer Index | 2.73% | 2.87% |
| Daily Std Dev | 13.59% | 13.10% |
| Max Drawdown | -63.79% | -62.43% |
| Current Drawdown | -7.19% | -7.26% |
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DISVX vs. DFEMX - Expense Ratio Comparison
DISVX has a 0.46% expense ratio, which is higher than DFEMX's 0.36% expense ratio.
Correlation
The correlation between DISVX and DFEMX is 0.68, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Risk-Adjusted Performance
DISVX vs. DFEMX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for DFA International Small Cap Value Portfolio (DISVX) and DFA Emerging Markets Portfolio (DFEMX). 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.
Dividends
DISVX vs. DFEMX - Dividend Comparison
DISVX's dividend yield for the trailing twelve months is around 3.94%, more than DFEMX's 3.25% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DISVX DFA International Small Cap Value Portfolio | 3.94% | 3.75% | 2.40% | 2.76% | 1.85% | 2.47% | 2.20% | 2.54% | 2.60% | 2.01% | 2.09% | 2.12% |
DFEMX DFA Emerging Markets Portfolio | 3.25% | 3.34% | 3.65% | 2.42% | 1.45% | 2.33% | 2.14% | 1.74% | 1.92% | 2.09% | 2.02% | 2.12% |
Drawdowns
DISVX vs. DFEMX - Drawdown Comparison
The maximum DISVX drawdown since its inception was -63.79%, roughly equal to the maximum DFEMX drawdown of -62.43%. Use the drawdown chart below to compare losses from any high point for DISVX and DFEMX. For additional features, visit the drawdowns tool.
Volatility
DISVX vs. DFEMX - Volatility Comparison
DFA International Small Cap Value Portfolio (DISVX) and DFA Emerging Markets Portfolio (DFEMX) have volatilities of 4.05% and 3.93%, 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.