DISVX vs. ISVL
Compare and contrast key facts about DFA International Small Cap Value Portfolio (DISVX) and iShares International Developed Small Cap Value Factor ETF (ISVL).
DISVX is managed by Dimensional Fund Advisors LP. It was launched on Dec 28, 1994. ISVL is a passively managed fund by iShares that tracks the performance of the FTSE Developed ex US ex Korea Small Cap Focused Value Index. It was launched on Mar 23, 2021.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DISVX or ISVL.
Performance
DISVX vs. ISVL - Performance Comparison
Returns By Period
In the year-to-date period, DISVX achieves a 8.58% return, which is significantly higher than ISVL's 5.97% return.
DISVX
8.58%
-4.41%
-1.36%
15.36%
6.89%
4.24%
ISVL
5.97%
-5.10%
-1.33%
15.34%
N/A
N/A
Key characteristics
| DISVX | ISVL | |
|---|---|---|
| Sharpe Ratio | 1.16 | 1.13 |
| Sortino Ratio | 1.62 | 1.59 |
| Omega Ratio | 1.20 | 1.20 |
| Calmar Ratio | 1.99 | 1.53 |
| Martin Ratio | 5.84 | 5.76 |
| Ulcer Index | 2.70% | 2.69% |
| Daily Std Dev | 13.58% | 13.68% |
| Max Drawdown | -63.79% | -30.48% |
| Current Drawdown | -6.70% | -7.07% |
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DISVX vs. ISVL - Expense Ratio Comparison
DISVX has a 0.46% expense ratio, which is higher than ISVL's 0.30% expense ratio.
Correlation
The correlation between DISVX and ISVL is 0.96, 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
DISVX vs. ISVL - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for DFA International Small Cap Value Portfolio (DISVX) and iShares International Developed Small Cap Value Factor ETF (ISVL). 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. ISVL - Dividend Comparison
DISVX's dividend yield for the trailing twelve months is around 3.92%, more than ISVL's 3.52% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DISVX DFA International Small Cap Value Portfolio | 3.92% | 3.75% | 2.40% | 2.76% | 1.85% | 2.47% | 2.20% | 2.54% | 2.60% | 2.01% | 2.09% | 2.12% |
ISVL iShares International Developed Small Cap Value Factor ETF | 3.52% | 3.82% | 3.37% | 2.82% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
DISVX vs. ISVL - Drawdown Comparison
The maximum DISVX drawdown since its inception was -63.79%, which is greater than ISVL's maximum drawdown of -30.48%. Use the drawdown chart below to compare losses from any high point for DISVX and ISVL. For additional features, visit the drawdowns tool.
Volatility
DISVX vs. ISVL - Volatility Comparison
DFA International Small Cap Value Portfolio (DISVX) has a higher volatility of 4.03% compared to iShares International Developed Small Cap Value Factor ETF (ISVL) at 3.32%. This indicates that DISVX's price experiences larger fluctuations and is considered to be riskier than ISVL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.