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DSEFX vs. USSG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


DSEFXUSSG
YTD Return17.59%20.69%
1Y Return30.71%33.33%
3Y Return (Ann)3.66%7.71%
5Y Return (Ann)13.39%15.51%
Sharpe Ratio2.392.65
Sortino Ratio3.203.53
Omega Ratio1.441.50
Calmar Ratio2.113.68
Martin Ratio14.4015.72
Ulcer Index2.23%2.21%
Daily Std Dev13.43%13.09%
Max Drawdown-77.28%-34.10%
Current Drawdown-2.46%-2.43%

Correlation

-0.50.00.51.01.0

The correlation between DSEFX and USSG 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.

Performance

DSEFX vs. USSG - Performance Comparison

In the year-to-date period, DSEFX achieves a 17.59% return, which is significantly lower than USSG's 20.69% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%2.00%4.00%6.00%8.00%10.00%12.00%JuneJulyAugustSeptemberOctoberNovember
9.41%
10.08%
DSEFX
USSG

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DSEFX vs. USSG - Expense Ratio Comparison

DSEFX has a 1.09% expense ratio, which is higher than USSG's 0.10% expense ratio.


DSEFX
Domini Impact Equity Fund
Expense ratio chart for DSEFX: current value at 1.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.09%
Expense ratio chart for USSG: current value at 0.10% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.10%

Risk-Adjusted Performance

DSEFX vs. USSG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Domini Impact Equity Fund (DSEFX) and Xtrackers MSCI USA ESG Leaders Equity ETF (USSG). 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.


DSEFX
Sharpe ratio
The chart of Sharpe ratio for DSEFX, currently valued at 2.39, compared to the broader market0.002.004.002.39
Sortino ratio
The chart of Sortino ratio for DSEFX, currently valued at 3.20, compared to the broader market0.005.0010.003.20
Omega ratio
The chart of Omega ratio for DSEFX, currently valued at 1.44, compared to the broader market1.002.003.004.001.44
Calmar ratio
The chart of Calmar ratio for DSEFX, currently valued at 2.11, compared to the broader market0.005.0010.0015.0020.002.11
Martin ratio
The chart of Martin ratio for DSEFX, currently valued at 14.40, compared to the broader market0.0020.0040.0060.0080.00100.0014.40
USSG
Sharpe ratio
The chart of Sharpe ratio for USSG, currently valued at 2.65, compared to the broader market0.002.004.002.65
Sortino ratio
The chart of Sortino ratio for USSG, currently valued at 3.53, compared to the broader market0.005.0010.003.53
Omega ratio
The chart of Omega ratio for USSG, currently valued at 1.50, compared to the broader market1.002.003.004.001.50
Calmar ratio
The chart of Calmar ratio for USSG, currently valued at 3.68, compared to the broader market0.005.0010.0015.0020.003.68
Martin ratio
The chart of Martin ratio for USSG, currently valued at 15.72, compared to the broader market0.0020.0040.0060.0080.00100.0015.72

DSEFX vs. USSG - Sharpe Ratio Comparison

The current DSEFX Sharpe Ratio is 2.39, which is comparable to the USSG Sharpe Ratio of 2.65. The chart below compares the historical Sharpe Ratios of DSEFX and USSG, 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 Ratio1.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.39
2.65
DSEFX
USSG

Dividends

DSEFX vs. USSG - Dividend Comparison

DSEFX's dividend yield for the trailing twelve months is around 0.83%, less than USSG's 1.23% yield.


TTM20232022202120202019201820172016201520142013
DSEFX
Domini Impact Equity Fund
0.83%1.01%1.83%6.00%2.29%2.42%14.44%5.31%2.67%6.44%8.80%0.54%
USSG
Xtrackers MSCI USA ESG Leaders Equity ETF
1.23%1.60%1.52%1.13%1.42%1.21%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

DSEFX vs. USSG - Drawdown Comparison

The maximum DSEFX drawdown since its inception was -77.28%, which is greater than USSG's maximum drawdown of -34.10%. Use the drawdown chart below to compare losses from any high point for DSEFX and USSG. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.46%
-2.43%
DSEFX
USSG

Volatility

DSEFX vs. USSG - Volatility Comparison

Domini Impact Equity Fund (DSEFX) has a higher volatility of 3.32% compared to Xtrackers MSCI USA ESG Leaders Equity ETF (USSG) at 3.14%. This indicates that DSEFX's price experiences larger fluctuations and is considered to be riskier than USSG based on this measure. 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
3.32%
3.14%
DSEFX
USSG