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DSI vs. VUG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between DSI and VUG is 0.91, 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.


-0.50.00.51.00.9

Performance

DSI vs. VUG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI KLD 400 Social ETF (DSI) and Vanguard Growth ETF (VUG). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%15.00%JulyAugustSeptemberOctoberNovemberDecember
9.20%
13.26%
DSI
VUG

Key characteristics

Sharpe Ratio

DSI:

1.85

VUG:

2.11

Sortino Ratio

DSI:

2.48

VUG:

2.74

Omega Ratio

DSI:

1.34

VUG:

1.39

Calmar Ratio

DSI:

2.82

VUG:

2.81

Martin Ratio

DSI:

11.34

VUG:

11.02

Ulcer Index

DSI:

2.28%

VUG:

3.31%

Daily Std Dev

DSI:

14.00%

VUG:

17.27%

Max Drawdown

DSI:

-54.23%

VUG:

-50.68%

Current Drawdown

DSI:

-2.72%

VUG:

-2.41%

Returns By Period

In the year-to-date period, DSI achieves a 24.99% return, which is significantly lower than VUG's 34.89% return. Over the past 10 years, DSI has underperformed VUG with an annualized return of 12.84%, while VUG has yielded a comparatively higher 15.88% annualized return.


DSI

YTD

24.99%

1M

-0.93%

6M

9.20%

1Y

25.51%

5Y*

14.86%

10Y*

12.84%

VUG

YTD

34.89%

1M

3.42%

6M

12.16%

1Y

35.02%

5Y*

18.91%

10Y*

15.88%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


DSI vs. VUG - Expense Ratio Comparison

DSI has a 0.25% expense ratio, which is higher than VUG's 0.04% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


DSI
iShares MSCI KLD 400 Social ETF
Expense ratio chart for DSI: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%
Expense ratio chart for VUG: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%

Risk-Adjusted Performance

DSI vs. VUG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI KLD 400 Social ETF (DSI) and Vanguard Growth ETF (VUG). 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 DSI, currently valued at 1.85, compared to the broader market0.002.004.001.852.03
The chart of Sortino ratio for DSI, currently valued at 2.48, compared to the broader market-2.000.002.004.006.008.0010.002.482.65
The chart of Omega ratio for DSI, currently valued at 1.34, compared to the broader market0.501.001.502.002.503.001.341.37
The chart of Calmar ratio for DSI, currently valued at 2.82, compared to the broader market0.005.0010.0015.002.822.70
The chart of Martin ratio for DSI, currently valued at 11.34, compared to the broader market0.0020.0040.0060.0080.00100.0011.3410.57
DSI
VUG

The current DSI Sharpe Ratio is 1.85, which is comparable to the VUG Sharpe Ratio of 2.11. The chart below compares the historical Sharpe Ratios of DSI and VUG, 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 Ratio1.001.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
1.85
2.03
DSI
VUG

Dividends

DSI vs. VUG - Dividend Comparison

DSI's dividend yield for the trailing twelve months is around 1.32%, more than VUG's 0.33% yield.


TTM20232022202120202019201820172016201520142013
DSI
iShares MSCI KLD 400 Social ETF
1.32%1.19%1.39%0.99%1.22%1.40%1.63%1.28%1.92%1.46%1.26%1.27%
VUG
Vanguard Growth ETF
0.33%0.58%0.70%0.48%0.66%0.95%1.32%1.14%1.39%1.30%1.21%1.19%

Drawdowns

DSI vs. VUG - Drawdown Comparison

The maximum DSI drawdown since its inception was -54.23%, which is greater than VUG's maximum drawdown of -50.68%. Use the drawdown chart below to compare losses from any high point for DSI and VUG. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-2.72%
-2.41%
DSI
VUG

Volatility

DSI vs. VUG - Volatility Comparison

The current volatility for iShares MSCI KLD 400 Social ETF (DSI) is 4.10%, while Vanguard Growth ETF (VUG) has a volatility of 4.87%. This indicates that DSI experiences smaller price fluctuations and is considered to be less risky than VUG 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%8.00%9.00%JulyAugustSeptemberOctoberNovemberDecember
4.10%
4.87%
DSI
VUG
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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