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DWX vs. VYMI
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between DWX and VYMI is 0.89, 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

DWX vs. VYMI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR S&P International Dividend ETF (DWX) and Vanguard International High Dividend Yield ETF (VYMI). The values are adjusted to include any dividend payments, if applicable.

50.00%60.00%70.00%80.00%90.00%100.00%JulyAugustSeptemberOctoberNovemberDecember
57.00%
86.78%
DWX
VYMI

Key characteristics

Sharpe Ratio

DWX:

0.45

VYMI:

0.76

Sortino Ratio

DWX:

0.68

VYMI:

1.08

Omega Ratio

DWX:

1.08

VYMI:

1.13

Calmar Ratio

DWX:

0.44

VYMI:

1.11

Martin Ratio

DWX:

1.39

VYMI:

3.39

Ulcer Index

DWX:

3.27%

VYMI:

2.72%

Daily Std Dev

DWX:

10.08%

VYMI:

12.10%

Max Drawdown

DWX:

-66.86%

VYMI:

-40.00%

Current Drawdown

DWX:

-9.76%

VYMI:

-7.86%

Returns By Period

In the year-to-date period, DWX achieves a 1.75% return, which is significantly lower than VYMI's 6.13% return.


DWX

YTD

1.75%

1M

-3.27%

6M

3.21%

1Y

3.32%

5Y*

1.44%

10Y*

2.52%

VYMI

YTD

6.13%

1M

-2.59%

6M

1.27%

1Y

7.19%

5Y*

5.78%

10Y*

N/A

Compare stocks, funds, or ETFs

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


DWX vs. VYMI - Expense Ratio Comparison

DWX has a 0.45% expense ratio, which is higher than VYMI's 0.22% expense ratio.


DWX
SPDR S&P International Dividend ETF
Expense ratio chart for DWX: current value at 0.45% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.45%
Expense ratio chart for VYMI: current value at 0.22% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.22%

Risk-Adjusted Performance

DWX vs. VYMI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR S&P International Dividend ETF (DWX) and Vanguard International High Dividend Yield ETF (VYMI). 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 DWX, currently valued at 0.45, compared to the broader market0.002.004.000.450.76
The chart of Sortino ratio for DWX, currently valued at 0.68, compared to the broader market-2.000.002.004.006.008.0010.000.681.08
The chart of Omega ratio for DWX, currently valued at 1.08, compared to the broader market0.501.001.502.002.503.001.081.13
The chart of Calmar ratio for DWX, currently valued at 0.44, compared to the broader market0.005.0010.0015.000.441.11
The chart of Martin ratio for DWX, currently valued at 1.39, compared to the broader market0.0020.0040.0060.0080.00100.001.393.39
DWX
VYMI

The current DWX Sharpe Ratio is 0.45, which is lower than the VYMI Sharpe Ratio of 0.76. The chart below compares the historical Sharpe Ratios of DWX and VYMI, 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 Ratio0.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
0.45
0.76
DWX
VYMI

Dividends

DWX vs. VYMI - Dividend Comparison

DWX's dividend yield for the trailing twelve months is around 3.55%, less than VYMI's 4.88% yield.


TTM20232022202120202019201820172016201520142013
DWX
SPDR S&P International Dividend ETF
3.55%4.12%4.68%3.89%3.84%4.40%5.06%3.85%5.26%5.81%6.02%6.85%
VYMI
Vanguard International High Dividend Yield ETF
4.88%4.58%4.71%4.30%3.22%4.20%4.29%3.21%2.39%0.00%0.00%0.00%

Drawdowns

DWX vs. VYMI - Drawdown Comparison

The maximum DWX drawdown since its inception was -66.86%, which is greater than VYMI's maximum drawdown of -40.00%. Use the drawdown chart below to compare losses from any high point for DWX and VYMI. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-9.76%
-7.86%
DWX
VYMI

Volatility

DWX vs. VYMI - Volatility Comparison

The current volatility for SPDR S&P International Dividend ETF (DWX) is 3.00%, while Vanguard International High Dividend Yield ETF (VYMI) has a volatility of 3.34%. This indicates that DWX experiences smaller price fluctuations and is considered to be less risky than VYMI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%JulyAugustSeptemberOctoberNovemberDecember
3.00%
3.34%
DWX
VYMI
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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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