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DXJS vs. GSJY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between DXJS and GSJY is 0.56, 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.


Performance

DXJS vs. GSJY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in WisdomTree Japan Hedged SmallCap Equity Fund (DXJS) and Goldman Sachs ActiveBeta Japan Equity ETF (GSJY). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

DXJS:

0.46

GSJY:

0.40

Sortino Ratio

DXJS:

0.62

GSJY:

0.80

Omega Ratio

DXJS:

1.09

GSJY:

1.11

Calmar Ratio

DXJS:

0.48

GSJY:

0.69

Martin Ratio

DXJS:

1.72

GSJY:

2.20

Ulcer Index

DXJS:

4.59%

GSJY:

4.67%

Daily Std Dev

DXJS:

20.72%

GSJY:

21.37%

Max Drawdown

DXJS:

-39.29%

GSJY:

-32.53%

Current Drawdown

DXJS:

-0.67%

GSJY:

-0.81%

Returns By Period

In the year-to-date period, DXJS achieves a 3.53% return, which is significantly lower than GSJY's 7.28% return.


DXJS

YTD

3.53%

1M

7.31%

6M

7.17%

1Y

9.43%

5Y*

19.01%

10Y*

10.28%

GSJY

YTD

7.28%

1M

7.48%

6M

8.03%

1Y

8.41%

5Y*

8.88%

10Y*

N/A

*Annualized

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DXJS vs. GSJY - Expense Ratio Comparison

DXJS has a 0.58% expense ratio, which is higher than GSJY's 0.25% expense ratio.


Risk-Adjusted Performance

DXJS vs. GSJY — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

DXJS
The Risk-Adjusted Performance Rank of DXJS is 4545
Overall Rank
The Sharpe Ratio Rank of DXJS is 4646
Sharpe Ratio Rank
The Sortino Ratio Rank of DXJS is 3737
Sortino Ratio Rank
The Omega Ratio Rank of DXJS is 3939
Omega Ratio Rank
The Calmar Ratio Rank of DXJS is 5454
Calmar Ratio Rank
The Martin Ratio Rank of DXJS is 5151
Martin Ratio Rank

GSJY
The Risk-Adjusted Performance Rank of GSJY is 5353
Overall Rank
The Sharpe Ratio Rank of GSJY is 4040
Sharpe Ratio Rank
The Sortino Ratio Rank of GSJY is 4848
Sortino Ratio Rank
The Omega Ratio Rank of GSJY is 4848
Omega Ratio Rank
The Calmar Ratio Rank of GSJY is 6868
Calmar Ratio Rank
The Martin Ratio Rank of GSJY is 6060
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

DXJS vs. GSJY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for WisdomTree Japan Hedged SmallCap Equity Fund (DXJS) and Goldman Sachs ActiveBeta Japan Equity ETF (GSJY). 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.


The current DXJS Sharpe Ratio is 0.46, which is comparable to the GSJY Sharpe Ratio of 0.40. The chart below compares the historical Sharpe Ratios of DXJS and GSJY, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Dividends

DXJS vs. GSJY - Dividend Comparison

DXJS's dividend yield for the trailing twelve months is around 3.18%, more than GSJY's 1.53% yield.


TTM20242023202220212020201920182017201620152014
DXJS
WisdomTree Japan Hedged SmallCap Equity Fund
3.18%4.02%2.71%2.63%2.96%3.04%2.16%2.06%1.53%1.66%3.99%8.65%
GSJY
Goldman Sachs ActiveBeta Japan Equity ETF
1.53%1.64%2.12%2.13%1.73%1.12%2.79%3.28%1.70%2.09%0.00%0.00%

Drawdowns

DXJS vs. GSJY - Drawdown Comparison

The maximum DXJS drawdown since its inception was -39.29%, which is greater than GSJY's maximum drawdown of -32.53%. Use the drawdown chart below to compare losses from any high point for DXJS and GSJY. For additional features, visit the drawdowns tool.


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Volatility

DXJS vs. GSJY - Volatility Comparison

WisdomTree Japan Hedged SmallCap Equity Fund (DXJS) has a higher volatility of 5.09% compared to Goldman Sachs ActiveBeta Japan Equity ETF (GSJY) at 4.14%. This indicates that DXJS's price experiences larger fluctuations and is considered to be riskier than GSJY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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