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GQGPX vs. DEMGX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


GQGPXDEMGX
YTD Return10.92%11.13%
1Y Return22.77%19.89%
3Y Return (Ann)2.22%4.00%
5Y Return (Ann)8.51%8.43%
Sharpe Ratio1.611.65
Sortino Ratio2.142.18
Omega Ratio1.321.30
Calmar Ratio1.081.75
Martin Ratio6.288.10
Ulcer Index3.61%2.44%
Daily Std Dev14.11%11.99%
Max Drawdown-34.66%-42.40%
Current Drawdown-7.71%-3.41%

Correlation

-0.50.00.51.00.8

The correlation between GQGPX and DEMGX is 0.76, 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

GQGPX vs. DEMGX - Performance Comparison

The year-to-date returns for both investments are quite close, with GQGPX having a 10.92% return and DEMGX slightly higher at 11.13%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
-0.85%
5.82%
GQGPX
DEMGX

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GQGPX vs. DEMGX - Expense Ratio Comparison

GQGPX has a 1.22% expense ratio, which is higher than DEMGX's 0.66% expense ratio.


GQGPX
GQG Partners Emerging Markets Equity Fund
Expense ratio chart for GQGPX: current value at 1.22% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.22%
Expense ratio chart for DEMGX: current value at 0.66% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.66%

Risk-Adjusted Performance

GQGPX vs. DEMGX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for GQG Partners Emerging Markets Equity Fund (GQGPX) and DFA Emerging Markets Targeted Value Portfolio (DEMGX). 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.


GQGPX
Sharpe ratio
The chart of Sharpe ratio for GQGPX, currently valued at 1.61, compared to the broader market0.002.004.001.61
Sortino ratio
The chart of Sortino ratio for GQGPX, currently valued at 2.14, compared to the broader market0.005.0010.002.14
Omega ratio
The chart of Omega ratio for GQGPX, currently valued at 1.32, compared to the broader market1.002.003.004.001.32
Calmar ratio
The chart of Calmar ratio for GQGPX, currently valued at 1.08, compared to the broader market0.005.0010.0015.0020.0025.001.08
Martin ratio
The chart of Martin ratio for GQGPX, currently valued at 6.28, compared to the broader market0.0020.0040.0060.0080.00100.006.28
DEMGX
Sharpe ratio
The chart of Sharpe ratio for DEMGX, currently valued at 1.65, compared to the broader market0.002.004.001.65
Sortino ratio
The chart of Sortino ratio for DEMGX, currently valued at 2.18, compared to the broader market0.005.0010.002.18
Omega ratio
The chart of Omega ratio for DEMGX, currently valued at 1.30, compared to the broader market1.002.003.004.001.30
Calmar ratio
The chart of Calmar ratio for DEMGX, currently valued at 1.75, compared to the broader market0.005.0010.0015.0020.0025.001.75
Martin ratio
The chart of Martin ratio for DEMGX, currently valued at 8.10, compared to the broader market0.0020.0040.0060.0080.00100.008.10

GQGPX vs. DEMGX - Sharpe Ratio Comparison

The current GQGPX Sharpe Ratio is 1.61, which is comparable to the DEMGX Sharpe Ratio of 1.65. The chart below compares the historical Sharpe Ratios of GQGPX and DEMGX, 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 Ratio0.501.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
1.61
1.65
GQGPX
DEMGX

Dividends

GQGPX vs. DEMGX - Dividend Comparison

GQGPX's dividend yield for the trailing twelve months is around 2.28%, less than DEMGX's 3.22% yield.


TTM2023202220212020201920182017
GQGPX
GQG Partners Emerging Markets Equity Fund
2.28%2.53%5.52%2.27%0.15%2.39%0.59%0.17%
DEMGX
DFA Emerging Markets Targeted Value Portfolio
3.22%3.58%2.45%3.55%2.03%2.12%0.08%0.00%

Drawdowns

GQGPX vs. DEMGX - Drawdown Comparison

The maximum GQGPX drawdown since its inception was -34.66%, smaller than the maximum DEMGX drawdown of -42.40%. Use the drawdown chart below to compare losses from any high point for GQGPX and DEMGX. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-7.71%
-3.41%
GQGPX
DEMGX

Volatility

GQGPX vs. DEMGX - Volatility Comparison

The current volatility for GQG Partners Emerging Markets Equity Fund (GQGPX) is 2.78%, while DFA Emerging Markets Targeted Value Portfolio (DEMGX) has a volatility of 3.43%. This indicates that GQGPX experiences smaller price fluctuations and is considered to be less risky than DEMGX 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
2.78%
3.43%
GQGPX
DEMGX