IVAL vs. DGS
Compare and contrast key facts about Alpha Architect International Quantitative Value ETF (IVAL) and WisdomTree Emerging Markets SmallCap Divdend Fund (DGS).
IVAL and DGS are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. IVAL is a passively managed fund by EMPIRICAL FINANCE LLC that tracks the performance of the IVAL-US - Alpha Architect International Quantitative Value Index. It was launched on Dec 17, 2014. DGS is a passively managed fund by WisdomTree that tracks the performance of the WisdomTree Emerging Markets SmallCap Dividend Index. It was launched on Oct 30, 2007. Both IVAL and DGS are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: IVAL or DGS.
Key characteristics
| IVAL | DGS | |
|---|---|---|
| YTD Return | 1.57% | 4.72% |
| 1Y Return | 13.36% | 15.78% |
| 3Y Return (Ann) | 2.92% | 3.46% |
| 5Y Return (Ann) | 1.32% | 6.51% |
| Sharpe Ratio | 0.90 | 1.12 |
| Sortino Ratio | 1.28 | 1.61 |
| Omega Ratio | 1.17 | 1.20 |
| Calmar Ratio | 0.77 | 1.63 |
| Martin Ratio | 3.25 | 5.78 |
| Ulcer Index | 4.28% | 2.55% |
| Daily Std Dev | 15.48% | 13.19% |
| Max Drawdown | -46.09% | -61.83% |
| Current Drawdown | -7.09% | -5.84% |
Correlation
The correlation between IVAL and DGS is 0.68, 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
IVAL vs. DGS - Performance Comparison
In the year-to-date period, IVAL achieves a 1.57% return, which is significantly lower than DGS's 4.72% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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IVAL vs. DGS - Expense Ratio Comparison
IVAL has a 0.59% expense ratio, which is lower than DGS's 0.63% expense ratio.
Risk-Adjusted Performance
IVAL vs. DGS - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Alpha Architect International Quantitative Value ETF (IVAL) and WisdomTree Emerging Markets SmallCap Divdend Fund (DGS). 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.
Dividends
IVAL vs. DGS - Dividend Comparison
IVAL's dividend yield for the trailing twelve months is around 3.85%, more than DGS's 3.51% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
IVAL Alpha Architect International Quantitative Value ETF | 3.85% | 5.14% | 8.00% | 3.95% | 2.07% | 2.51% | 2.93% | 1.73% | 2.02% | 1.86% | 0.21% | 0.00% |
DGS WisdomTree Emerging Markets SmallCap Divdend Fund | 3.51% | 4.55% | 5.34% | 3.98% | 3.69% | 3.95% | 4.24% | 2.81% | 3.42% | 3.28% | 3.20% | 3.45% |
Drawdowns
IVAL vs. DGS - Drawdown Comparison
The maximum IVAL drawdown since its inception was -46.09%, smaller than the maximum DGS drawdown of -61.83%. Use the drawdown chart below to compare losses from any high point for IVAL and DGS. For additional features, visit the drawdowns tool.
Volatility
IVAL vs. DGS - Volatility Comparison
Alpha Architect International Quantitative Value ETF (IVAL) has a higher volatility of 4.41% compared to WisdomTree Emerging Markets SmallCap Divdend Fund (DGS) at 3.71%. This indicates that IVAL's price experiences larger fluctuations and is considered to be riskier than DGS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.