SEMH.L vs. DFSD
Compare and contrast key facts about SPDR ICE BofA 0-5 Year EM USD Government Bond UCITS ETF (SEMH.L) and Dimensional Short-Duration Fixed Income ETF (DFSD).
SEMH.L and DFSD are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. SEMH.L is a passively managed fund by State Street that tracks the performance of the JPM EMBI Global Diversified TR USD. It was launched on Nov 12, 2014. DFSD is an actively managed fund by Dimensional. It was launched on Nov 15, 2021.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: SEMH.L or DFSD.
Key characteristics
| SEMH.L | DFSD | |
|---|---|---|
| YTD Return | 3.51% | 4.22% |
| 1Y Return | 3.03% | 6.84% |
| Sharpe Ratio | 0.44 | 3.37 |
| Sortino Ratio | 0.68 | 5.32 |
| Omega Ratio | 1.08 | 1.79 |
| Calmar Ratio | 0.27 | 2.43 |
| Martin Ratio | 1.82 | 29.80 |
| Ulcer Index | 1.37% | 0.22% |
| Daily Std Dev | 5.67% | 1.98% |
| Max Drawdown | -13.63% | -8.45% |
| Current Drawdown | -4.52% | -0.40% |
Correlation
The correlation between SEMH.L and DFSD is 0.36, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Performance
SEMH.L vs. DFSD - Performance Comparison
In the year-to-date period, SEMH.L achieves a 3.51% return, which is significantly lower than DFSD's 4.22% 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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SEMH.L vs. DFSD - Expense Ratio Comparison
SEMH.L has a 0.42% expense ratio, which is higher than DFSD's 0.16% expense ratio.
Risk-Adjusted Performance
SEMH.L vs. DFSD - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for SPDR ICE BofA 0-5 Year EM USD Government Bond UCITS ETF (SEMH.L) and Dimensional Short-Duration Fixed Income ETF (DFSD). 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
SEMH.L vs. DFSD - Dividend Comparison
SEMH.L's dividend yield for the trailing twelve months is around 4.36%, less than DFSD's 4.59% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|
SEMH.L SPDR ICE BofA 0-5 Year EM USD Government Bond UCITS ETF | 4.36% | 3.18% | 2.39% | 2.72% | 3.42% | 3.52% | 2.69% | 3.13% | 2.55% | 1.76% |
DFSD Dimensional Short-Duration Fixed Income ETF | 4.59% | 3.89% | 2.11% | 0.11% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
SEMH.L vs. DFSD - Drawdown Comparison
The maximum SEMH.L drawdown since its inception was -13.63%, which is greater than DFSD's maximum drawdown of -8.45%. Use the drawdown chart below to compare losses from any high point for SEMH.L and DFSD. For additional features, visit the drawdowns tool.
Volatility
SEMH.L vs. DFSD - Volatility Comparison
SPDR ICE BofA 0-5 Year EM USD Government Bond UCITS ETF (SEMH.L) has a higher volatility of 1.01% compared to Dimensional Short-Duration Fixed Income ETF (DFSD) at 0.47%. This indicates that SEMH.L's price experiences larger fluctuations and is considered to be riskier than DFSD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.