PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
TBCUX vs. DSEFX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

TBCUX vs. DSEFX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Tweedy, Browne International Value Fund II - Currency Unhedged (TBCUX) and Domini Impact Equity Fund (DSEFX). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
-5.93%
10.67%
TBCUX
DSEFX

Returns By Period

In the year-to-date period, TBCUX achieves a -0.18% return, which is significantly lower than DSEFX's 22.29% return. Over the past 10 years, TBCUX has underperformed DSEFX with an annualized return of 3.04%, while DSEFX has yielded a comparatively higher 5.42% annualized return.


TBCUX

YTD

-0.18%

1M

-4.01%

6M

-5.93%

1Y

4.60%

5Y (annualized)

3.36%

10Y (annualized)

3.04%

DSEFX

YTD

22.29%

1M

2.88%

6M

10.67%

1Y

28.19%

5Y (annualized)

11.32%

10Y (annualized)

5.42%

Key characteristics


TBCUXDSEFX
Sharpe Ratio0.452.10
Sortino Ratio0.672.83
Omega Ratio1.081.38
Calmar Ratio0.521.65
Martin Ratio1.6312.56
Ulcer Index2.83%2.24%
Daily Std Dev10.31%13.40%
Max Drawdown-35.99%-80.93%
Current Drawdown-8.56%-0.65%

Compare stocks, funds, or ETFs

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


TBCUX vs. DSEFX - Expense Ratio Comparison

TBCUX has a 1.39% expense ratio, which is higher than DSEFX's 1.09% expense ratio.


TBCUX
Tweedy, Browne International Value Fund II - Currency Unhedged
Expense ratio chart for TBCUX: current value at 1.39% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.39%
Expense ratio chart for DSEFX: current value at 1.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.09%

Correlation

-0.50.00.51.00.6

The correlation between TBCUX and DSEFX is 0.59, 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.

Risk-Adjusted Performance

TBCUX vs. DSEFX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Tweedy, Browne International Value Fund II - Currency Unhedged (TBCUX) and Domini Impact Equity Fund (DSEFX). 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 TBCUX, currently valued at 0.45, compared to the broader market-1.000.001.002.003.004.005.000.452.10
The chart of Sortino ratio for TBCUX, currently valued at 0.67, compared to the broader market0.005.0010.000.672.83
The chart of Omega ratio for TBCUX, currently valued at 1.08, compared to the broader market1.002.003.004.001.081.38
The chart of Calmar ratio for TBCUX, currently valued at 0.52, compared to the broader market0.005.0010.0015.0020.000.521.65
The chart of Martin ratio for TBCUX, currently valued at 1.63, compared to the broader market0.0020.0040.0060.0080.00100.001.6312.56
TBCUX
DSEFX

The current TBCUX Sharpe Ratio is 0.45, which is lower than the DSEFX Sharpe Ratio of 2.10. The chart below compares the historical Sharpe Ratios of TBCUX and DSEFX, 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
0.45
2.10
TBCUX
DSEFX

Dividends

TBCUX vs. DSEFX - Dividend Comparison

TBCUX's dividend yield for the trailing twelve months is around 1.76%, more than DSEFX's 0.30% yield.


TTM20232022202120202019201820172016201520142013
TBCUX
Tweedy, Browne International Value Fund II - Currency Unhedged
1.76%1.76%1.69%1.03%0.67%1.48%1.38%1.23%1.54%1.48%1.34%1.01%
DSEFX
Domini Impact Equity Fund
0.30%0.39%0.12%0.14%0.50%0.49%1.19%0.14%1.04%0.94%1.26%0.58%

Drawdowns

TBCUX vs. DSEFX - Drawdown Comparison

The maximum TBCUX drawdown since its inception was -35.99%, smaller than the maximum DSEFX drawdown of -80.93%. Use the drawdown chart below to compare losses from any high point for TBCUX and DSEFX. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-8.56%
-0.65%
TBCUX
DSEFX

Volatility

TBCUX vs. DSEFX - Volatility Comparison

The current volatility for Tweedy, Browne International Value Fund II - Currency Unhedged (TBCUX) is 3.24%, while Domini Impact Equity Fund (DSEFX) has a volatility of 3.92%. This indicates that TBCUX experiences smaller price fluctuations and is considered to be less risky than DSEFX 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
3.24%
3.92%
TBCUX
DSEFX