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XSOE vs. DFAE
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between XSOE and DFAE is 0.98, 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.


-0.50.00.51.01.0

Performance

XSOE vs. DFAE - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in WisdomTree Emerging Markets ex-State-Owned Enterprises Fund (XSOE) and Dimensional Emerging Core Equity Market ETF (DFAE). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
1.76%
0.20%
XSOE
DFAE

Key characteristics

Sharpe Ratio

XSOE:

0.81

DFAE:

0.68

Sortino Ratio

XSOE:

1.23

DFAE:

1.04

Omega Ratio

XSOE:

1.15

DFAE:

1.13

Calmar Ratio

XSOE:

0.35

DFAE:

0.54

Martin Ratio

XSOE:

3.12

DFAE:

2.76

Ulcer Index

XSOE:

4.07%

DFAE:

3.75%

Daily Std Dev

XSOE:

15.68%

DFAE:

15.12%

Max Drawdown

XSOE:

-45.23%

DFAE:

-32.21%

Current Drawdown

XSOE:

-26.63%

DFAE:

-8.83%

Returns By Period

The year-to-date returns for both investments are quite close, with XSOE having a 8.27% return and DFAE slightly higher at 8.31%.


XSOE

YTD

8.27%

1M

-1.29%

6M

1.33%

1Y

12.73%

5Y*

1.50%

10Y*

4.75%

DFAE

YTD

8.31%

1M

-0.95%

6M

-0.11%

1Y

12.32%

5Y*

N/A

10Y*

N/A

Compare stocks, funds, or ETFs

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


XSOE vs. DFAE - Expense Ratio Comparison

XSOE has a 0.32% expense ratio, which is lower than DFAE's 0.35% expense ratio.


DFAE
Dimensional Emerging Core Equity Market ETF
Expense ratio chart for DFAE: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%
Expense ratio chart for XSOE: current value at 0.32% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.32%

Risk-Adjusted Performance

XSOE vs. DFAE - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for WisdomTree Emerging Markets ex-State-Owned Enterprises Fund (XSOE) and Dimensional Emerging Core Equity Market ETF (DFAE). 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 XSOE, currently valued at 0.81, compared to the broader market0.002.004.000.810.82
The chart of Sortino ratio for XSOE, currently valued at 1.23, compared to the broader market-2.000.002.004.006.008.0010.001.231.23
The chart of Omega ratio for XSOE, currently valued at 1.15, compared to the broader market0.501.001.502.002.503.001.151.15
The chart of Calmar ratio for XSOE, currently valued at 0.35, compared to the broader market0.005.0010.0015.000.350.65
The chart of Martin ratio for XSOE, currently valued at 3.12, compared to the broader market0.0020.0040.0060.0080.00100.003.123.25
XSOE
DFAE

The current XSOE Sharpe Ratio is 0.81, which is comparable to the DFAE Sharpe Ratio of 0.68. The chart below compares the historical Sharpe Ratios of XSOE and DFAE, 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 Ratio0.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
0.81
0.82
XSOE
DFAE

Dividends

XSOE vs. DFAE - Dividend Comparison

XSOE's dividend yield for the trailing twelve months is around 1.57%, less than DFAE's 2.34% yield.


TTM2023202220212020201920182017201620152014
XSOE
WisdomTree Emerging Markets ex-State-Owned Enterprises Fund
1.57%1.78%2.53%1.36%1.02%2.01%1.56%0.65%1.43%3.94%0.21%
DFAE
Dimensional Emerging Core Equity Market ETF
2.34%2.43%2.85%1.64%0.01%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

XSOE vs. DFAE - Drawdown Comparison

The maximum XSOE drawdown since its inception was -45.23%, which is greater than DFAE's maximum drawdown of -32.21%. Use the drawdown chart below to compare losses from any high point for XSOE and DFAE. For additional features, visit the drawdowns tool.


-35.00%-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-26.63%
-8.83%
XSOE
DFAE

Volatility

XSOE vs. DFAE - Volatility Comparison

WisdomTree Emerging Markets ex-State-Owned Enterprises Fund (XSOE) and Dimensional Emerging Core Equity Market ETF (DFAE) have volatilities of 3.75% and 3.78%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%JulyAugustSeptemberOctoberNovemberDecember
3.75%
3.78%
XSOE
DFAE
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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