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ZPRV.DE vs. DFSVX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


ZPRV.DEDFSVX
YTD Return0.61%-0.53%
1Y Return22.54%18.86%
3Y Return (Ann)9.04%7.92%
5Y Return (Ann)11.69%10.65%
Sharpe Ratio1.171.05
Daily Std Dev18.01%18.72%
Max Drawdown-46.04%-66.70%
Current Drawdown-4.04%-5.25%

Correlation

0.60
-1.001.00

The correlation between ZPRV.DE and DFSVX is 0.60, 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

ZPRV.DE vs. DFSVX - Performance Comparison

In the year-to-date period, ZPRV.DE achieves a 0.61% return, which is significantly higher than DFSVX's -0.53% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-10.00%0.00%10.00%20.00%30.00%NovemberDecember2024FebruaryMarchApril
17.10%
17.57%
ZPRV.DE
DFSVX

Compare stocks, funds, or ETFs


SPDR MSCI USA Small Cap Value Weighted UCITS ETF

DFA U.S. Small Cap Value Portfolio I

ZPRV.DE vs. DFSVX - Expense Ratio Comparison

Both ZPRV.DE and DFSVX have an expense ratio of 0.30%.

ZPRV.DE
SPDR MSCI USA Small Cap Value Weighted UCITS ETF
0.50%1.00%1.50%2.00%0.30%
0.50%1.00%1.50%2.00%0.30%

Risk-Adjusted Performance

ZPRV.DE vs. DFSVX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR MSCI USA Small Cap Value Weighted UCITS ETF (ZPRV.DE) and DFA U.S. Small Cap Value Portfolio I (DFSVX). 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.


ZPRV.DE
Sharpe ratio
The Sharpe ratio of ZPRV.DE compared to the broader market0.002.004.000.92
Sortino ratio
The Sortino ratio of ZPRV.DE compared to the broader market-2.000.002.004.006.008.0010.001.50
Omega ratio
The Omega ratio of ZPRV.DE compared to the broader market1.001.502.002.501.18
Calmar ratio
The Calmar ratio of ZPRV.DE compared to the broader market0.002.004.006.008.0010.0012.001.01
Martin ratio
The Martin ratio of ZPRV.DE compared to the broader market0.0020.0040.0060.0080.003.34
DFSVX
Sharpe ratio
The Sharpe ratio of DFSVX compared to the broader market0.002.004.001.08
Sortino ratio
The Sortino ratio of DFSVX compared to the broader market-2.000.002.004.006.008.0010.001.70
Omega ratio
The Omega ratio of DFSVX compared to the broader market1.001.502.002.501.19
Calmar ratio
The Calmar ratio of DFSVX compared to the broader market0.002.004.006.008.0010.0012.001.23
Martin ratio
The Martin ratio of DFSVX compared to the broader market0.0020.0040.0060.0080.004.35

ZPRV.DE vs. DFSVX - Sharpe Ratio Comparison

The current ZPRV.DE Sharpe Ratio is 0.92, which roughly equals the DFSVX Sharpe Ratio of 1.08. The chart below compares the 12-month rolling Sharpe Ratio of ZPRV.DE and DFSVX.


Rolling 12-month Sharpe Ratio0.000.501.001.50NovemberDecember2024FebruaryMarchApril
0.92
1.08
ZPRV.DE
DFSVX

Dividends

ZPRV.DE vs. DFSVX - Dividend Comparison

ZPRV.DE has not paid dividends to shareholders, while DFSVX's dividend yield for the trailing twelve months is around 3.70%.


TTM20232022202120202019201820172016201520142013
ZPRV.DE
SPDR MSCI USA Small Cap Value Weighted UCITS ETF
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
DFSVX
DFA U.S. Small Cap Value Portfolio I
3.70%3.67%6.77%10.40%1.96%2.83%7.54%5.62%4.53%5.83%4.53%5.09%

Drawdowns

ZPRV.DE vs. DFSVX - Drawdown Comparison

The maximum ZPRV.DE drawdown since its inception was -46.04%, smaller than the maximum DFSVX drawdown of -66.70%. The drawdown chart below compares losses from any high point along the way for ZPRV.DE and DFSVX


-15.00%-10.00%-5.00%0.00%NovemberDecember2024FebruaryMarchApril
-5.33%
-5.25%
ZPRV.DE
DFSVX

Volatility

ZPRV.DE vs. DFSVX - Volatility Comparison

SPDR MSCI USA Small Cap Value Weighted UCITS ETF (ZPRV.DE) and DFA U.S. Small Cap Value Portfolio I (DFSVX) have volatilities of 5.47% and 5.57%, 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.


3.00%4.00%5.00%6.00%7.00%8.00%9.00%NovemberDecember2024FebruaryMarchApril
5.47%
5.57%
ZPRV.DE
DFSVX