DFAX vs VEA: returns, Sharpe ratio and drawdown

Over the past year, VEA returned +18.37% against +16.85% for DFAX. Over five years, DFAX averaged +9.40% a year, compared with +9.00% for VEA. VEA had the higher Sharpe ratio over the past year (0.81 vs 0.77), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -11.11% for DFAX and -11.63% for VEA. Dividends over the past year came to 2.48% of DFAX's price, against 2.44% for VEA. Their daily returns had a correlation of 0.98 over the past year, which is very high.

DFAX charges 0.28% a year and VEA 0.03%. Over five years, reinvested dividends added 3.20 points a year to DFAX's return and 3.30 to VEA's.