DFAX vs VEU: returns, Sharpe ratio and drawdown

Over the past year, DFAX returned +16.85% against +15.59% for VEU. Over five years, DFAX averaged +9.40% a year, compared with +8.37% for VEU. DFAX had the higher Sharpe ratio over the past year (0.77 vs 0.70), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -11.11% for DFAX and -11.43% for VEU. Dividends over the past year came to 2.48% of DFAX's price, against 2.41% for VEU. Their daily returns had a correlation of 0.99 over the past year, which is very high.

DFAX charges 0.28% a year and VEU 0.04%. Over five years, reinvested dividends added 3.20 points a year to DFAX's return and 3.24 to VEU's.