DFA
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
DFEMX DFA Emerging Markets Portfolio | Emerging Markets Diversified | 12% |
DGEIX DFA Global Equity Portfolio Institutional Class | Global Equities | 88% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in DFA, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends. The portfolio is rebalanced Quarterly
The earliest data available for this chart is Apr 6, 2004, corresponding to the inception date of DGEIX
Returns By Period
As of Sep 20, 2024, the DFA returned 15.54% Year-To-Date and 8.95% of annualized return in the last 10 years.
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 19.79% | 2.08% | 9.01% | 29.79% | 13.85% | 11.12% |
| DFA | 15.54% | 1.88% | 8.38% | 27.20% | 11.78% | 9.03% |
| Portfolio components: | ||||||
DFEMX DFA Emerging Markets Portfolio | 10.27% | 0.53% | 7.69% | 18.66% | 5.78% | 3.84% |
DGEIX DFA Global Equity Portfolio Institutional Class | 16.25% | 2.06% | 8.46% | 28.37% | 12.59% | 9.70% |
Monthly Returns
The table below presents the monthly returns of DFA, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | -0.68% | 4.48% | 3.57% | -3.40% | 4.40% | 1.04% | 2.84% | 1.66% | 15.54% | ||||
| 2023 | 7.55% | -3.04% | 1.31% | 0.81% | -2.06% | 6.38% | 4.15% | -2.98% | -3.81% | -3.39% | 8.39% | 5.77% | 19.47% |
| 2022 | -3.90% | -1.68% | 1.19% | -6.84% | 1.09% | -8.64% | 6.49% | -3.30% | -9.71% | 6.81% | 8.65% | -4.20% | -14.96% |
| 2021 | 0.27% | 4.27% | 3.59% | 3.82% | 1.89% | 0.45% | -0.02% | 2.19% | -3.84% | 4.32% | -2.40% | 4.80% | 20.63% |
| 2020 | -2.86% | -8.11% | -17.13% | 12.09% | 4.77% | 3.07% | 5.16% | 5.24% | -2.72% | -0.97% | 12.57% | 5.69% | 13.57% |
| 2019 | 8.78% | 2.55% | 0.36% | 3.51% | -6.89% | 6.76% | 0.01% | -3.10% | 2.73% | 2.70% | 2.47% | 3.89% | 25.38% |
| 2018 | 5.07% | -4.37% | -1.03% | 0.15% | 0.64% | -0.96% | 2.98% | 1.08% | -0.50% | -8.16% | 1.80% | -8.06% | -11.63% |
| 2017 | 2.84% | 2.61% | 0.99% | 1.34% | 1.08% | 1.18% | 2.68% | 0.17% | 2.16% | 2.45% | 2.30% | 1.81% | 23.85% |
| 2016 | -5.71% | -0.18% | 8.51% | 1.21% | 0.16% | 0.10% | 4.50% | 0.71% | 0.71% | -1.80% | 2.79% | 1.85% | 12.93% |
| 2015 | -1.78% | 5.57% | -1.08% | 2.34% | 0.04% | -1.85% | -1.06% | -6.22% | -3.37% | 6.78% | -0.22% | -2.84% | -4.34% |
| 2014 | -4.07% | 4.81% | 1.23% | 0.21% | 1.94% | 2.60% | -1.95% | 3.03% | -4.39% | 1.33% | 0.78% | -1.31% | 3.87% |
| 2013 | 4.66% | 0.28% | 2.36% | 1.68% | 0.79% | -2.53% | 5.08% | -2.50% | 5.61% | 3.98% | 1.60% | 1.89% | 24.96% |
Expense Ratio
DFA has an expense ratio of 0.26%, which is considered low compared to other funds. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of DFA is 42, suggesting that the investment has average results relative to other portfolios in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.
Risk-Adjusted Performance Indicators
This table presents a comparison of risk-adjusted performance metrics for positions. 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 | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
DFEMX DFA Emerging Markets Portfolio | 1.29 | 1.83 | 1.23 | 0.71 | 6.40 |
DGEIX DFA Global Equity Portfolio Institutional Class | 2.06 | 2.82 | 1.37 | 2.01 | 11.66 |
Dividends
Dividend yield
DFA granted a 3.23% dividend yield in the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| DFA | 3.23% | 3.76% | 4.80% | 4.53% | 2.26% | 2.23% | 2.56% | 2.10% | 1.90% | 2.00% | 1.90% | 1.82% |
| Portfolio components: | ||||||||||||
DFEMX DFA Emerging Markets Portfolio | 2.90% | 3.34% | 3.90% | 6.13% | 1.45% | 2.33% | 2.14% | 1.74% | 1.92% | 2.08% | 2.02% | 2.72% |
DGEIX DFA Global Equity Portfolio Institutional Class | 3.28% | 3.82% | 4.92% | 4.31% | 2.37% | 2.22% | 2.62% | 2.15% | 1.90% | 1.98% | 1.88% | 1.70% |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
Worst Drawdowns
The table below displays the maximum drawdowns of the DFA. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.
The maximum drawdown for the DFA was 59.52%, occurring on Mar 9, 2009. Recovery took 961 trading sessions.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -59.52% | Nov 1, 2007 | 338 | Mar 9, 2009 | 961 | Jan 2, 2013 | 1299 |
| -36.93% | Jan 21, 2020 | 44 | Mar 23, 2020 | 159 | Nov 5, 2020 | 203 |
| -24.07% | Jan 5, 2022 | 186 | Sep 30, 2022 | 306 | Dec 19, 2023 | 492 |
| -21.44% | Jan 29, 2018 | 229 | Dec 24, 2018 | 234 | Nov 27, 2019 | 463 |
| -20.58% | May 19, 2015 | 186 | Feb 11, 2016 | 207 | Dec 6, 2016 | 393 |
Volatility
Volatility Chart
The current DFA volatility is 4.21%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.
Diversification
Asset Correlations Table
| DFEMX | DGEIX | |
|---|---|---|
| DFEMX | 1.00 | 0.80 |
| DGEIX | 0.80 | 1.00 |