- Issuer
- Dimensional
- Inception Date
- Oct 5, 2020
- Category
- Small Cap Value Equities
- Min. Investment
- $0
- Distribution Policy
- Distributing
- Asset Class
- Equity
- Asset Class Size
- Large-Cap
- Asset Class Style
- Value
Share Price Chart
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Performance
DAABX Performance Chart
DFA U.S. Sustainability Targeted Value Portfolio (DAABX) is up 14.6% since the beginning of the year. DAABX is currently trading at $24 per share. Investors who bought $1,000 worth of DAABX shares 5 years ago would now be looking at an investment worth $1,618.
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Returns By Period
DFA U.S. Sustainability Targeted Value Portfolio (DAABX) has returned 14.56% so far this year and 32.66% over the past 12 months.
DFA U.S. Sustainability Targeted Value Portfolio
- 1D
- 1.16%
- 1M
- 3.66%
- YTD
- 14.56%
- 6M
- 12.20%
- 1Y
- 32.66%
- 3Y*
- 15.88%
- 5Y*
- 10.10%
- 10Y*
- —
Benchmark (S&P 500 Index)
- 1D
- -0.37%
- 1M
- -0.01%
- YTD
- 9.16%
- 6M
- 8.64%
- 1Y
- 25.22%
- 3Y*
- 19.78%
- 5Y*
- 11.99%
- 10Y*
- 13.88%
DAABX Monthly Returns History
Based on dividend-adjusted daily data since Jul 2, 2020, DAABX's average daily return is +0.08%, while the average monthly return is +1.63%. At this rate, an investment would double in approximately 3.6 years.
Historically, 57% of months were positive and 43% were negative. The best month was Nov 2020 with a return of +18.2%, while the worst month was Sep 2022 at -9.3%. The longest winning streak lasted 8 consecutive months, and the longest losing streak was 4 months.
On a daily basis, DAABX closed higher 50% of trading days. The best single day was Apr 9, 2025 with a return of +8.8%, while the worst single day was Apr 3, 2025 at -7.5%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 6.04% | 1.68% | -5.77% | 8.88% | 0.72% | 2.83% | 14.56% | ||||||
| 2025 | 3.65% | -4.80% | -6.22% | -4.22% | 5.73% | 4.60% | 0.88% | 7.78% | -0.21% | -1.68% | 3.33% | 1.47% | 9.62% |
| 2024 | -3.61% | 2.67% | 4.92% | -6.55% | 5.15% | -2.69% | 10.87% | -1.35% | 0.17% | -1.62% | 10.27% | -7.56% | 9.07% |
| 2023 | 10.39% | -1.56% | -6.69% | -1.95% | -3.09% | 9.75% | 6.67% | -3.75% | -5.49% | -5.83% | 9.39% | 12.42% | 18.81% |
| 2022 | -3.55% | 1.40% | -0.44% | -6.49% | 2.79% | -9.09% | 8.92% | -3.30% | -9.26% | 13.29% | 5.19% | -5.43% | -8.37% |
| 2021 | 2.67% | 10.39% | 6.62% | 3.26% | 3.04% | -2.92% | -1.24% | 2.06% | -2.47% | 4.03% | -2.44% | 5.53% | 31.44% |
Benchmark Metrics
DFA U.S. Sustainability Targeted Value Portfolio has an annualized alpha of 3.57%, beta of 1.01, and R2 of 0.59 versus S&P 500 Index. Calculated based on daily prices since July 02, 2020.
- This fund captured 106.30% of S&P 500 Index gains but only 94.26% of its losses - a favorable profile for investors.
- This fund generated an annualized alpha of 3.57% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.
- With beta of 1.01 and R2 of 0.59, this fund moves broadly in line with S&P 500 Index - much of its variation is explained by market exposure rather than independent behavior.
- Alpha
- 3.57%
- Beta
- 1.01
- R²
- 0.59
- Upside Capture
- 106.30%
- Downside Capture
- 94.26%
Expense Ratio
DAABX has an expense ratio of 0.36%, placing it in the medium range.
Return for Risk
Risk / Return Rank
DAABX ranks 49 for risk / return — on par with similar mutual funds. You're getting a typical balance of risk and reward. Not a standout, but not a red flag either — a reasonable choice if other factors align with your goals.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for DFA U.S. Sustainability Targeted Value Portfolio (DAABX) and compare them to S&P 500 Index.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| DAABX | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.16 | ||
| Sortino ratioReturn per unit of downside risk | +0.03 | ||
| Omega ratioGain probability vs. loss probability | 1.33 | 1.37 | -0.04 |
| Calmar ratioReturn relative to maximum drawdown | 2.74 | 2.78 | -0.04 |
| Martin ratioReturn relative to average drawdown | 9.31 | 12.44 | -3.13 |
Dividends
Dividend History
DFA U.S. Sustainability Targeted Value Portfolio provided a 1.25% dividend yield over the last twelve months, with an annual payout of $0.31 per share.
| Period | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 |
|---|---|---|---|---|---|---|---|
| Dividend | $0.31 | $0.23 | $0.22 | $0.33 | $0.58 | $0.94 | $0.17 |
Dividend yield | 1.25% | 1.06% | 1.11% | 1.82% | 3.69% | 5.30% | 1.19% |
Monthly Dividends
The table displays the monthly dividend distributions for DFA U.S. Sustainability Targeted Value Portfolio. The dividends shown in the table have been adjusted to account for any splits that may have occurred.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | $0.00 | $0.00 | $0.08 | $0.00 | $0.00 | $0.00 | $0.08 | ||||||
| 2025 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.07 | $0.00 | $0.00 | $0.09 | $0.00 | $0.00 | $0.07 | $0.23 |
| 2024 | $0.00 | $0.00 | $0.05 | $0.00 | $0.00 | $0.06 | $0.00 | $0.00 | $0.05 | $0.00 | $0.00 | $0.06 | $0.22 |
| 2023 | $0.00 | $0.00 | $0.05 | $0.00 | $0.00 | $0.06 | $0.00 | $0.00 | $0.05 | $0.00 | $0.00 | $0.18 | $0.33 |
| 2022 | $0.00 | $0.00 | $0.03 | $0.00 | $0.00 | $0.05 | $0.00 | $0.00 | $0.06 | $0.00 | $0.00 | $0.44 | $0.58 |
| 2021 | $0.00 | $0.00 | $0.03 | $0.00 | $0.00 | $0.05 | $0.00 | $0.00 | $0.05 | $0.00 | $0.00 | $0.81 | $0.94 |
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.
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Worst Drawdowns
The table below displays the maximum drawdowns of the DFA U.S. Sustainability Targeted Value Portfolio. 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 U.S. Sustainability Targeted Value Portfolio was 26.11%, occurring on Apr 8, 2025. Recovery took 164 trading sessions.
The current DFA U.S. Sustainability Targeted Value Portfolio drawdown is 0.93%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
2025 selloff2025 | -26.11%Apr 2025 | 4mo 13d | 7mo 29d | 1y 7dNov 2024 - Dec 2025 |
Bear market2022 | -20.93%Sep 2022 | 10mo 17d | 4mo 5d | 1y 2moNov 2021 - Feb 2023 |
2023 correction2023 | -17.02%May 2023 | 3mo | 7mo 14d | 10mo 14dFeb 2023 - Dec 2023 |
2026 correction2026 | -12.13%Mar 2026 | 1mo 9d | 1mo 17d | 2mo 26dFeb 2026 - May 2026 |
2021 correction2021 | -10.69%Jul 2021 | 1mo 10d | 3mo 15d | 4mo 25dJun 2021 - Nov 2021 |
Drawdown Indicators
| DAABX | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -26.11% | -56.78% | +30.67% |
Max Drawdown (1Y)Largest decline over 1 year | -12.13% | -9.10% | -3.03% |
Max Drawdown (3Y)Largest decline over 3 years | -26.11% | -18.90% | -7.21% |
Max Drawdown (5Y)Largest decline over 5 years | -26.11% | -25.43% | -0.68% |
Max Drawdown (10Y)Largest decline over 10 years | — | -33.92% | — |
Current DrawdownCurrent decline from peak | -0.93% | -1.80% | +0.87% |
Average DrawdownAverage peak-to-trough decline | -5.94% | -10.71% | +4.77% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.56% | 2.03% | +1.53% |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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