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Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in DFA U.S. Sustainability Targeted Value Portfolio, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.
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Returns By Period
DFA U.S. Sustainability Targeted Value Portfolio (DAABX) has returned -0.90% so far this year and 17.40% over the past 12 months.
DFA U.S. Sustainability Targeted Value Portfolio
- 1D
- -0.53%
- 1M
- -8.08%
- YTD
- -0.90%
- 6M
- 2.15%
- 1Y
- 17.40%
- 3Y*
- 11.56%
- 5Y*
- 7.01%
- 10Y*
- —
Benchmark (S&P 500 Index)
- 1D
- 2.91%
- 1M
- -5.09%
- YTD
- -4.63%
- 6M
- -2.39%
- 1Y
- 16.33%
- 3Y*
- 16.69%
- 5Y*
- 10.18%
- 10Y*
- 12.16%
Monthly Returns
Based on dividend-adjusted daily data since Jul 2, 2020, DAABX's average daily return is +0.07%, while the average monthly return is +1.48%. At this rate, your investment would double in approximately 3.9 years.
Historically, 55% of months were positive and 45% 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% | -8.08% | -0.90% | |||||||||
| 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 4.15%, beta of 1.02, and R² of 0.59 versus S&P 500 Index. Calculated based on daily prices since July 06, 2020.
- This fund captured 111.54% of S&P 500 Index gains but only 97.31% of its losses — a favorable profile for investors.
- This fund generated an annualized alpha of 4.15% versus S&P 500 Index — delivering returns beyond what market exposure alone would predict.
- With beta of 1.02 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
- 4.15%
- Beta
- 1.02
- R²
- 0.59
- Upside Capture
- 111.54%
- Downside Capture
- 97.31%
Expense Ratio
DAABX has an expense ratio of 0.36%, placing it in the medium range.
Return for Risk
Risk / Return Rank
DAABX ranks 33 for risk / return — below 33% of mutual funds on our site. The returns aren't fully compensating for the risk involved. This isn't necessarily a dealbreaker, but factor it into your decision — especially if you're risk-averse.
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 a chosen benchmark (S&P 500 Index).
| DAABX | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.78 | 0.90 | -0.12 |
Sortino ratioReturn per unit of downside risk | 1.24 | 1.39 | -0.14 |
Omega ratioGain probability vs. loss probability | 1.17 | 1.21 | -0.04 |
Calmar ratioReturn relative to maximum drawdown | 0.94 | 1.40 | -0.46 |
Martin ratioReturn relative to average drawdown | 3.26 | 6.61 | -3.35 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Explore DAABX risk-adjusted metrics in detail
Dive deeper into individual metrics with historical trends, benchmark comparisons, and performance across different time periods.
Dividends
Dividend History
DFA U.S. Sustainability Targeted Value Portfolio provided a 1.45% 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 | 1.45% | 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 | $0.08 | |||||||||
| 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 11.17%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -26.11% | Nov 26, 2024 | 90 | Apr 8, 2025 | 164 | Dec 3, 2025 | 254 |
| -20.93% | Nov 17, 2021 | 219 | Sep 30, 2022 | 85 | Feb 2, 2023 | 304 |
| -17.02% | Feb 3, 2023 | 63 | May 4, 2023 | 155 | Dec 14, 2023 | 218 |
| -12.13% | Feb 9, 2026 | 29 | Mar 20, 2026 | — | — | — |
| -10.69% | Jun 9, 2021 | 28 | Jul 19, 2021 | 74 | Nov 1, 2021 | 102 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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