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Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in DFA Five Year Global Fixed Income 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 Five Year Global Fixed Income Portfolio (DFGBX) has returned 0.15% so far this year and 2.16% over the past 12 months. Over the last ten years, DFGBX has returned 1.22% per year, falling short of the S&P 500 Index benchmark, which averaged 12.16% annually.
DFA Five Year Global Fixed Income Portfolio
- 1D
- 0.25%
- 1M
- -1.13%
- YTD
- 0.15%
- 6M
- 1.02%
- 1Y
- 2.16%
- 3Y*
- 4.06%
- 5Y*
- 1.09%
- 10Y*
- 1.22%
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 Nov 6, 1990, DFGBX's average daily return is +0.06%, while the average monthly return is +1.37%. At this rate, your investment would double in approximately 4.2 years.
Historically, 76% of months were positive and 24% were negative. The best month was Dec 1991 with a return of +94.3%, while the worst month was Apr 2004 at -3.1%. The longest winning streak lasted 27 consecutive months, and the longest losing streak was 5 months.
On a daily basis, DFGBX closed higher 37% of trading days. The best single day was Dec 10, 1991 with a return of +88.9%, while the worst single day was Dec 15, 2016 at -1.8%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 0.50% | 0.79% | -1.13% | 0.15% | |||||||||
| 2025 | 0.40% | 0.30% | 0.40% | 0.30% | 0.39% | -0.78% | 0.40% | 0.49% | 0.34% | 0.49% | 0.29% | 0.08% | 3.13% |
| 2024 | 0.50% | 0.40% | 0.50% | 0.40% | 0.49% | 0.37% | 0.49% | 0.49% | 0.41% | 0.40% | 0.39% | 0.40% | 5.37% |
| 2023 | 0.81% | -0.30% | 0.91% | 0.30% | 0.30% | 0.10% | 0.50% | 0.50% | 0.34% | 0.50% | 0.49% | 0.45% | 5.00% |
| 2022 | -1.50% | -0.57% | -2.58% | -1.18% | 0.59% | -0.89% | 0.89% | -1.18% | -1.13% | 0.20% | 0.61% | -0.07% | -6.63% |
| 2021 | 0.09% | -0.09% | 0.00% | 0.18% | 0.18% | -0.18% | 0.82% | -0.27% | -0.73% | -1.01% | 0.09% | -0.11% | -1.03% |
Benchmark Metrics
DFA Five Year Global Fixed Income Portfolio has an annualized alpha of 17.89%, beta of -0.02, and R² of 0.00 versus S&P 500 Index. Calculated based on daily prices since November 07, 1990.
- This fund captured 36.72% of S&P 500 Index gains and tended to rise during its downturns (downside capture of -38.05%) — a profile typical of hedging or uncorrelated assets.
- Beta of -0.02 may look defensive, but with R² of 0.00 this fund is largely uncorrelated with S&P 500 Index — low beta reflects independence, not downside protection. See the Volatility section for a true picture of this fund's risk.
- R² of 0.00 means this fund moves largely independently of S&P 500 Index — capture ratios reflect limited market correlation rather than active downside protection. Consider using a more representative benchmark.
- Alpha
- 17.89%
- Beta
- -0.02
- R²
- 0.00
- Upside Capture
- 36.72%
- Downside Capture
- -38.05%
Expense Ratio
DFGBX has an expense ratio of 0.23%, which is considered low.
Return for Risk
Risk / Return Rank
DFGBX ranks 70 for risk / return — better than 70% of mutual funds on our site. You're getting solid returns for the risk taken. A good sign, especially for investors who want growth without excessive volatility.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for DFA Five Year Global Fixed Income Portfolio (DFGBX) and compare them to a chosen benchmark (S&P 500 Index).
| DFGBX | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.33 | 0.90 | +0.44 |
Sortino ratioReturn per unit of downside risk | 1.56 | 1.39 | +0.18 |
Omega ratioGain probability vs. loss probability | 1.47 | 1.21 | +0.26 |
Calmar ratioReturn relative to maximum drawdown | 1.64 | 1.40 | +0.24 |
Martin ratioReturn relative to average drawdown | 5.29 | 6.61 | -1.31 |
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 DFGBX 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 Five Year Global Fixed Income Portfolio provided a 3.47% dividend yield over the last twelve months, with an annual payout of $0.35 per share.
| Period | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Dividend | $0.35 | $0.29 | $0.47 | $0.36 | $0.16 | $0.08 | $0.00 | $0.25 | $0.50 | $0.10 | $0.13 | $0.19 |
Dividend yield | 3.47% | 2.91% | 4.69% | 3.61% | 1.63% | 0.73% | 0.03% | 2.30% | 4.74% | 0.89% | 1.16% | 1.72% |
Monthly Dividends
The table displays the monthly dividend distributions for DFA Five Year Global Fixed Income 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 | $0.05 | $0.05 | |||||||||
| 2025 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.12 | $0.00 | $0.00 | $0.17 | $0.29 |
| 2024 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.09 | $0.00 | $0.00 | $0.19 | $0.00 | $0.00 | $0.19 | $0.47 |
| 2023 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.10 | $0.00 | $0.00 | $0.25 | $0.36 |
| 2022 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.04 | $0.00 | $0.00 | $0.12 | $0.16 |
| 2021 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.08 | $0.08 |
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 Five Year Global Fixed Income 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 Five Year Global Fixed Income Portfolio was 9.63%, occurring on Oct 20, 2022. Recovery took 496 trading sessions.
The current DFA Five Year Global Fixed Income Portfolio drawdown is 1.13%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -9.63% | Aug 4, 2021 | 307 | Oct 20, 2022 | 496 | Oct 11, 2024 | 803 |
| -4.84% | Mar 25, 2004 | 55 | Jun 14, 2004 | 93 | Oct 25, 2004 | 148 |
| -4.57% | Jun 16, 2003 | 55 | Sep 2, 2003 | 128 | Mar 5, 2004 | 183 |
| -3.8% | Mar 9, 1994 | 42 | May 9, 1994 | 21 | Jun 8, 1994 | 63 |
| -3.69% | Nov 5, 2010 | 65 | Feb 8, 2011 | 78 | Jun 1, 2011 | 143 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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