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Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in DFA U.S. Sustainability Core 1 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 Core 1 Portfolio (DFSIX) has returned -8.15% so far this year and 12.48% over the past 12 months. Looking at the last ten years, DFSIX has achieved an annualized return of 13.25%, outperforming the S&P 500 Index benchmark, which averaged 12.16% per year.
DFA U.S. Sustainability Core 1 Portfolio
- 1D
- -0.40%
- 1M
- -8.45%
- YTD
- -8.15%
- 6M
- -5.85%
- 1Y
- 12.48%
- 3Y*
- 15.73%
- 5Y*
- 9.81%
- 10Y*
- 13.25%
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 Mar 13, 2008, DFSIX's average daily return is +0.05%, while the average monthly return is +1.00%. At this rate, your investment would double in approximately 5.8 years.
Historically, 66% of months were positive and 34% were negative. The best month was Apr 2020 with a return of +13.6%, while the worst month was Oct 2008 at -19.8%. The longest winning streak lasted 9 consecutive months, and the longest losing streak was 5 months.
On a daily basis, DFSIX closed higher 53% of trading days. The best single day was Oct 13, 2008 with a return of +10.9%, while the worst single day was Mar 16, 2020 at -12.1%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 1.36% | -1.02% | -8.45% | -8.15% | |||||||||
| 2025 | 3.51% | -2.50% | -6.20% | -1.14% | 6.18% | 5.14% | 2.11% | 2.95% | 2.97% | 1.58% | 0.56% | 0.35% | 15.92% |
| 2024 | 1.07% | 5.74% | 3.61% | -5.20% | 4.80% | 2.37% | 3.32% | 1.69% | 2.01% | -0.89% | 7.12% | -3.85% | 23.19% |
| 2023 | 7.39% | -1.88% | 0.93% | 0.66% | -0.37% | 7.73% | 4.01% | -1.98% | -4.56% | -3.23% | 9.19% | 6.42% | 25.70% |
| 2022 | -6.26% | -2.58% | 2.01% | -8.21% | 0.06% | -7.99% | 8.89% | -3.72% | -8.81% | 9.19% | 5.84% | -5.55% | -17.85% |
| 2021 | -0.37% | 3.93% | 4.36% | 5.16% | 0.74% | 1.63% | 2.00% | 2.78% | -4.71% | 6.13% | -1.29% | 4.63% | 27.38% |
Benchmark Metrics
DFA U.S. Sustainability Core 1 Portfolio has an annualized alpha of 1.64%, beta of 1.01, and R² of 0.95 versus S&P 500 Index. Calculated based on daily prices since March 14, 2008.
- This fund captured 111.21% of S&P 500 Index gains and 103.64% of its losses — amplifying both gains and losses, but participating more in upside than downside.
- With beta of 1.01 and R² of 0.95, 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
- 1.64%
- Beta
- 1.01
- R²
- 0.95
- Upside Capture
- 111.21%
- Downside Capture
- 103.64%
Expense Ratio
DFSIX has an expense ratio of 0.18%, which is considered low.
Return for Risk
Risk / Return Rank
DFSIX ranks 28 for risk / return — below 28% 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 Core 1 Portfolio (DFSIX) and compare them to a chosen benchmark (S&P 500 Index).
| DFSIX | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.71 | 0.90 | -0.19 |
Sortino ratioReturn per unit of downside risk | 1.13 | 1.39 | -0.25 |
Omega ratioGain probability vs. loss probability | 1.16 | 1.21 | -0.05 |
Calmar ratioReturn relative to maximum drawdown | 0.68 | 1.40 | -0.72 |
Martin ratioReturn relative to average drawdown | 2.99 | 6.61 | -3.62 |
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 DFSIX 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 Core 1 Portfolio provided a 0.97% dividend yield over the last twelve months, with an annual payout of $0.47 per share.
| Period | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Dividend | $0.47 | $0.46 | $0.45 | $0.45 | $0.41 | $0.79 | $0.36 | $0.50 | $0.45 | $0.41 | $0.33 | $0.34 |
Dividend yield | 0.97% | 0.88% | 0.99% | 1.21% | 1.35% | 2.13% | 1.19% | 2.02% | 2.31% | 1.92% | 1.85% | 2.13% |
Monthly Dividends
The table displays the monthly dividend distributions for DFA U.S. Sustainability Core 1 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 | $0.12 | $0.12 | |||||||||
| 2025 | $0.00 | $0.00 | $0.12 | $0.00 | $0.00 | $0.12 | $0.00 | $0.00 | $0.12 | $0.00 | $0.00 | $0.10 | $0.46 |
| 2024 | $0.00 | $0.00 | $0.12 | $0.00 | $0.00 | $0.11 | $0.00 | $0.00 | $0.12 | $0.00 | $0.00 | $0.10 | $0.45 |
| 2023 | $0.00 | $0.00 | $0.10 | $0.00 | $0.00 | $0.11 | $0.00 | $0.00 | $0.11 | $0.00 | $0.00 | $0.13 | $0.45 |
| 2022 | $0.00 | $0.00 | $0.09 | $0.00 | $0.00 | $0.10 | $0.00 | $0.00 | $0.10 | $0.00 | $0.00 | $0.12 | $0.41 |
| 2021 | $0.00 | $0.00 | $0.08 | $0.00 | $0.00 | $0.09 | $0.00 | $0.00 | $0.10 | $0.00 | $0.00 | $0.52 | $0.79 |
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 Core 1 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 Core 1 Portfolio was 53.77%, occurring on Mar 9, 2009. Recovery took 467 trading sessions.
The current DFA U.S. Sustainability Core 1 Portfolio drawdown is 10.36%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -53.77% | May 20, 2008 | 202 | Mar 9, 2009 | 467 | Jan 12, 2011 | 669 |
| -35.68% | Feb 20, 2020 | 23 | Mar 23, 2020 | 99 | Aug 12, 2020 | 122 |
| -25.16% | Jan 5, 2022 | 186 | Sep 30, 2022 | 302 | Dec 13, 2023 | 488 |
| -22.84% | May 2, 2011 | 108 | Oct 3, 2011 | 100 | Feb 27, 2012 | 208 |
| -22.03% | Sep 21, 2018 | 65 | Dec 24, 2018 | 129 | Jul 1, 2019 | 194 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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