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DFA U.S. Sustainability Core 1 Portfolio (DFSIX)
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Fund Info

ISIN

US2332032158

Issuer

Dimensional Fund Advisors LP

Inception Date

Mar 12, 2008

Min. Investment

$0

Asset Class

Equity

Asset Class Size

Large-Cap

Asset Class Style

Blend

Share Price Chart


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Compare to other instruments

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Popular comparisons:
DFSIX vs. SPY DFSIX vs. DUSLX DFSIX vs. VOO DFSIX vs. DFAC DFSIX vs. SPFFX DFSIX vs. VRTTX DFSIX vs. QQQ DFSIX vs. VTSAX DFSIX vs. FITLX DFSIX vs. VFFSX
Popular comparisons:
DFSIX vs. SPY DFSIX vs. DUSLX DFSIX vs. VOO DFSIX vs. DFAC DFSIX vs. SPFFX DFSIX vs. VRTTX DFSIX vs. QQQ DFSIX vs. VTSAX DFSIX vs. FITLX DFSIX vs. VFFSX

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.


0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
14.53%
12.53%
DFSIX (DFA U.S. Sustainability Core 1 Portfolio)
Benchmark (^GSPC)

Returns By Period

DFA U.S. Sustainability Core 1 Portfolio had a return of 26.69% year-to-date (YTD) and 35.36% in the last 12 months. Over the past 10 years, DFA U.S. Sustainability Core 1 Portfolio had an annualized return of 13.05%, outperforming the S&P 500 benchmark which had an annualized return of 11.21%.


DFSIX

YTD

26.69%

1M

4.61%

6M

14.53%

1Y

35.36%

5Y (annualized)

16.04%

10Y (annualized)

13.05%

^GSPC (Benchmark)

YTD

25.15%

1M

2.97%

6M

12.53%

1Y

31.00%

5Y (annualized)

13.95%

10Y (annualized)

11.21%

Monthly Returns

The table below presents the monthly returns of DFSIX, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20241.07%5.74%3.61%-5.20%4.80%2.37%3.32%1.69%2.01%-0.89%26.69%
20237.39%-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%
2020-0.84%-8.35%-14.65%13.57%6.06%2.19%5.53%6.80%-3.38%-1.24%12.83%4.65%21.25%
20199.24%3.71%0.77%4.88%-7.04%7.44%1.79%-3.00%2.35%2.60%4.06%2.72%32.52%
20185.49%-3.50%-1.97%0.43%2.60%0.84%3.26%4.14%-0.27%-8.29%1.64%-10.01%-6.72%
20171.79%3.47%0.16%1.07%0.48%1.20%1.93%-0.20%2.94%2.20%3.62%0.97%21.37%
2016-5.86%0.66%7.15%-0.00%1.85%-0.83%4.41%0.70%0.24%-2.33%6.03%1.76%13.93%
2015-3.24%6.27%-0.76%0.35%1.24%-1.28%0.71%-5.57%-3.30%7.35%0.72%-2.92%-1.22%
2014-3.48%4.74%0.74%-0.25%2.04%2.97%-2.49%4.30%-2.78%2.53%1.86%0.14%10.37%
20136.13%1.22%4.17%1.00%3.37%-1.14%6.01%-2.83%4.11%4.15%3.17%2.71%36.69%

Expense Ratio

DFSIX has an expense ratio of 0.18%, which is considered low compared to other funds.


Expense ratio chart for DFSIX: current value at 0.18% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.18%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current risk-adjusted rank of DFSIX is 86, placing it in the top 14% of mutual funds on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.


The Risk-Adjusted Performance Rank of DFSIX is 8686
Combined Rank
The Sharpe Ratio Rank of DFSIX is 8686
Sharpe Ratio Rank
The Sortino Ratio Rank of DFSIX is 8282
Sortino Ratio Rank
The Omega Ratio Rank of DFSIX is 8282
Omega Ratio Rank
The Calmar Ratio Rank of DFSIX is 9393
Calmar Ratio Rank
The Martin Ratio Rank of DFSIX is 8787
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

Risk-Adjusted Performance Indicators

The charts below present risk-adjusted performance metrics for DFA U.S. Sustainability Core 1 Portfolio (DFSIX) and compare them to a chosen benchmark (^GSPC). These indicators evaluate an investment's returns against its associated risks.


Sharpe ratio
The chart of Sharpe ratio for DFSIX, currently valued at 2.67, compared to the broader market-1.000.001.002.003.004.005.002.672.53
The chart of Sortino ratio for DFSIX, currently valued at 3.61, compared to the broader market0.005.0010.003.613.39
The chart of Omega ratio for DFSIX, currently valued at 1.49, compared to the broader market1.002.003.004.001.491.47
The chart of Calmar ratio for DFSIX, currently valued at 4.30, compared to the broader market0.005.0010.0015.0020.004.303.65
The chart of Martin ratio for DFSIX, currently valued at 17.09, compared to the broader market0.0020.0040.0060.0080.00100.0017.0916.21
DFSIX
^GSPC

The current DFA U.S. Sustainability Core 1 Portfolio Sharpe ratio is 2.67. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Use the chart below to compare the Sharpe ratio of DFA U.S. Sustainability Core 1 Portfolio with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.

Rolling 12-month Sharpe Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.67
2.53
DFSIX (DFA U.S. Sustainability Core 1 Portfolio)
Benchmark (^GSPC)

Dividends

Dividend History

DFA U.S. Sustainability Core 1 Portfolio provided a 1.02% dividend yield over the last twelve months, with an annual payout of $0.48 per share. The fund has been increasing its distributions for 2 consecutive years.


1.00%1.10%1.20%1.30%1.40%1.50%$0.00$0.10$0.20$0.30$0.40$0.5020132014201520162017201820192020202120222023
Dividends
Dividend Yield
PeriodTTM20232022202120202019201820172016201520142013
Dividend$0.48$0.45$0.41$0.35$0.36$0.30$0.26$0.30$0.27$0.25$0.23$0.19

Dividend yield

1.02%1.21%1.35%0.95%1.19%1.18%1.34%1.43%1.49%1.55%1.36%1.23%

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.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024$0.00$0.00$0.12$0.00$0.00$0.11$0.00$0.00$0.12$0.00$0.00$0.35
2023$0.00$0.00$0.11$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$0.08$0.35
2020$0.00$0.00$0.08$0.00$0.00$0.08$0.00$0.00$0.08$0.00$0.00$0.12$0.36
2019$0.00$0.00$0.07$0.00$0.00$0.08$0.00$0.00$0.08$0.00$0.00$0.07$0.30
2018$0.00$0.00$0.04$0.00$0.00$0.07$0.00$0.00$0.08$0.00$0.00$0.07$0.26
2017$0.00$0.00$0.06$0.00$0.00$0.07$0.00$0.00$0.07$0.00$0.00$0.10$0.30
2016$0.00$0.00$0.07$0.00$0.00$0.06$0.00$0.00$0.05$0.00$0.00$0.08$0.27
2015$0.00$0.00$0.05$0.00$0.00$0.06$0.00$0.00$0.06$0.00$0.00$0.08$0.25
2014$0.00$0.00$0.04$0.00$0.00$0.06$0.00$0.00$0.06$0.00$0.00$0.08$0.23
2013$0.03$0.00$0.00$0.05$0.00$0.00$0.05$0.00$0.00$0.06$0.19

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.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.42%
-0.53%
DFSIX (DFA U.S. Sustainability Core 1 Portfolio)
Benchmark (^GSPC)

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 53.65%, occurring on Mar 9, 2009. Recovery took 467 trading sessions.

The current DFA U.S. Sustainability Core 1 Portfolio drawdown is 0.42%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-53.65%May 20, 2008201Mar 9, 2009467Jan 12, 2011668
-35.68%Feb 20, 202023Mar 23, 202099Aug 12, 2020122
-25.16%Jan 5, 2022186Sep 30, 2022302Dec 13, 2023488
-22.84%May 2, 2011108Oct 3, 2011100Feb 27, 2012208
-22.03%Sep 21, 201865Dec 24, 2018129Jul 1, 2019194

Volatility

Volatility Chart

The current DFA U.S. Sustainability Core 1 Portfolio volatility is 4.56%, 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.


2.00%3.00%4.00%5.00%6.00%7.00%JuneJulyAugustSeptemberOctoberNovember
4.56%
3.97%
DFSIX (DFA U.S. Sustainability Core 1 Portfolio)
Benchmark (^GSPC)