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DFA Two-Year Government Portfolio (DFYGX) Sortino Ratio: 2.21

Mutual Fund · Currency in USD · Last updated Jun 25, 2026

The fund seeks to maximize total returns from a universe of obligations of the U.S. government and its agencies maturing in three years or less from the date of settlement. It normally invests at least 80% of its net assets in government securities that mature within two years from the date of settlement. The fund may invest in futures contracts and options on futures contracts.

DFYGX's Sortino Ratio of 2.21 indicates that for each unit of downside volatility, it generates 2.21 units of excess return. The ratio is calculated using historical daily returns over the past 12 months (as of Jun 25, 2026).

Unlike other measures, Sortino only focuses on downside volatility (losses), making it particularly useful for investors more concerned about protecting against drawdowns than overall price swings.

DFYGX Sortino Ratio Rank

DFYGX Sortino Ratio Rank: 35.335
Below Average

DFYGX ranks above 35.3% of all investments in our database based on Sortino Ratio over the past 12 months, indicating below-average returns relative to downside risk taken. Securities are ranked from 0 (worst) to 100 (best).

What moves the rank

  • Strong returns with minimal downside volatility → Higher rank
  • Severe or frequent drawdowns → Lower rank
  • Upside volatility → No impact (Sortino doesn't penalize upside swings)

What you can do with this information

  • Returns may not adequately compensate for downside risk taken
  • Consider smaller allocation given below-average risk-adjusted profile
  • Explore higher-ranked investments with better downside protection
  • Assess whether downside exposure aligns with your portfolio goals

DFYGX Sortino Ratio Market Positioning

The chart shows DFYGX's Sortino Ratio relative to all mutual funds on our platform, with color zones indicating percentile rankings. Higher ratios indicate better downside-adjusted returns.

  • Red zone (bottom 25%): 1.74 or lower
  • Yellow zone (middle 50%): 1.74 to 3.04
  • Green zone (top 25%): 3.04 or higher
  • Top 1%: 8.92+
  • Median: 2.49 — half of all investments score higher

How it compares to other similar mutual funds

The table compares DFA Two-Year Government Portfolio's Sortino Ratio with other mutual funds in the Ultrashort Bond category across multiple time periods, showing how DFYGX's risk-adjusted performance compares to similar funds.

Data shows 1-, 5-, and 10-year periods, plus each fund's all-time average, as of Jun 25, 2026.

SymbolName1Y Sortino Ratio5Y Sortino Ratio10Y Sortino RatioAll Time Sortino Ratio
TMPFXTactical Multi-Purpose Fund37.61
NUSIXNavigator Ultra Short Term Bond Fund29.02
FHQFXFidelity Series Treasury Bill Index Fund28.60
PAIPXPIMCO Short Asset Investment Fund26.36
BUBSXBaird Ultra Short Bond Fund17.60
MUIIXMorgan Stanley Institutional Fund Trust Ultra-Short Income Portfolio16.53
TLDIXThornburg Ultra Short Income Fund15.01
PLUIXPacific Funds Ultra Short Income13.18
PTSHXPIMCO Short Term Fund12.09
CMGUXColumbia Ultra Short Term Bond Fund11.82
DFYGXDFA Two-Year Government Portfolio2.21

S&P 500 Index

How to choose period

Historical Sortino Ratio

The chart shows DFYGX's rolling Sortino ratio over time compared to your chosen benchmark. Rising trends indicate improving returns relative to downside risk, while declining trends may signal deteriorating risk-adjusted performance or increased volatility during market stress. Use multiple timeframes to distinguish short-term fluctuations from long-term patterns.

Identify market cycles by observing when DFYGX consistently outperforms (line above benchmark), underperforms (below benchmark), or aligns with the benchmark.

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