DAABX vs. DFQTX
Compare and contrast key facts about DFA U.S. Sustainability Targeted Value Portfolio (DAABX) and DFA US Core Equity 2 Portfolio I (DFQTX).
DAABX is managed by Dimensional. It was launched on Oct 5, 2020. DFQTX is managed by Dimensional.
Performance
DAABX vs. DFQTX - Performance Comparison
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DAABX vs. DFQTX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
DAABX DFA U.S. Sustainability Targeted Value Portfolio | 1.59% | 9.62% | 9.07% | 18.81% | -8.37% | 31.44% | 44.33% |
DFQTX DFA US Core Equity 2 Portfolio I | -1.39% | 15.99% | 20.27% | 21.88% | -14.21% | 28.46% | 26.73% |
Returns By Period
In the year-to-date period, DAABX achieves a 1.59% return, which is significantly higher than DFQTX's -1.39% return.
DAABX
- 1D
- 2.51%
- 1M
- -5.98%
- YTD
- 1.59%
- 6M
- 4.42%
- 1Y
- 20.09%
- 3Y*
- 12.49%
- 5Y*
- 7.24%
- 10Y*
- —
DFQTX
- 1D
- 2.74%
- 1M
- -5.00%
- YTD
- -1.39%
- 6M
- 0.96%
- 1Y
- 18.95%
- 3Y*
- 16.80%
- 5Y*
- 10.55%
- 10Y*
- 12.92%
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DAABX vs. DFQTX - Expense Ratio Comparison
DAABX has a 0.36% expense ratio, which is higher than DFQTX's 0.19% expense ratio.
Return for Risk
DAABX vs. DFQTX — Risk / Return Rank
DAABX
DFQTX
DAABX vs. DFQTX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for DFA U.S. Sustainability Targeted Value Portfolio (DAABX) and DFA US Core Equity 2 Portfolio I (DFQTX). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
| DAABX | DFQTX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.90 | 1.08 | -0.18 |
Sortino ratioReturn per unit of downside risk | 1.41 | 1.63 | -0.22 |
Omega ratioGain probability vs. loss probability | 1.19 | 1.25 | -0.05 |
Calmar ratioReturn relative to maximum drawdown | 1.21 | 1.35 | -0.14 |
Martin ratioReturn relative to average drawdown | 4.12 | 6.35 | -2.23 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| DAABX | DFQTX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.90 | 1.08 | -0.18 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.34 | 0.62 | -0.29 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.71 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.78 | 0.48 | +0.31 |
Correlation
The correlation between DAABX and DFQTX is 0.88, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Dividends
DAABX vs. DFQTX - Dividend Comparison
DAABX's dividend yield for the trailing twelve months is around 1.41%, more than DFQTX's 1.09% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DAABX DFA U.S. Sustainability Targeted Value Portfolio | 1.41% | 1.06% | 1.11% | 1.82% | 3.69% | 5.30% | 1.19% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
DFQTX DFA US Core Equity 2 Portfolio I | 1.09% | 1.06% | 1.15% | 1.74% | 4.43% | 4.74% | 1.29% | 3.50% | 2.84% | 1.97% | 1.80% | 3.78% |
Drawdowns
DAABX vs. DFQTX - Drawdown Comparison
The maximum DAABX drawdown since its inception was -26.11%, smaller than the maximum DFQTX drawdown of -59.35%. Use the drawdown chart below to compare losses from any high point for DAABX and DFQTX.
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Drawdown Indicators
| DAABX | DFQTX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -26.11% | -59.35% | +33.24% |
Max Drawdown (1Y)Largest decline over 1 year | -14.44% | -12.73% | -1.71% |
Max Drawdown (5Y)Largest decline over 5 years | -26.11% | -22.64% | -3.47% |
Max Drawdown (10Y)Largest decline over 10 years | — | -37.21% | — |
Current DrawdownCurrent decline from peak | -8.94% | -5.96% | -2.98% |
Average DrawdownAverage peak-to-trough decline | -6.08% | -7.84% | +1.76% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 4.25% | 2.73% | +1.52% |
Volatility
DAABX vs. DFQTX - Volatility Comparison
DFA U.S. Sustainability Targeted Value Portfolio (DAABX) has a higher volatility of 6.01% compared to DFA US Core Equity 2 Portfolio I (DFQTX) at 5.24%. This indicates that DAABX's price experiences larger fluctuations and is considered to be riskier than DFQTX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| DAABX | DFQTX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 6.01% | 5.24% | +0.77% |
Volatility (6M)Calculated over the trailing 6-month period | 12.69% | 9.06% | +3.63% |
Volatility (1Y)Calculated over the trailing 1-year period | 22.80% | 18.23% | +4.57% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 21.53% | 17.04% | +4.49% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 22.24% | 18.27% | +3.97% |