DAABX vs. DFUSX

Last updated Jun 24, 2026

DAABX (DFA U.S. Sustainability Targeted Value Portfolio) and DFUSX (DFA U.S. Large Company Portfolio) are both mutual funds - DAABX is a Small Cap Value Equities fund managed by Dimensional, while DFUSX is a Large Cap Blend Equities fund tracking the S&P 500 Index. Over the past 5 years, DAABX returned 9.53%/yr vs 13.54%/yr for DFUSX. A 0.73 correlation means they provide meaningful diversification when combined. DAABX charges 0.36%/yr vs 0.08%/yr for DFUSX.

Performance

DAABX vs. DFUSX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in DFA U.S. Sustainability Targeted Value Portfolio (DAABX) and DFA U.S. Large Company Portfolio (DFUSX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, DAABX achieves a 14.61% return, which is significantly higher than DFUSX's 9.80% return.

DAABX

• 1D: 0.04%
• 1M: 3.70%
• YTD: 14.61%
• 6M: 12.81%
• 1Y: 31.03%
• 3Y*: 17.03%
• 5Y*: 9.53%
• 10Y*: —

DFUSX

• 1D: -0.36%
• 1M: 0.12%
• YTD: 9.80%
• 6M: 8.80%
• 1Y: 25.48%
• 3Y*: 21.34%
• 5Y*: 13.54%
• 10Y*: 15.66%

*Multi-year figures are annualized to reflect compound growth (CAGR)

DAABX vs. DFUSX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
DAABX DFA U.S. Sustainability Targeted Value Portfolio	14.61%	9.62%	9.07%	18.81%	-8.37%	31.44%	44.33%
DFUSX DFA U.S. Large Company Portfolio	9.80%	17.76%	24.91%	26.28%	-18.14%	28.53%	21.54%

Correlation

The correlation between DAABX and DFUSX is 0.64, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.64
Correlation (3Y) Calculated over the trailing 3-year period	0.69
Correlation (5Y) Calculated over the trailing 5-year period	0.76
Correlation (All Time) Calculated using the full available price history since Jul 2, 2020	0.73

The correlation between DAABX and DFUSX shifts across timeframes, from 0.64 (1 year) to 0.76 (5 years), reflecting how their relationship changes across market environments.

Return for Risk

DAABX vs. DFUSX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

DAABX

DAABX Risk / Return Rank: 49
DAABX Sharpe Ratio Rank: 47
DAABX Sortino Ratio Rank: 51
DAABX Omega Ratio Rank: 44
DAABX Calmar Ratio Rank: 55
DAABX Martin Ratio Rank: 47

DFUSX

DFUSX Risk / Return Rank: 68
DFUSX Sharpe Ratio Rank: 68
DFUSX Sortino Ratio Rank: 64
DFUSX Omega Ratio Rank: 62
DFUSX Calmar Ratio Rank: 69
DFUSX Martin Ratio Rank: 79

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

DAABX vs. DFUSX - 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 U.S. Large Company Portfolio (DFUSX). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	DAABX	DFUSX	Difference
Sharpe ratio: Return per unit of total volatility	1.86	2.22	-0.36
Sortino ratio: Return per unit of downside risk	2.77	3.04	-0.27
Omega ratio: Gain probability vs. loss probability	1.33	1.40	-0.07
Calmar ratio: Return relative to maximum drawdown	2.72	3.05	-0.32
Martin ratio: Return relative to average drawdown	9.25	13.76	-4.52

DAABX vs. DFUSX - Sharpe Ratio Comparison

The current DAABX Sharpe Ratio is 1.86, which is comparable to the DFUSX Sharpe Ratio of 2.22. The chart below compares the historical Sharpe Ratios of DAABX and DFUSX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

DAABX vs. DFUSX - Drawdown Comparison

The maximum DAABX drawdown since its inception was -26.11%, smaller than the maximum DFUSX drawdown of -54.96%. Use the drawdown chart below to compare losses from any high point for DAABX and DFUSX.

Drawdown Indicators

	DAABX	DFUSX	Difference
Max Drawdown Largest peak-to-trough decline	-26.11%	-54.96%	+28.85%
Max Drawdown (1Y) Largest decline over 1 year	-12.13%	-8.88%	-3.25%
Max Drawdown (3Y) Largest decline over 3 years	-26.11%	-18.76%	-7.35%
Max Drawdown (5Y) Largest decline over 5 years	-26.11%	-24.58%	-1.53%
Max Drawdown (10Y) Largest decline over 10 years	—	-33.79%	—
Current Drawdown Current decline from peak	-0.89%	-1.70%	+0.81%
Average Drawdown Average peak-to-trough decline	-5.93%	-10.58%	+4.65%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.56%	1.95%	+1.61%

Volatility

DAABX vs. DFUSX - Volatility Comparison

The current volatility for DFA U.S. Sustainability Targeted Value Portfolio (DAABX) is 4.28%, while DFA U.S. Large Company Portfolio (DFUSX) has a volatility of 4.72%. This indicates that DAABX experiences smaller price fluctuations and is considered to be less risky than DFUSX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	DAABX	DFUSX	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.28%	4.72%	-0.44%
Volatility (6M) Calculated over the trailing 6-month period	12.25%	9.87%	+2.38%
Volatility (1Y) Calculated over the trailing 1-year period	17.79%	12.23%	+5.56%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	21.43%	16.96%	+4.47%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	22.05%	18.12%	+3.93%

DAABX vs. DFUSX - Expense Ratio Comparison

DAABX has a 0.36% expense ratio, which is higher than DFUSX's 0.08% expense ratio.

Dividends

DAABX vs. DFUSX - Dividend Comparison

DAABX's dividend yield for the trailing twelve months is around 1.25%, more than DFUSX's 0.97% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
DAABX DFA U.S. Sustainability Targeted Value Portfolio	1.25%	1.06%	1.11%	1.82%	3.69%	5.30%	1.19%	0.00%	0.00%	0.00%	0.00%	0.00%
DFUSX DFA U.S. Large Company Portfolio	0.97%	1.04%	1.24%	4.17%	6.24%	6.57%	3.82%	2.74%	2.64%	1.56%	1.95%	2.87%

Frequently Asked Questions

Can I hold both DAABX and DFUSX in my portfolio?

DAABX and DFUSX have a correlation of 0.64, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, DAABX or DFUSX?

DFUSX has higher volatility (4.72%) compared to DAABX (4.28%). In terms of maximum drawdown, DAABX dropped -26.11% vs DFUSX's -54.96%.

Which has better risk-adjusted returns?

DFUSX currently has the higher Sharpe Ratio (2.22 vs 1.86), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.