DAABX vs. PMJIX
Compare and contrast key facts about DFA U.S. Sustainability Targeted Value Portfolio (DAABX) and PIMCO RAE US Small Fund (PMJIX).
DAABX is managed by Dimensional Fund Advisors. It was launched on Oct 5, 2020. PMJIX is managed by PIMCO. It was launched on Jun 5, 2015.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DAABX or PMJIX.
Key characteristics
| DAABX | PMJIX | |
|---|---|---|
| YTD Return | 15.61% | 26.48% |
| 1Y Return | 37.95% | 46.30% |
| 3Y Return (Ann) | 7.04% | -8.60% |
| Sharpe Ratio | 1.81 | 2.45 |
| Sortino Ratio | 2.68 | 3.42 |
| Omega Ratio | 1.32 | 1.42 |
| Calmar Ratio | 2.97 | 0.94 |
| Martin Ratio | 10.11 | 16.19 |
| Ulcer Index | 3.72% | 2.84% |
| Daily Std Dev | 20.75% | 18.77% |
| Max Drawdown | -20.93% | -53.73% |
| Current Drawdown | -1.18% | -24.96% |
Correlation
The correlation between DAABX and PMJIX is 0.93, 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.
Performance
DAABX vs. PMJIX - Performance Comparison
In the year-to-date period, DAABX achieves a 15.61% return, which is significantly lower than PMJIX's 26.48% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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DAABX vs. PMJIX - Expense Ratio Comparison
DAABX has a 0.36% expense ratio, which is lower than PMJIX's 0.50% expense ratio.
Risk-Adjusted Performance
DAABX vs. PMJIX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for DFA U.S. Sustainability Targeted Value Portfolio (DAABX) and PIMCO RAE US Small Fund (PMJIX). 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.
Dividends
DAABX vs. PMJIX - Dividend Comparison
DAABX's dividend yield for the trailing twelve months is around 1.07%, less than PMJIX's 1.19% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|
DAABX DFA U.S. Sustainability Targeted Value Portfolio | 1.07% | 1.21% | 1.27% | 1.07% | 0.80% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
PMJIX PIMCO RAE US Small Fund | 1.19% | 1.51% | 1.41% | 2.08% | 1.56% | 1.55% | 0.92% | 1.43% | 1.24% | 0.41% |
Drawdowns
DAABX vs. PMJIX - Drawdown Comparison
The maximum DAABX drawdown since its inception was -20.93%, smaller than the maximum PMJIX drawdown of -53.73%. Use the drawdown chart below to compare losses from any high point for DAABX and PMJIX. For additional features, visit the drawdowns tool.
Volatility
DAABX vs. PMJIX - Volatility Comparison
DFA U.S. Sustainability Targeted Value Portfolio (DAABX) has a higher volatility of 7.58% compared to PIMCO RAE US Small Fund (PMJIX) at 6.58%. This indicates that DAABX's price experiences larger fluctuations and is considered to be riskier than PMJIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.