DAABX vs. RYSEX
Compare and contrast key facts about DFA U.S. Sustainability Targeted Value Portfolio (DAABX) and Royce Special Equity Fund (RYSEX).
DAABX is managed by Dimensional. It was launched on Oct 5, 2020. RYSEX is managed by Royce Investment Partners. It was launched on May 1, 1998.
Performance
DAABX vs. RYSEX - Performance Comparison
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DAABX vs. RYSEX - 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% |
RYSEX Royce Special Equity Fund | 4.13% | 3.66% | 2.93% | 12.96% | -6.60% | 22.24% | 20.68% |
Returns By Period
In the year-to-date period, DAABX achieves a 1.59% return, which is significantly lower than RYSEX's 4.13% return.
DAABX
- 1D
- 2.51%
- 1M
- -5.98%
- YTD
- 1.59%
- 6M
- 4.42%
- 1Y
- 20.09%
- 3Y*
- 12.49%
- 5Y*
- 7.24%
- 10Y*
- —
RYSEX
- 1D
- 0.76%
- 1M
- -3.12%
- YTD
- 4.13%
- 6M
- 6.06%
- 1Y
- 17.87%
- 3Y*
- 6.67%
- 5Y*
- 4.40%
- 10Y*
- 7.66%
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DAABX vs. RYSEX - Expense Ratio Comparison
DAABX has a 0.36% expense ratio, which is lower than RYSEX's 1.20% expense ratio.
Return for Risk
DAABX vs. RYSEX — Risk / Return Rank
DAABX
RYSEX
DAABX vs. RYSEX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for DFA U.S. Sustainability Targeted Value Portfolio (DAABX) and Royce Special Equity Fund (RYSEX). 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 | RYSEX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.90 | 1.03 | -0.13 |
Sortino ratioReturn per unit of downside risk | 1.41 | 1.61 | -0.20 |
Omega ratioGain probability vs. loss probability | 1.19 | 1.20 | -0.01 |
Calmar ratioReturn relative to maximum drawdown | 1.21 | 1.65 | -0.44 |
Martin ratioReturn relative to average drawdown | 4.12 | 5.46 | -1.34 |
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 | RYSEX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.90 | 1.03 | -0.13 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.34 | 0.27 | +0.07 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.44 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.78 | 0.51 | +0.27 |
Correlation
The correlation between DAABX and RYSEX is 0.92, 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. RYSEX - Dividend Comparison
DAABX's dividend yield for the trailing twelve months is around 1.41%, less than RYSEX's 11.87% 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% |
RYSEX Royce Special Equity Fund | 11.87% | 12.36% | 16.35% | 5.32% | 12.34% | 16.53% | 3.70% | 11.56% | 13.11% | 8.24% | 7.72% | 11.68% |
Drawdowns
DAABX vs. RYSEX - Drawdown Comparison
The maximum DAABX drawdown since its inception was -26.11%, smaller than the maximum RYSEX drawdown of -43.25%. Use the drawdown chart below to compare losses from any high point for DAABX and RYSEX.
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Drawdown Indicators
| DAABX | RYSEX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -26.11% | -43.25% | +17.14% |
Max Drawdown (1Y)Largest decline over 1 year | -14.44% | -10.97% | -3.47% |
Max Drawdown (5Y)Largest decline over 5 years | -26.11% | -23.03% | -3.08% |
Max Drawdown (10Y)Largest decline over 10 years | — | -32.13% | — |
Current DrawdownCurrent decline from peak | -8.94% | -5.62% | -3.32% |
Average DrawdownAverage peak-to-trough decline | -6.08% | -6.39% | +0.31% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 4.25% | 3.32% | +0.93% |
Volatility
DAABX vs. RYSEX - Volatility Comparison
DFA U.S. Sustainability Targeted Value Portfolio (DAABX) has a higher volatility of 6.01% compared to Royce Special Equity Fund (RYSEX) at 3.54%. This indicates that DAABX's price experiences larger fluctuations and is considered to be riskier than RYSEX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| DAABX | RYSEX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 6.01% | 3.54% | +2.47% |
Volatility (6M)Calculated over the trailing 6-month period | 12.69% | 9.66% | +3.03% |
Volatility (1Y)Calculated over the trailing 1-year period | 22.80% | 18.14% | +4.66% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 21.53% | 16.43% | +5.10% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 22.24% | 17.40% | +4.84% |