DAABX vs. VBR
Compare and contrast key facts about DFA U.S. Sustainability Targeted Value Portfolio (DAABX) and Vanguard Small-Cap Value ETF (VBR).
DAABX is managed by Dimensional Fund Advisors. It was launched on Oct 5, 2020. VBR is a passively managed fund by Vanguard that tracks the performance of the MSCI US Small Cap Value Index. It was launched on Jan 26, 2004.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DAABX or VBR.
Key characteristics
| DAABX | VBR | |
|---|---|---|
| YTD Return | 15.61% | 19.15% |
| 1Y Return | 37.95% | 38.40% |
| 3Y Return (Ann) | 7.04% | 6.86% |
| Sharpe Ratio | 1.81 | 2.22 |
| Sortino Ratio | 2.68 | 3.15 |
| Omega Ratio | 1.32 | 1.39 |
| Calmar Ratio | 2.97 | 3.11 |
| Martin Ratio | 10.11 | 12.90 |
| Ulcer Index | 3.72% | 2.95% |
| Daily Std Dev | 20.75% | 17.17% |
| Max Drawdown | -20.93% | -62.01% |
| Current Drawdown | -1.18% | -1.23% |
Correlation
The correlation between DAABX and VBR is 0.98, 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. VBR - Performance Comparison
In the year-to-date period, DAABX achieves a 15.61% return, which is significantly lower than VBR's 19.15% 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. VBR - Expense Ratio Comparison
DAABX has a 0.36% expense ratio, which is higher than VBR's 0.07% expense ratio.
Risk-Adjusted Performance
DAABX vs. VBR - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for DFA U.S. Sustainability Targeted Value Portfolio (DAABX) and Vanguard Small-Cap Value ETF (VBR). 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. VBR - Dividend Comparison
DAABX's dividend yield for the trailing twelve months is around 1.07%, less than VBR's 1.89% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
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% | 0.00% | 0.00% |
VBR Vanguard Small-Cap Value ETF | 1.89% | 2.12% | 2.03% | 1.75% | 1.68% | 2.06% | 2.35% | 1.79% | 1.77% | 1.99% | 1.77% | 1.87% |
Drawdowns
DAABX vs. VBR - Drawdown Comparison
The maximum DAABX drawdown since its inception was -20.93%, smaller than the maximum VBR drawdown of -62.01%. Use the drawdown chart below to compare losses from any high point for DAABX and VBR. For additional features, visit the drawdowns tool.
Volatility
DAABX vs. VBR - Volatility Comparison
DFA U.S. Sustainability Targeted Value Portfolio (DAABX) has a higher volatility of 7.58% compared to Vanguard Small-Cap Value ETF (VBR) at 5.78%. This indicates that DAABX's price experiences larger fluctuations and is considered to be riskier than VBR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.