DAABX vs. VSMVX

Last updated Jun 5, 2026

DAABX (DFA U.S. Sustainability Targeted Value Portfolio) and VSMVX (Vanguard S&P Small-Cap 600 Value Index Fund Institutional Shares) are both Small Cap Value Equities funds. Over the past 5 years, DAABX returned 8.01%/yr vs 5.71%/yr for VSMVX. With a 0.97 correlation, they move nearly in lockstep. DAABX charges 0.36%/yr vs 0.08%/yr for VSMVX.

Performance

DAABX vs. VSMVX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in DFA U.S. Sustainability Targeted Value Portfolio (DAABX) and Vanguard S&P Small-Cap 600 Value Index Fund Institutional Shares (VSMVX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, DAABX achieves a 11.37% return, which is significantly lower than VSMVX's 15.25% return.

DAABX

• 1D: -0.80%
• 1M: 0.98%
• YTD: 11.37%
• 6M: 11.89%
• 1Y: 29.58%
• 3Y*: 15.96%
• 5Y*: 8.01%
• 10Y*: —

VSMVX

• 1D: -1.15%
• 1M: 1.16%
• YTD: 15.25%
• 6M: 15.26%
• 1Y: 37.71%
• 3Y*: 14.11%
• 5Y*: 5.71%
• 10Y*: 10.25%

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

DAABX vs. VSMVX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
DAABX DFA U.S. Sustainability Targeted Value Portfolio	11.37%	9.62%	9.07%	18.81%	-8.37%	31.44%	44.33%
VSMVX Vanguard S&P Small-Cap 600 Value Index Fund Institutional Shares	15.25%	6.38%	7.53%	14.85%	-11.12%	30.85%	38.01%

Correlation

The correlation between DAABX and VSMVX is 0.96 - these two move nearly in lockstep. At this level, holding both provides almost no diversification benefit. If you already own one, adding the other does little to reduce portfolio risk.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.96
Correlation (3Y) Calculated over the trailing 3-year period	0.97
Correlation (5Y) Calculated over the trailing 5-year period	0.98
Correlation (All Time) Calculated using the full available price history since Jul 6, 2020	0.97

The correlation between DAABX and VSMVX has been stable across timeframes, ranging from 0.96 to 0.98 - a consistent structural relationship.

Return for Risk

DAABX vs. VSMVX — Risk / Return Rank

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

DAABX

DAABX Risk / Return Rank: 37
DAABX Sharpe Ratio Rank: 34
DAABX Sortino Ratio Rank: 37
DAABX Omega Ratio Rank: 34
DAABX Calmar Ratio Rank: 42
DAABX Martin Ratio Rank: 38

VSMVX

VSMVX Risk / Return Rank: 59
VSMVX Sharpe Ratio Rank: 48
VSMVX Sortino Ratio Rank: 49
VSMVX Omega Ratio Rank: 43
VSMVX Calmar Ratio Rank: 85
VSMVX Martin Ratio Rank: 69

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. VSMVX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for DFA U.S. Sustainability Targeted Value Portfolio (DAABX) and Vanguard S&P Small-Cap 600 Value Index Fund Institutional Shares (VSMVX). 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	VSMVX	Difference
Sharpe ratio: Return per unit of total volatility	1.65	2.05	-0.40
Sortino ratio: Return per unit of downside risk	2.48	2.94	-0.46
Omega ratio: Gain probability vs. loss probability	1.29	1.35	-0.06
Calmar ratio: Return relative to maximum drawdown	2.40	4.02	-1.61
Martin ratio: Return relative to average drawdown	8.13	13.23	-5.10
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

DAABX vs. VSMVX - Sharpe Ratio Comparison

The current DAABX Sharpe Ratio is 1.65, which is comparable to the VSMVX Sharpe Ratio of 2.05. The chart below compares the historical Sharpe Ratios of DAABX and VSMVX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	DAABX	VSMVX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.65	2.05	-0.40
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.37	0.26	+0.11
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.43	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.85	0.50	+0.35

Drawdowns

DAABX vs. VSMVX - Drawdown Comparison

The maximum DAABX drawdown since its inception was -26.11%, smaller than the maximum VSMVX drawdown of -47.61%. Use the drawdown chart below to compare losses from any high point for DAABX and VSMVX.

Drawdown Indicators

	DAABX	VSMVX	Difference
Max Drawdown Largest peak-to-trough decline	-26.11%	-47.61%	+21.50%
Max Drawdown (1Y) Largest decline over 1 year	-12.13%	-9.33%	-2.80%
Max Drawdown (3Y) Largest decline over 3 years	-26.11%	-28.81%	+2.70%
Max Drawdown (5Y) Largest decline over 5 years	-26.11%	-28.81%	+2.70%
Max Drawdown (10Y) Largest decline over 10 years	—	-47.61%	—
Current Drawdown Current decline from peak	-0.80%	-1.15%	+0.35%
Average Drawdown Average peak-to-trough decline	-5.98%	-7.64%	+1.66%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.57%	2.83%	+0.74%

Volatility

DAABX vs. VSMVX - Volatility Comparison

DFA U.S. Sustainability Targeted Value Portfolio (DAABX) has a higher volatility of 4.86% compared to Vanguard S&P Small-Cap 600 Value Index Fund Institutional Shares (VSMVX) at 4.44%. This indicates that DAABX's price experiences larger fluctuations and is considered to be riskier than VSMVX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	DAABX	VSMVX	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.86%	4.44%	+0.42%
Volatility (6M) Calculated over the trailing 6-month period	12.13%	11.58%	+0.55%
Volatility (1Y) Calculated over the trailing 1-year period	17.75%	18.34%	-0.59%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	21.48%	22.02%	-0.54%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	22.10%	24.13%	-2.03%

DAABX vs. VSMVX - Expense Ratio Comparison

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

Dividends

DAABX vs. VSMVX - Dividend Comparison

DAABX's dividend yield for the trailing twelve months is around 1.29%, less than VSMVX's 1.65% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
DAABX DFA U.S. Sustainability Targeted Value Portfolio	1.29%	1.06%	1.11%	1.82%	3.69%	5.30%	1.19%	0.00%	0.00%	0.00%	0.00%	0.00%
VSMVX Vanguard S&P Small-Cap 600 Value Index Fund Institutional Shares	1.65%	1.45%	1.85%	1.92%	1.88%	1.66%	1.46%	1.65%	1.89%	1.55%	1.26%	1.42%

Frequently Asked Questions

Can I hold both DAABX and VSMVX in my portfolio?

With a correlation of 0.96, DAABX and VSMVX move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

Which is riskier, DAABX or VSMVX?

DAABX has higher volatility (4.86%) compared to VSMVX (4.44%). In terms of maximum drawdown, DAABX dropped -26.11% vs VSMVX's -47.61%.

Which has better risk-adjusted returns?

VSMVX currently has the higher Sharpe Ratio (2.05 vs 1.65), 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.