DCMSX vs. DFEOX
Compare and contrast key facts about DFA Commodity Strategy Portfolio (DCMSX) and DFA US Core Equity 1 Portfolio I (DFEOX).
DCMSX is managed by Dimensional. It was launched on Nov 8, 2010. DFEOX is managed by Dimensional. It was launched on Sep 15, 2005.
Performance
DCMSX vs. DFEOX - Performance Comparison
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DCMSX vs. DFEOX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
DCMSX DFA Commodity Strategy Portfolio | 25.97% | 15.15% | 5.90% | -9.14% | 11.36% | 33.54% | -1.78% | 7.96% | -11.22% | 2.73% |
DFEOX DFA US Core Equity 1 Portfolio I | -4.34% | 16.00% | 21.35% | 22.97% | -14.99% | 27.51% | 16.44% | 30.20% | -7.81% | 20.26% |
Returns By Period
In the year-to-date period, DCMSX achieves a 25.97% return, which is significantly higher than DFEOX's -4.34% return. Over the past 10 years, DCMSX has underperformed DFEOX with an annualized return of 8.45%, while DFEOX has yielded a comparatively higher 12.94% annualized return.
DCMSX
- 1D
- 0.47%
- 1M
- 9.69%
- YTD
- 25.97%
- 6M
- 32.29%
- 1Y
- 33.46%
- 3Y*
- 13.72%
- 5Y*
- 14.21%
- 10Y*
- 8.45%
DFEOX
- 1D
- -0.49%
- 1M
- -7.30%
- YTD
- -4.34%
- 6M
- -1.81%
- 1Y
- 15.78%
- 3Y*
- 16.13%
- 5Y*
- 10.46%
- 10Y*
- 12.94%
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DCMSX vs. DFEOX - Expense Ratio Comparison
DCMSX has a 0.31% expense ratio, which is higher than DFEOX's 0.14% expense ratio.
Return for Risk
DCMSX vs. DFEOX — Risk / Return Rank
DCMSX
DFEOX
DCMSX vs. DFEOX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for DFA Commodity Strategy Portfolio (DCMSX) and DFA US Core Equity 1 Portfolio I (DFEOX). 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.
| DCMSX | DFEOX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 2.10 | 0.93 | +1.17 |
Sortino ratioReturn per unit of downside risk | 2.71 | 1.43 | +1.28 |
Omega ratioGain probability vs. loss probability | 1.39 | 1.22 | +0.17 |
Calmar ratioReturn relative to maximum drawdown | 3.77 | 0.98 | +2.79 |
Martin ratioReturn relative to average drawdown | 10.61 | 4.74 | +5.87 |
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
| DCMSX | DFEOX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.10 | 0.93 | +1.17 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.88 | 0.62 | +0.26 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.59 | 0.72 | -0.14 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.10 | 0.51 | -0.41 |
Correlation
The correlation between DCMSX and DFEOX is 0.26, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Dividends
DCMSX vs. DFEOX - Dividend Comparison
DCMSX's dividend yield for the trailing twelve months is around 8.36%, more than DFEOX's 1.12% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DCMSX DFA Commodity Strategy Portfolio | 8.36% | 10.75% | 2.83% | 2.52% | 7.46% | 49.44% | 0.37% | 1.51% | 1.63% | 3.09% | 0.47% | 0.15% |
DFEOX DFA US Core Equity 1 Portfolio I | 1.12% | 1.06% | 1.13% | 1.43% | 4.08% | 3.69% | 1.36% | 3.02% | 2.37% | 1.61% | 1.61% | 2.98% |
Drawdowns
DCMSX vs. DFEOX - Drawdown Comparison
The maximum DCMSX drawdown since its inception was -60.94%, which is greater than DFEOX's maximum drawdown of -56.77%. Use the drawdown chart below to compare losses from any high point for DCMSX and DFEOX.
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Drawdown Indicators
| DCMSX | DFEOX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -60.94% | -56.77% | -4.17% |
Max Drawdown (1Y)Largest decline over 1 year | -9.24% | -12.58% | +3.34% |
Max Drawdown (5Y)Largest decline over 5 years | -27.93% | -22.86% | -5.07% |
Max Drawdown (10Y)Largest decline over 10 years | -32.52% | -36.55% | +4.03% |
Current DrawdownCurrent decline from peak | -0.21% | -8.28% | +8.07% |
Average DrawdownAverage peak-to-trough decline | -32.13% | -7.25% | -24.88% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.28% | 2.69% | +0.59% |
Volatility
DCMSX vs. DFEOX - Volatility Comparison
DFA Commodity Strategy Portfolio (DCMSX) has a higher volatility of 6.55% compared to DFA US Core Equity 1 Portfolio I (DFEOX) at 4.20%. This indicates that DCMSX's price experiences larger fluctuations and is considered to be riskier than DFEOX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| DCMSX | DFEOX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 6.55% | 4.20% | +2.35% |
Volatility (6M)Calculated over the trailing 6-month period | 13.13% | 8.49% | +4.64% |
Volatility (1Y)Calculated over the trailing 1-year period | 16.48% | 17.87% | -1.39% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.17% | 16.88% | -0.71% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 14.44% | 17.98% | -3.54% |