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DFAC vs. DFAT
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between DFAC and DFAT is 0.90, 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.


-0.50.00.51.00.9

Performance

DFAC vs. DFAT - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Dimensional U.S. Core Equity 2 ETF (DFAC) and Dimensional U.S. Targeted Value ETF (DFAT). The values are adjusted to include any dividend payments, if applicable.

20.00%25.00%30.00%35.00%40.00%JulyAugustSeptemberOctoberNovemberDecember
36.43%
27.45%
DFAC
DFAT

Key characteristics

Sharpe Ratio

DFAC:

1.70

DFAT:

0.46

Sortino Ratio

DFAC:

2.34

DFAT:

0.79

Omega Ratio

DFAC:

1.32

DFAT:

1.10

Calmar Ratio

DFAC:

2.66

DFAT:

0.91

Martin Ratio

DFAC:

10.34

DFAT:

2.20

Ulcer Index

DFAC:

2.13%

DFAT:

4.05%

Daily Std Dev

DFAC:

12.94%

DFAT:

19.61%

Max Drawdown

DFAC:

-23.12%

DFAT:

-20.01%

Current Drawdown

DFAC:

-4.86%

DFAT:

-9.14%

Returns By Period

In the year-to-date period, DFAC achieves a 20.07% return, which is significantly higher than DFAT's 7.03% return.


DFAC

YTD

20.07%

1M

-1.78%

6M

8.31%

1Y

20.69%

5Y*

N/A

10Y*

N/A

DFAT

YTD

7.03%

1M

-4.71%

6M

8.15%

1Y

7.27%

5Y*

N/A

10Y*

N/A

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DFAC vs. DFAT - Expense Ratio Comparison

DFAC has a 0.19% expense ratio, which is lower than DFAT's 0.34% expense ratio.


DFAT
Dimensional U.S. Targeted Value ETF
Expense ratio chart for DFAT: current value at 0.34% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.34%
Expense ratio chart for DFAC: current value at 0.19% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.19%

Risk-Adjusted Performance

DFAC vs. DFAT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Dimensional U.S. Core Equity 2 ETF (DFAC) and Dimensional U.S. Targeted Value ETF (DFAT). 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.


Sharpe ratio
The chart of Sharpe ratio for DFAC, currently valued at 1.70, compared to the broader market0.002.004.001.700.46
The chart of Sortino ratio for DFAC, currently valued at 2.34, compared to the broader market-2.000.002.004.006.008.0010.002.340.79
The chart of Omega ratio for DFAC, currently valued at 1.32, compared to the broader market0.501.001.502.002.503.001.321.10
The chart of Calmar ratio for DFAC, currently valued at 2.66, compared to the broader market0.005.0010.0015.002.660.91
The chart of Martin ratio for DFAC, currently valued at 10.34, compared to the broader market0.0020.0040.0060.0080.00100.0010.342.20
DFAC
DFAT

The current DFAC Sharpe Ratio is 1.70, which is higher than the DFAT Sharpe Ratio of 0.46. The chart below compares the historical Sharpe Ratios of DFAC and DFAT, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.000.501.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
1.70
0.46
DFAC
DFAT

Dividends

DFAC vs. DFAT - Dividend Comparison

DFAC's dividend yield for the trailing twelve months is around 0.74%, less than DFAT's 0.93% yield.


TTM202320222021
DFAC
Dimensional U.S. Core Equity 2 ETF
0.74%1.20%1.50%0.88%
DFAT
Dimensional U.S. Targeted Value ETF
0.93%1.34%1.34%1.13%

Drawdowns

DFAC vs. DFAT - Drawdown Comparison

The maximum DFAC drawdown since its inception was -23.12%, which is greater than DFAT's maximum drawdown of -20.01%. Use the drawdown chart below to compare losses from any high point for DFAC and DFAT. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-4.86%
-9.14%
DFAC
DFAT

Volatility

DFAC vs. DFAT - Volatility Comparison

The current volatility for Dimensional U.S. Core Equity 2 ETF (DFAC) is 4.00%, while Dimensional U.S. Targeted Value ETF (DFAT) has a volatility of 5.70%. This indicates that DFAC experiences smaller price fluctuations and is considered to be less risky than DFAT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
4.00%
5.70%
DFAC
DFAT
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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