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DFALX vs. VGTSX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between DFALX and VGTSX is 0.96, 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.


-0.50.00.51.01.0

Performance

DFALX vs. VGTSX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in DFA Large Cap International Portfolio (DFALX) and Vanguard Total International Stock Index Fund Investor Shares (VGTSX). The values are adjusted to include any dividend payments, if applicable.

-4.00%-2.00%0.00%2.00%4.00%6.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
-2.41%
-2.13%
DFALX
VGTSX

Key characteristics

Sharpe Ratio

DFALX:

0.46

VGTSX:

0.50

Sortino Ratio

DFALX:

0.70

VGTSX:

0.77

Omega Ratio

DFALX:

1.09

VGTSX:

1.09

Calmar Ratio

DFALX:

0.58

VGTSX:

0.62

Martin Ratio

DFALX:

1.78

VGTSX:

2.04

Ulcer Index

DFALX:

3.21%

VGTSX:

3.02%

Daily Std Dev

DFALX:

12.55%

VGTSX:

12.19%

Max Drawdown

DFALX:

-59.59%

VGTSX:

-61.48%

Current Drawdown

DFALX:

-9.84%

VGTSX:

-9.87%

Returns By Period

The year-to-date returns for both investments are quite close, with DFALX having a 2.99% return and VGTSX slightly higher at 3.12%. Over the past 10 years, DFALX has outperformed VGTSX with an annualized return of 5.30%, while VGTSX has yielded a comparatively lower 4.71% annualized return.


DFALX

YTD

2.99%

1M

-2.50%

6M

-1.63%

1Y

4.06%

5Y*

5.28%

10Y*

5.30%

VGTSX

YTD

3.12%

1M

-3.13%

6M

-1.63%

1Y

4.58%

5Y*

3.92%

10Y*

4.71%

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DFALX vs. VGTSX - Expense Ratio Comparison

DFALX has a 0.18% expense ratio, which is higher than VGTSX's 0.17% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


DFALX
DFA Large Cap International Portfolio
Expense ratio chart for DFALX: current value at 0.18% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.18%
Expense ratio chart for VGTSX: current value at 0.17% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.17%

Risk-Adjusted Performance

DFALX vs. VGTSX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for DFA Large Cap International Portfolio (DFALX) and Vanguard Total International Stock Index Fund Investor Shares (VGTSX). 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 DFALX, currently valued at 0.46, compared to the broader market-1.000.001.002.003.004.000.460.50
The chart of Sortino ratio for DFALX, currently valued at 0.70, compared to the broader market-2.000.002.004.006.008.0010.000.700.77
The chart of Omega ratio for DFALX, currently valued at 1.09, compared to the broader market0.501.001.502.002.503.003.501.091.09
The chart of Calmar ratio for DFALX, currently valued at 0.58, compared to the broader market0.002.004.006.008.0010.0012.0014.000.580.62
The chart of Martin ratio for DFALX, currently valued at 1.78, compared to the broader market0.0020.0040.0060.001.782.04
DFALX
VGTSX

The current DFALX Sharpe Ratio is 0.46, which is comparable to the VGTSX Sharpe Ratio of 0.50. The chart below compares the historical Sharpe Ratios of DFALX and VGTSX, 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 Ratio0.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
0.46
0.50
DFALX
VGTSX

Dividends

DFALX vs. VGTSX - Dividend Comparison

DFALX's dividend yield for the trailing twelve months is around 2.29%, more than VGTSX's 1.59% yield.


TTM20232022202120202019201820172016201520142013
DFALX
DFA Large Cap International Portfolio
2.29%3.24%2.85%3.00%1.88%2.88%3.07%2.55%2.89%2.95%3.54%2.53%
VGTSX
Vanguard Total International Stock Index Fund Investor Shares
1.59%3.15%2.98%2.99%2.06%2.98%3.09%2.69%2.86%2.77%3.32%2.63%

Drawdowns

DFALX vs. VGTSX - Drawdown Comparison

The maximum DFALX drawdown since its inception was -59.59%, roughly equal to the maximum VGTSX drawdown of -61.48%. Use the drawdown chart below to compare losses from any high point for DFALX and VGTSX. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-9.84%
-9.87%
DFALX
VGTSX

Volatility

DFALX vs. VGTSX - Volatility Comparison

DFA Large Cap International Portfolio (DFALX) has a higher volatility of 3.69% compared to Vanguard Total International Stock Index Fund Investor Shares (VGTSX) at 3.37%. This indicates that DFALX's price experiences larger fluctuations and is considered to be riskier than VGTSX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
3.69%
3.37%
DFALX
VGTSX
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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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