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

Key characteristics


DFALXVTIAX
YTD Return7.96%8.83%
1Y Return19.17%19.46%
3Y Return (Ann)3.00%1.10%
5Y Return (Ann)6.87%5.90%
10Y Return (Ann)5.60%5.11%
Sharpe Ratio1.581.64
Sortino Ratio2.222.31
Omega Ratio1.281.29
Calmar Ratio2.251.39
Martin Ratio8.839.30
Ulcer Index2.25%2.15%
Daily Std Dev12.56%12.19%
Max Drawdown-59.59%-35.83%
Current Drawdown-5.50%-4.93%

Correlation

-0.50.00.51.01.0

The correlation between DFALX and VTIAX 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

DFALX vs. VTIAX - Performance Comparison

In the year-to-date period, DFALX achieves a 7.96% return, which is significantly lower than VTIAX's 8.83% return. Over the past 10 years, DFALX has outperformed VTIAX with an annualized return of 5.60%, while VTIAX has yielded a comparatively lower 5.11% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-4.00%-2.00%0.00%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
1.38%
2.79%
DFALX
VTIAX

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DFALX vs. VTIAX - Expense Ratio Comparison

DFALX has a 0.18% expense ratio, which is higher than VTIAX's 0.11% 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 VTIAX: current value at 0.11% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.11%

Risk-Adjusted Performance

DFALX vs. VTIAX - 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 Admiral Shares (VTIAX). 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.


DFALX
Sharpe ratio
The chart of Sharpe ratio for DFALX, currently valued at 1.58, compared to the broader market0.002.004.001.58
Sortino ratio
The chart of Sortino ratio for DFALX, currently valued at 2.22, compared to the broader market0.005.0010.002.22
Omega ratio
The chart of Omega ratio for DFALX, currently valued at 1.28, compared to the broader market1.002.003.004.001.28
Calmar ratio
The chart of Calmar ratio for DFALX, currently valued at 2.25, compared to the broader market0.005.0010.0015.0020.0025.002.25
Martin ratio
The chart of Martin ratio for DFALX, currently valued at 8.83, compared to the broader market0.0020.0040.0060.0080.00100.008.83
VTIAX
Sharpe ratio
The chart of Sharpe ratio for VTIAX, currently valued at 1.64, compared to the broader market0.002.004.001.64
Sortino ratio
The chart of Sortino ratio for VTIAX, currently valued at 2.31, compared to the broader market0.005.0010.002.31
Omega ratio
The chart of Omega ratio for VTIAX, currently valued at 1.29, compared to the broader market1.002.003.004.001.29
Calmar ratio
The chart of Calmar ratio for VTIAX, currently valued at 1.39, compared to the broader market0.005.0010.0015.0020.0025.001.39
Martin ratio
The chart of Martin ratio for VTIAX, currently valued at 9.30, compared to the broader market0.0020.0040.0060.0080.00100.009.30

DFALX vs. VTIAX - Sharpe Ratio Comparison

The current DFALX Sharpe Ratio is 1.58, which is comparable to the VTIAX Sharpe Ratio of 1.64. The chart below compares the historical Sharpe Ratios of DFALX and VTIAX, 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 Ratio0.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
1.58
1.64
DFALX
VTIAX

Dividends

DFALX vs. VTIAX - Dividend Comparison

DFALX's dividend yield for the trailing twelve months is around 3.20%, more than VTIAX's 2.91% yield.


TTM20232022202120202019201820172016201520142013
DFALX
DFA Large Cap International Portfolio
3.20%3.24%2.85%3.00%1.88%2.88%3.07%2.55%2.89%2.95%3.54%2.53%
VTIAX
Vanguard Total International Stock Index Fund Admiral Shares
2.91%3.21%3.05%3.05%2.10%3.04%3.17%2.74%2.93%2.84%3.40%2.71%

Drawdowns

DFALX vs. VTIAX - Drawdown Comparison

The maximum DFALX drawdown since its inception was -59.59%, which is greater than VTIAX's maximum drawdown of -35.83%. Use the drawdown chart below to compare losses from any high point for DFALX and VTIAX. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-5.50%
-4.93%
DFALX
VTIAX

Volatility

DFALX vs. VTIAX - Volatility Comparison

DFA Large Cap International Portfolio (DFALX) and Vanguard Total International Stock Index Fund Admiral Shares (VTIAX) have volatilities of 3.62% and 3.66%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.62%
3.66%
DFALX
VTIAX