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DFFVX vs. VBR
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

DFFVX vs. VBR - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in DFA U.S. Targeted Value Portfolio (DFFVX) and Vanguard Small-Cap Value ETF (VBR). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
12.54%
14.06%
DFFVX
VBR

Returns By Period

In the year-to-date period, DFFVX achieves a 15.67% return, which is significantly lower than VBR's 19.13% return. Both investments have delivered pretty close results over the past 10 years, with DFFVX having a 9.74% annualized return and VBR not far behind at 9.41%.


DFFVX

YTD

15.67%

1M

7.23%

6M

13.59%

1Y

29.94%

5Y (annualized)

14.83%

10Y (annualized)

9.74%

VBR

YTD

19.13%

1M

5.18%

6M

15.07%

1Y

32.19%

5Y (annualized)

12.09%

10Y (annualized)

9.41%

Key characteristics


DFFVXVBR
Sharpe Ratio1.531.98
Sortino Ratio2.272.80
Omega Ratio1.281.35
Calmar Ratio3.094.00
Martin Ratio8.1711.06
Ulcer Index3.74%2.98%
Daily Std Dev20.02%16.65%
Max Drawdown-64.21%-62.01%
Current Drawdown-1.41%-1.25%

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DFFVX vs. VBR - Expense Ratio Comparison

DFFVX has a 0.29% expense ratio, which is higher than VBR's 0.07% expense ratio.


DFFVX
DFA U.S. Targeted Value Portfolio
Expense ratio chart for DFFVX: current value at 0.29% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.29%
Expense ratio chart for VBR: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%

Correlation

-0.50.00.51.01.0

The correlation between DFFVX and VBR is 0.97, 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.

Risk-Adjusted Performance

DFFVX vs. VBR - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for DFA U.S. Targeted Value Portfolio (DFFVX) and Vanguard Small-Cap Value ETF (VBR). 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 DFFVX, currently valued at 1.53, compared to the broader market-1.000.001.002.003.004.005.001.531.98
The chart of Sortino ratio for DFFVX, currently valued at 2.27, compared to the broader market0.005.0010.002.272.80
The chart of Omega ratio for DFFVX, currently valued at 1.28, compared to the broader market1.002.003.004.001.281.35
The chart of Calmar ratio for DFFVX, currently valued at 3.09, compared to the broader market0.005.0010.0015.0020.0025.003.094.00
The chart of Martin ratio for DFFVX, currently valued at 8.17, compared to the broader market0.0020.0040.0060.0080.00100.008.1711.06
DFFVX
VBR

The current DFFVX Sharpe Ratio is 1.53, which is comparable to the VBR Sharpe Ratio of 1.98. The chart below compares the historical Sharpe Ratios of DFFVX and VBR, 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 Ratio0.501.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
1.53
1.98
DFFVX
VBR

Dividends

DFFVX vs. VBR - Dividend Comparison

DFFVX's dividend yield for the trailing twelve months is around 1.33%, less than VBR's 1.89% yield.


TTM20232022202120202019201820172016201520142013
DFFVX
DFA U.S. Targeted Value Portfolio
1.33%1.44%1.38%1.41%1.52%1.35%1.24%1.20%1.00%1.36%0.97%0.64%
VBR
Vanguard Small-Cap Value ETF
1.89%2.12%2.03%1.75%1.68%2.06%2.35%1.79%1.77%1.99%1.77%1.87%

Drawdowns

DFFVX vs. VBR - Drawdown Comparison

The maximum DFFVX drawdown since its inception was -64.21%, roughly equal to the maximum VBR drawdown of -62.01%. Use the drawdown chart below to compare losses from any high point for DFFVX and VBR. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.41%
-1.25%
DFFVX
VBR

Volatility

DFFVX vs. VBR - Volatility Comparison

DFA U.S. Targeted Value Portfolio (DFFVX) has a higher volatility of 7.81% compared to Vanguard Small-Cap Value ETF (VBR) at 5.73%. This indicates that DFFVX's price experiences larger fluctuations and is considered to be riskier than VBR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%9.00%JuneJulyAugustSeptemberOctoberNovember
7.81%
5.73%
DFFVX
VBR