DFFVX vs. VBR
Compare and contrast key facts about DFA U.S. Targeted Value Portfolio (DFFVX) and Vanguard Small-Cap Value ETF (VBR).
DFFVX is managed by Dimensional Fund Advisors LP. It was launched on Feb 23, 2000. VBR is a passively managed fund by Vanguard that tracks the performance of the MSCI US Small Cap Value Index. It was launched on Jan 26, 2004.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DFFVX or VBR.
Key characteristics
| DFFVX | VBR | |
|---|---|---|
| YTD Return | 15.26% | 18.67% |
| 1Y Return | 29.48% | 32.02% |
| 3Y Return (Ann) | 8.35% | 6.70% |
| 5Y Return (Ann) | 14.41% | 11.78% |
| 10Y Return (Ann) | 9.83% | 9.52% |
| Sharpe Ratio | 1.73 | 2.20 |
| Sortino Ratio | 2.57 | 3.13 |
| Omega Ratio | 1.31 | 1.39 |
| Calmar Ratio | 3.62 | 4.19 |
| Martin Ratio | 9.61 | 12.80 |
| Ulcer Index | 3.72% | 2.96% |
| Daily Std Dev | 20.61% | 17.18% |
| Max Drawdown | -64.21% | -62.01% |
| Current Drawdown | -1.76% | -1.64% |
Correlation
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.
Performance
DFFVX vs. VBR - Performance Comparison
In the year-to-date period, DFFVX achieves a 15.26% return, which is significantly lower than VBR's 18.67% return. Both investments have delivered pretty close results over the past 10 years, with DFFVX having a 9.83% annualized return and VBR not far behind at 9.52%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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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.
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.
Dividends
DFFVX vs. VBR - Dividend Comparison
DFFVX's dividend yield for the trailing twelve months is around 1.34%, less than VBR's 1.89% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DFFVX DFA U.S. Targeted Value Portfolio | 1.34% | 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.
Volatility
DFFVX vs. VBR - Volatility Comparison
DFA U.S. Targeted Value Portfolio (DFFVX) has a higher volatility of 8.07% compared to Vanguard Small-Cap Value ETF (VBR) at 5.82%. 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.