DFFVX vs. VMVAX
Compare and contrast key facts about DFA U.S. Targeted Value Portfolio (DFFVX) and Vanguard Mid-Cap Value Index Fund Admiral Shares (VMVAX).
DFFVX is managed by Dimensional Fund Advisors LP. It was launched on Feb 23, 2000. VMVAX is managed by Vanguard. It was launched on Sep 27, 2011.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DFFVX or VMVAX.
Performance
DFFVX vs. VMVAX - Performance Comparison
Returns By Period
In the year-to-date period, DFFVX achieves a 13.61% return, which is significantly lower than VMVAX's 19.50% return. Over the past 10 years, DFFVX has outperformed VMVAX with an annualized return of 9.64%, while VMVAX has yielded a comparatively lower 9.12% annualized return.
DFFVX
13.61%
2.93%
8.97%
27.23%
14.44%
9.64%
VMVAX
19.50%
-0.03%
11.04%
29.53%
10.59%
9.12%
Key characteristics
| DFFVX | VMVAX | |
|---|---|---|
| Sharpe Ratio | 1.45 | 2.58 |
| Sortino Ratio | 2.17 | 3.58 |
| Omega Ratio | 1.26 | 1.45 |
| Calmar Ratio | 2.93 | 3.36 |
| Martin Ratio | 7.76 | 15.63 |
| Ulcer Index | 3.73% | 1.94% |
| Daily Std Dev | 20.03% | 11.73% |
| Max Drawdown | -64.21% | -43.07% |
| Current Drawdown | -3.16% | -1.31% |
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DFFVX vs. VMVAX - Expense Ratio Comparison
DFFVX has a 0.29% expense ratio, which is higher than VMVAX's 0.07% expense ratio.
Correlation
The correlation between DFFVX and VMVAX is 0.92, 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. VMVAX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for DFA U.S. Targeted Value Portfolio (DFFVX) and Vanguard Mid-Cap Value Index Fund Admiral Shares (VMVAX). 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. VMVAX - Dividend Comparison
DFFVX's dividend yield for the trailing twelve months is around 1.36%, less than VMVAX's 2.07% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DFFVX DFA U.S. Targeted Value Portfolio | 1.36% | 1.44% | 1.38% | 1.41% | 1.52% | 1.35% | 1.24% | 1.20% | 1.00% | 1.36% | 0.97% | 0.64% |
VMVAX Vanguard Mid-Cap Value Index Fund Admiral Shares | 2.07% | 2.27% | 2.27% | 1.78% | 2.36% | 2.05% | 2.75% | 1.86% | 1.91% | 2.04% | 1.67% | 1.54% |
Drawdowns
DFFVX vs. VMVAX - Drawdown Comparison
The maximum DFFVX drawdown since its inception was -64.21%, which is greater than VMVAX's maximum drawdown of -43.07%. Use the drawdown chart below to compare losses from any high point for DFFVX and VMVAX. For additional features, visit the drawdowns tool.
Volatility
DFFVX vs. VMVAX - Volatility Comparison
DFA U.S. Targeted Value Portfolio (DFFVX) has a higher volatility of 8.05% compared to Vanguard Mid-Cap Value Index Fund Admiral Shares (VMVAX) at 3.54%. This indicates that DFFVX's price experiences larger fluctuations and is considered to be riskier than VMVAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.