DFGFX vs. LSGBX

Last updated Jun 4, 2026

DFGFX (DFA Two Year Global Fixed Income Portfolio) and LSGBX (Loomis Sayles Global Bond Fund) are both Global Bonds funds. Over the past 10 years, DFGFX returned 1.81%/yr vs 0.92%/yr for LSGBX. At a 0.27 correlation, their price movements are largely independent. DFGFX charges 0.16%/yr vs 0.69%/yr for LSGBX.

Performance

DFGFX vs. LSGBX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in DFA Two Year Global Fixed Income Portfolio (DFGFX) and Loomis Sayles Global Bond Fund (LSGBX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, DFGFX achieves a 1.60% return, which is significantly higher than LSGBX's 0.26% return. Over the past 10 years, DFGFX has outperformed LSGBX with an annualized return of 1.81%, while LSGBX has yielded a comparatively lower 0.92% annualized return.

DFGFX

• 1D: 0.00%
• 1M: 0.51%
• YTD: 1.60%
• 6M: 1.90%
• 1Y: 2.64%
• 3Y*: 4.29%
• 5Y*: 2.30%
• 10Y*: 1.81%

LSGBX

• 1D: 0.13%
• 1M: 0.45%
• YTD: 0.26%
• 6M: 0.30%
• 1Y: 3.03%
• 3Y*: 3.48%
• 5Y*: -2.03%
• 10Y*: 0.92%

*Multi-year figures are annualized to reflect compound growth (CAGR)

DFGFX vs. LSGBX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
DFGFX DFA Two Year Global Fixed Income Portfolio	1.60%	2.89%	5.36%	4.95%	-2.62%	-0.37%	0.88%	2.87%	1.91%	0.93%
LSGBX Loomis Sayles Global Bond Fund	0.26%	8.52%	-2.46%	5.48%	-17.18%	-4.94%	13.49%	7.52%	-2.49%	8.87%

Correlation

The correlation between DFGFX and LSGBX is 0.13, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.13
Correlation (3Y) Calculated over the trailing 3-year period	0.07
Correlation (5Y) Calculated over the trailing 5-year period	0.33
Correlation (10Y) Calculated over the trailing 10-year period	0.28
Correlation (All Time) Calculated using the full available price history since Jun 21, 1996	0.27

The correlation between DFGFX and LSGBX shifts across timeframes, from 0.07 (3 years) to 0.33 (5 years), reflecting how their relationship changes across market environments.

Return for Risk

DFGFX vs. LSGBX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

DFGFX

DFGFX Risk / Return Rank: 40
DFGFX Sharpe Ratio Rank: 34
DFGFX Sortino Ratio Rank: 19
DFGFX Omega Ratio Rank: 98
DFGFX Calmar Ratio Rank: 26
DFGFX Martin Ratio Rank: 23

LSGBX

LSGBX Risk / Return Rank: 7
LSGBX Sharpe Ratio Rank: 7
LSGBX Sortino Ratio Rank: 7
LSGBX Omega Ratio Rank: 7
LSGBX Calmar Ratio Rank: 8
LSGBX Martin Ratio Rank: 7

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

DFGFX vs. LSGBX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for DFA Two Year Global Fixed Income Portfolio (DFGFX) and Loomis Sayles Global Bond Fund (LSGBX). 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.

	DFGFX	LSGBX	Difference
Sharpe ratio: Return per unit of total volatility	1.69	0.59	+1.09
Sortino ratio: Return per unit of downside risk	1.84	0.92	+0.93
Omega ratio: Gain probability vs. loss probability	2.36	1.10	+1.25
Calmar ratio: Return relative to maximum drawdown	1.89	0.82	+1.07
Martin ratio: Return relative to average drawdown	5.81	2.17	+3.64
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

DFGFX vs. LSGBX - Sharpe Ratio Comparison

The current DFGFX Sharpe Ratio is 1.69, which is higher than the LSGBX Sharpe Ratio of 0.59. The chart below compares the historical Sharpe Ratios of DFGFX and LSGBX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	DFGFX	LSGBX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.69	0.59	+1.09
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	1.28	-0.32	+1.60
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	1.34	0.16	+1.18
Sharpe Ratio (All Time) Calculated using the full available price history	2.29	0.79	+1.50

Drawdowns

DFGFX vs. LSGBX - Drawdown Comparison

The maximum DFGFX drawdown since its inception was -4.00%, smaller than the maximum LSGBX drawdown of -26.86%. Use the drawdown chart below to compare losses from any high point for DFGFX and LSGBX.

Drawdown Indicators

	DFGFX	LSGBX	Difference
Max Drawdown Largest peak-to-trough decline	-4.00%	-26.86%	+22.86%
Max Drawdown (1Y) Largest decline over 1 year	-1.41%	-4.05%	+2.64%
Max Drawdown (3Y) Largest decline over 3 years	-2.12%	-7.42%	+5.30%
Max Drawdown (5Y) Largest decline over 5 years	-4.00%	-25.41%	+21.41%
Max Drawdown (10Y) Largest decline over 10 years	-4.00%	-26.86%	+22.86%
Current Drawdown Current decline from peak	0.00%	-12.12%	+12.12%
Average Drawdown Average peak-to-trough decline	-0.23%	-4.80%	+4.57%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.46%	1.46%	-1.00%

Volatility

DFGFX vs. LSGBX - Volatility Comparison

The current volatility for DFA Two Year Global Fixed Income Portfolio (DFGFX) is 0.28%, while Loomis Sayles Global Bond Fund (LSGBX) has a volatility of 1.67%. This indicates that DFGFX experiences smaller price fluctuations and is considered to be less risky than LSGBX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	DFGFX	LSGBX	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.28%	1.67%	-1.39%
Volatility (6M) Calculated over the trailing 6-month period	0.52%	3.82%	-3.30%
Volatility (1Y) Calculated over the trailing 1-year period	1.58%	5.60%	-4.02%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	1.81%	6.64%	-4.83%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	1.36%	5.80%	-4.44%

DFGFX vs. LSGBX - Expense Ratio Comparison

DFGFX has a 0.16% expense ratio, which is lower than LSGBX's 0.69% expense ratio.

Dividends

DFGFX vs. LSGBX - Dividend Comparison

DFGFX's dividend yield for the trailing twelve months is around 3.10%, more than LSGBX's 0.11% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
DFGFX DFA Two Year Global Fixed Income Portfolio	3.10%	2.67%	4.77%	3.19%	1.17%	0.23%	0.57%	2.24%	2.21%	1.54%	0.65%	0.02%
LSGBX Loomis Sayles Global Bond Fund	0.11%	0.11%	0.00%	0.00%	0.00%	4.31%	4.94%	1.75%	0.66%	0.28%	0.43%	0.00%

Frequently Asked Questions

Can I hold both DFGFX and LSGBX in my portfolio?

DFGFX and LSGBX have a correlation of 0.13, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, DFGFX or LSGBX?

LSGBX has higher volatility (1.67%) compared to DFGFX (0.28%). In terms of maximum drawdown, DFGFX dropped -4.00% vs LSGBX's -26.86%.

Which has better risk-adjusted returns?

DFGFX currently has the higher Sharpe Ratio (1.69 vs 0.59), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.