DFJSX vs. DFEOX
Compare and contrast key facts about DFA Japanese Small Company Portfolio (DFJSX) and DFA US Core Equity 1 Portfolio I (DFEOX).
DFJSX is managed by Dimensional. It was launched on Jan 30, 1986. DFEOX is managed by Dimensional. It was launched on Sep 15, 2005.
Performance
DFJSX vs. DFEOX - Performance Comparison
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DFJSX vs. DFEOX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
DFJSX DFA Japanese Small Company Portfolio | 3.43% | 31.65% | 4.35% | 17.08% | -11.36% | -0.39% | 3.78% | 18.23% | -19.56% | 35.69% |
DFEOX DFA US Core Equity 1 Portfolio I | -4.34% | 16.00% | 21.35% | 22.97% | -14.99% | 27.51% | 16.44% | 30.20% | -7.81% | 20.26% |
Returns By Period
In the year-to-date period, DFJSX achieves a 3.43% return, which is significantly higher than DFEOX's -4.34% return. Over the past 10 years, DFJSX has underperformed DFEOX with an annualized return of 8.47%, while DFEOX has yielded a comparatively higher 12.94% annualized return.
DFJSX
- 1D
- -0.58%
- 1M
- -12.02%
- YTD
- 3.43%
- 6M
- 5.62%
- 1Y
- 29.14%
- 3Y*
- 16.13%
- 5Y*
- 7.40%
- 10Y*
- 8.47%
DFEOX
- 1D
- -0.49%
- 1M
- -7.30%
- YTD
- -4.34%
- 6M
- -1.81%
- 1Y
- 15.78%
- 3Y*
- 16.13%
- 5Y*
- 10.46%
- 10Y*
- 12.94%
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DFJSX vs. DFEOX - Expense Ratio Comparison
DFJSX has a 0.42% expense ratio, which is higher than DFEOX's 0.14% expense ratio.
Return for Risk
DFJSX vs. DFEOX — Risk / Return Rank
DFJSX
DFEOX
DFJSX vs. DFEOX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for DFA Japanese Small Company Portfolio (DFJSX) and DFA US Core Equity 1 Portfolio I (DFEOX). 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.
| DFJSX | DFEOX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.62 | 0.93 | +0.68 |
Sortino ratioReturn per unit of downside risk | 2.18 | 1.43 | +0.75 |
Omega ratioGain probability vs. loss probability | 1.30 | 1.22 | +0.08 |
Calmar ratioReturn relative to maximum drawdown | 2.09 | 0.98 | +1.12 |
Martin ratioReturn relative to average drawdown | 7.69 | 4.74 | +2.94 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| DFJSX | DFEOX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.62 | 0.93 | +0.68 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.46 | 0.62 | -0.16 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.51 | 0.72 | -0.21 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.29 | 0.51 | -0.22 |
Correlation
The correlation between DFJSX and DFEOX is 0.49, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Dividends
DFJSX vs. DFEOX - Dividend Comparison
DFJSX's dividend yield for the trailing twelve months is around 3.37%, more than DFEOX's 1.12% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DFJSX DFA Japanese Small Company Portfolio | 3.37% | 3.49% | 3.16% | 6.45% | 5.44% | 5.26% | 2.14% | 3.98% | 7.50% | 2.41% | 1.97% | 1.38% |
DFEOX DFA US Core Equity 1 Portfolio I | 1.12% | 1.06% | 1.13% | 1.43% | 4.08% | 3.69% | 1.36% | 3.02% | 2.37% | 1.61% | 1.61% | 2.98% |
Drawdowns
DFJSX vs. DFEOX - Drawdown Comparison
The maximum DFJSX drawdown since its inception was -76.17%, which is greater than DFEOX's maximum drawdown of -56.77%. Use the drawdown chart below to compare losses from any high point for DFJSX and DFEOX.
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Drawdown Indicators
| DFJSX | DFEOX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -76.17% | -56.77% | -19.40% |
Max Drawdown (1Y)Largest decline over 1 year | -12.53% | -12.58% | +0.05% |
Max Drawdown (5Y)Largest decline over 5 years | -31.39% | -22.86% | -8.53% |
Max Drawdown (10Y)Largest decline over 10 years | -40.32% | -36.55% | -3.77% |
Current DrawdownCurrent decline from peak | -12.02% | -8.28% | -3.74% |
Average DrawdownAverage peak-to-trough decline | -30.20% | -7.25% | -22.95% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.44% | 2.69% | +0.75% |
Volatility
DFJSX vs. DFEOX - Volatility Comparison
DFA Japanese Small Company Portfolio (DFJSX) has a higher volatility of 6.94% compared to DFA US Core Equity 1 Portfolio I (DFEOX) at 4.20%. This indicates that DFJSX's price experiences larger fluctuations and is considered to be riskier than DFEOX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| DFJSX | DFEOX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 6.94% | 4.20% | +2.74% |
Volatility (6M)Calculated over the trailing 6-month period | 12.29% | 8.49% | +3.80% |
Volatility (1Y)Calculated over the trailing 1-year period | 17.47% | 17.87% | -0.40% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.07% | 16.88% | -0.81% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.53% | 17.98% | -1.45% |