DFJSX vs. DFEOX

Last updated Jun 4, 2026

DFJSX (DFA Japanese Small Company Portfolio) and DFEOX (DFA US Core Equity 1 Portfolio I) are both mutual funds - DFJSX is a Japan Equities fund managed by Dimensional, while DFEOX is a Large Cap Blend Equities fund managed by Dimensional. Over the past 10 years, DFJSX returned 8.65%/yr vs 14.53%/yr for DFEOX. At a 0.49 correlation, their price movements are largely independent. DFJSX charges 0.42%/yr vs 0.14%/yr for DFEOX.

Performance

DFJSX vs. DFEOX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in DFA Japanese Small Company Portfolio (DFJSX) and DFA US Core Equity 1 Portfolio I (DFEOX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

The year-to-date returns for both stocks are quite close, with DFJSX having a 12.93% return and DFEOX slightly lower at 12.32%. Over the past 10 years, DFJSX has underperformed DFEOX with an annualized return of 8.65%, while DFEOX has yielded a comparatively higher 14.53% annualized return.

DFJSX

• 1D: -0.75%
• 1M: 2.86%
• YTD: 12.93%
• 6M: 16.13%
• 1Y: 30.71%
• 3Y*: 20.03%
• 5Y*: 9.64%
• 10Y*: 8.65%

DFEOX

• 1D: 0.47%
• 1M: 4.95%
• YTD: 12.32%
• 6M: 12.46%
• 1Y: 28.75%
• 3Y*: 21.37%
• 5Y*: 12.84%
• 10Y*: 14.53%

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

DFJSX vs. DFEOX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
DFJSX DFA Japanese Small Company Portfolio	12.93%	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	12.32%	16.00%	21.35%	22.97%	-14.99%	27.51%	16.44%	30.20%	-7.81%	20.26%

Correlation

The correlation between DFJSX and DFEOX is 0.49, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.49
Correlation (3Y) Calculated over the trailing 3-year period	0.51
Correlation (5Y) Calculated over the trailing 5-year period	0.56
Correlation (10Y) Calculated over the trailing 10-year period	0.55
Correlation (All Time) Calculated using the full available price history since Sep 19, 2005	0.49

The correlation between DFJSX and DFEOX has been stable across timeframes, ranging from 0.49 to 0.56 - a consistent structural relationship.

Return for Risk

DFJSX vs. DFEOX — Risk / Return Rank

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

DFJSX

DFJSX Risk / Return Rank: 38
DFJSX Sharpe Ratio Rank: 39
DFJSX Sortino Ratio Rank: 38
DFJSX Omega Ratio Rank: 39
DFJSX Calmar Ratio Rank: 39
DFJSX Martin Ratio Rank: 33

DFEOX

DFEOX Risk / Return Rank: 79
DFEOX Sharpe Ratio Rank: 82
DFEOX Sortino Ratio Rank: 78
DFEOX Omega Ratio Rank: 71
DFEOX Calmar Ratio Rank: 80
DFEOX Martin Ratio Rank: 86

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.

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 ratio: Return per unit of total volatility	1.83	2.64	-0.80
Sortino ratio: Return per unit of downside risk	2.60	3.70	-1.10
Omega ratio: Gain probability vs. loss probability	1.33	1.47	-0.14
Calmar ratio: Return relative to maximum drawdown	2.36	3.64	-1.28
Martin ratio: Return relative to average drawdown	7.54	16.50	-8.96
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

DFJSX vs. DFEOX - Sharpe Ratio Comparison

The current DFJSX Sharpe Ratio is 1.83, which is lower than the DFEOX Sharpe Ratio of 2.64. The chart below compares the historical Sharpe Ratios of DFJSX and DFEOX, 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

	DFJSX	DFEOX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.83	2.64	-0.80
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.60	0.77	-0.17
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.52	0.81	-0.29
Sharpe Ratio (All Time) Calculated using the full available price history	0.30	0.55	-0.25

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.

Drawdown Indicators

	DFJSX	DFEOX	Difference
Max Drawdown Largest peak-to-trough decline	-76.17%	-56.77%	-19.40%
Max Drawdown (1Y) Largest decline over 1 year	-12.53%	-8.28%	-4.25%
Max Drawdown (3Y) Largest decline over 3 years	-13.31%	-19.24%	+5.93%
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 Drawdown Current decline from peak	-3.94%	0.00%	-3.94%
Average Drawdown Average peak-to-trough decline	-30.09%	-7.19%	-22.90%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.91%	1.82%	+2.09%

Volatility

DFJSX vs. DFEOX - Volatility Comparison

DFA Japanese Small Company Portfolio (DFJSX) has a higher volatility of 3.51% compared to DFA US Core Equity 1 Portfolio I (DFEOX) at 2.88%. 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.

Volatility by Period

	DFJSX	DFEOX	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.51%	2.88%	+0.63%
Volatility (6M) Calculated over the trailing 6-month period	12.46%	8.77%	+3.69%
Volatility (1Y) Calculated over the trailing 1-year period	16.25%	11.44%	+4.81%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.15%	16.88%	-0.73%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.59%	18.01%	-1.42%

DFJSX vs. DFEOX - Expense Ratio Comparison

DFJSX has a 0.42% expense ratio, which is higher than DFEOX's 0.14% expense ratio.

Dividends

DFJSX vs. DFEOX - Dividend Comparison

DFJSX's dividend yield for the trailing twelve months is around 3.09%, more than DFEOX's 0.95% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
DFEOX DFA US Core Equity 1 Portfolio I	0.95%	1.06%	1.13%	1.43%	4.08%	3.69%	1.36%	3.02%	2.37%	1.61%	1.61%	2.98%
DFJSX DFA Japanese Small Company Portfolio	3.09%	3.49%	3.16%	6.45%	5.44%	5.26%	2.14%	3.98%	7.50%	2.41%	1.97%	1.38%

Frequently Asked Questions

Can I hold both DFJSX and DFEOX in my portfolio?

DFJSX and DFEOX have a correlation of 0.49, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, DFJSX or DFEOX?

DFJSX has higher volatility (3.51%) compared to DFEOX (2.88%). In terms of maximum drawdown, DFJSX dropped -76.17% vs DFEOX's -56.77%.

Which has better risk-adjusted returns?

DFEOX currently has the higher Sharpe Ratio (2.64 vs 1.83), 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.