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DFLVX vs. FIOOX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

DFLVX vs. FIOOX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in DFA U.S. Large Cap Value Portfolio (DFLVX) and Fidelity Series Large Cap Value Index Fund (FIOOX). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
11.48%
13.18%
DFLVX
FIOOX

Returns By Period

The year-to-date returns for both investments are quite close, with DFLVX having a 21.16% return and FIOOX slightly higher at 21.55%. Both investments have delivered pretty close results over the past 10 years, with DFLVX having a 9.35% annualized return and FIOOX not far ahead at 9.43%.


DFLVX

YTD

21.16%

1M

4.25%

6M

11.48%

1Y

29.61%

5Y (annualized)

10.82%

10Y (annualized)

9.35%

FIOOX

YTD

21.55%

1M

3.54%

6M

13.18%

1Y

29.86%

5Y (annualized)

10.79%

10Y (annualized)

9.43%

Key characteristics


DFLVXFIOOX
Sharpe Ratio2.462.74
Sortino Ratio3.523.84
Omega Ratio1.441.49
Calmar Ratio4.805.50
Martin Ratio14.0317.20
Ulcer Index2.11%1.74%
Daily Std Dev12.02%10.89%
Max Drawdown-65.65%-38.31%
Current Drawdown0.00%0.00%

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DFLVX vs. FIOOX - Expense Ratio Comparison

DFLVX has a 0.22% expense ratio, which is higher than FIOOX's 0.00% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


DFLVX
DFA U.S. Large Cap Value Portfolio
Expense ratio chart for DFLVX: current value at 0.22% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.22%
Expense ratio chart for FIOOX: current value at 0.00% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.00%

Correlation

-0.50.00.51.01.0

The correlation between DFLVX and FIOOX 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.

Risk-Adjusted Performance

DFLVX vs. FIOOX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for DFA U.S. Large Cap Value Portfolio (DFLVX) and Fidelity Series Large Cap Value Index Fund (FIOOX). 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.


Sharpe ratio
The chart of Sharpe ratio for DFLVX, currently valued at 2.46, compared to the broader market-1.000.001.002.003.004.005.002.462.74
The chart of Sortino ratio for DFLVX, currently valued at 3.52, compared to the broader market0.005.0010.003.523.84
The chart of Omega ratio for DFLVX, currently valued at 1.44, compared to the broader market1.002.003.004.001.441.49
The chart of Calmar ratio for DFLVX, currently valued at 4.80, compared to the broader market0.005.0010.0015.0020.004.805.50
The chart of Martin ratio for DFLVX, currently valued at 14.03, compared to the broader market0.0020.0040.0060.0080.00100.0014.0317.20
DFLVX
FIOOX

The current DFLVX Sharpe Ratio is 2.46, which is comparable to the FIOOX Sharpe Ratio of 2.74. The chart below compares the historical Sharpe Ratios of DFLVX and FIOOX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Rolling 12-month Sharpe Ratio1.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.46
2.74
DFLVX
FIOOX

Dividends

DFLVX vs. FIOOX - Dividend Comparison

DFLVX's dividend yield for the trailing twelve months is around 1.71%, less than FIOOX's 1.86% yield.


TTM20232022202120202019201820172016201520142013
DFLVX
DFA U.S. Large Cap Value Portfolio
1.71%1.99%2.05%1.54%1.97%1.93%2.22%1.80%1.90%2.14%1.72%1.44%
FIOOX
Fidelity Series Large Cap Value Index Fund
1.86%2.24%2.38%1.95%2.18%2.54%2.99%2.36%1.63%3.16%5.87%0.34%

Drawdowns

DFLVX vs. FIOOX - Drawdown Comparison

The maximum DFLVX drawdown since its inception was -65.65%, which is greater than FIOOX's maximum drawdown of -38.31%. Use the drawdown chart below to compare losses from any high point for DFLVX and FIOOX. For additional features, visit the drawdowns tool.


-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember00
DFLVX
FIOOX

Volatility

DFLVX vs. FIOOX - Volatility Comparison

DFA U.S. Large Cap Value Portfolio (DFLVX) has a higher volatility of 4.78% compared to Fidelity Series Large Cap Value Index Fund (FIOOX) at 3.85%. This indicates that DFLVX's price experiences larger fluctuations and is considered to be riskier than FIOOX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
4.78%
3.85%
DFLVX
FIOOX