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

Key characteristics


DFLVXMEIIX
YTD Return19.82%18.26%
1Y Return34.33%29.91%
3Y Return (Ann)8.36%7.00%
5Y Return (Ann)10.56%10.35%
10Y Return (Ann)9.42%9.79%
Sharpe Ratio2.742.95
Sortino Ratio3.914.16
Omega Ratio1.501.54
Calmar Ratio3.693.66
Martin Ratio15.8717.54
Ulcer Index2.10%1.65%
Daily Std Dev12.13%9.80%
Max Drawdown-65.65%-52.01%
Current Drawdown-0.40%0.00%

Correlation

-0.50.00.51.00.9

The correlation between DFLVX and MEIIX is 0.93, 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.

Performance

DFLVX vs. MEIIX - Performance Comparison

In the year-to-date period, DFLVX achieves a 19.82% return, which is significantly higher than MEIIX's 18.26% return. Both investments have delivered pretty close results over the past 10 years, with DFLVX having a 9.42% annualized return and MEIIX not far ahead at 9.79%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-2.00%0.00%2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
9.74%
9.34%
DFLVX
MEIIX

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DFLVX vs. MEIIX - Expense Ratio Comparison

DFLVX has a 0.22% expense ratio, which is lower than MEIIX's 0.55% expense ratio.


MEIIX
MFS Value Fund Class I
Expense ratio chart for MEIIX: current value at 0.55% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.55%
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%

Risk-Adjusted Performance

DFLVX vs. MEIIX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for DFA U.S. Large Cap Value Portfolio (DFLVX) and MFS Value Fund Class I (MEIIX). 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.


DFLVX
Sharpe ratio
The chart of Sharpe ratio for DFLVX, currently valued at 2.74, compared to the broader market0.002.004.002.74
Sortino ratio
The chart of Sortino ratio for DFLVX, currently valued at 3.91, compared to the broader market0.005.0010.003.91
Omega ratio
The chart of Omega ratio for DFLVX, currently valued at 1.50, compared to the broader market1.002.003.004.001.50
Calmar ratio
The chart of Calmar ratio for DFLVX, currently valued at 3.69, compared to the broader market0.005.0010.0015.0020.0025.003.69
Martin ratio
The chart of Martin ratio for DFLVX, currently valued at 15.87, compared to the broader market0.0020.0040.0060.0080.00100.0015.87
MEIIX
Sharpe ratio
The chart of Sharpe ratio for MEIIX, currently valued at 2.95, compared to the broader market0.002.004.002.95
Sortino ratio
The chart of Sortino ratio for MEIIX, currently valued at 4.16, compared to the broader market0.005.0010.004.16
Omega ratio
The chart of Omega ratio for MEIIX, currently valued at 1.54, compared to the broader market1.002.003.004.001.54
Calmar ratio
The chart of Calmar ratio for MEIIX, currently valued at 3.66, compared to the broader market0.005.0010.0015.0020.0025.003.66
Martin ratio
The chart of Martin ratio for MEIIX, currently valued at 17.54, compared to the broader market0.0020.0040.0060.0080.00100.0017.54

DFLVX vs. MEIIX - Sharpe Ratio Comparison

The current DFLVX Sharpe Ratio is 2.74, which is comparable to the MEIIX Sharpe Ratio of 2.95. The chart below compares the historical Sharpe Ratios of DFLVX and MEIIX, 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
2.74
2.95
DFLVX
MEIIX

Dividends

DFLVX vs. MEIIX - Dividend Comparison

DFLVX's dividend yield for the trailing twelve months is around 1.73%, more than MEIIX's 1.61% yield.


TTM20232022202120202019201820172016201520142013
DFLVX
DFA U.S. Large Cap Value Portfolio
1.73%1.99%2.05%1.54%1.97%1.93%2.22%1.80%1.90%2.14%1.72%1.44%
MEIIX
MFS Value Fund Class I
1.61%1.78%1.95%1.37%1.60%1.93%2.10%1.58%2.01%6.53%5.38%3.93%

Drawdowns

DFLVX vs. MEIIX - Drawdown Comparison

The maximum DFLVX drawdown since its inception was -65.65%, which is greater than MEIIX's maximum drawdown of -52.01%. Use the drawdown chart below to compare losses from any high point for DFLVX and MEIIX. For additional features, visit the drawdowns tool.


-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.40%
0
DFLVX
MEIIX

Volatility

DFLVX vs. MEIIX - Volatility Comparison

DFA U.S. Large Cap Value Portfolio (DFLVX) has a higher volatility of 4.79% compared to MFS Value Fund Class I (MEIIX) at 3.52%. This indicates that DFLVX's price experiences larger fluctuations and is considered to be riskier than MEIIX 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
4.79%
3.52%
DFLVX
MEIIX