DFQTX vs. DGSFX
DFQTX (DFA US Core Equity 2 Portfolio I) and DGSFX (DFA Global Sustainability Fixed Income Portfolio) are both mutual funds - DFQTX is a Large Cap Blend Equities fund managed by Dimensional, while DGSFX is a Global Bonds fund managed by Dimensional. Over the past 5 years, DFQTX returned 12.47%/yr vs -0.13%/yr for DGSFX. At a 0.04 correlation, their price movements are largely independent. DFQTX charges 0.19%/yr vs 0.26%/yr for DGSFX.
Performance
DFQTX vs. DGSFX - Performance Comparison
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Returns By Period
In the year-to-date period, DFQTX achieves a 11.69% return, which is significantly higher than DGSFX's 1.30% return.
DFQTX
- 1D
- 0.00%
- 1M
- 1.40%
- YTD
- 11.69%
- 6M
- 10.46%
- 1Y
- 27.06%
- 3Y*
- 20.29%
- 5Y*
- 12.47%
- 10Y*
- 14.44%
DGSFX
- 1D
- -0.31%
- 1M
- 0.85%
- YTD
- 1.30%
- 6M
- 1.40%
- 1Y
- 2.73%
- 3Y*
- 4.62%
- 5Y*
- -0.13%
- 10Y*
- —
DFQTX vs. DGSFX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | |
|---|---|---|---|---|---|---|---|---|---|
DFQTX DFA US Core Equity 2 Portfolio I | 11.69% | 15.99% | 20.27% | 21.88% | -14.21% | 28.46% | 15.72% | 29.41% | -10.54% |
DGSFX DFA Global Sustainability Fixed Income Portfolio | 1.30% | 3.80% | 2.60% | 9.67% | -15.61% | -2.95% | 7.99% | 9.85% | 1.15% |
Correlation
The correlation between DFQTX and DGSFX is 0.41, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.41 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.26 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.16 |
Correlation (All Time) Calculated using the full available price history since Nov 6, 2018 | 0.04 |
Over the past year, DFQTX and DGSFX have become more correlated (0.41) than their long-term average of 0.04, meaning their price movements have been converging.
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Return for Risk
DFQTX vs. DGSFX — Risk / Return Rank
DFQTX
DGSFX
DFQTX vs. DGSFX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for DFA US Core Equity 2 Portfolio I (DFQTX) and DFA Global Sustainability Fixed Income Portfolio (DGSFX). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| DFQTX | DGSFX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.56 | ||
| Sortino ratioReturn per unit of downside risk | +2.13 | ||
| Omega ratioGain probability vs. loss probability | 1.42 | 1.15 | +0.27 |
| Calmar ratioReturn relative to maximum drawdown | 3.38 | 0.99 | +2.39 |
| Martin ratioReturn relative to average drawdown | 14.56 | 2.69 | +11.87 |
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Drawdowns
DFQTX vs. DGSFX - Drawdown Comparison
The maximum DFQTX drawdown since its inception was -59.35%, which is greater than DGSFX's maximum drawdown of -21.57%. Use the drawdown chart below to compare losses from any high point for DFQTX and DGSFX.
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Drawdown Indicators
| DFQTX | DGSFX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -59.35% | -21.57% | -37.78% |
Max Drawdown (1Y)Largest decline over 1 year | -8.47% | -2.91% | -5.56% |
Max Drawdown (3Y)Largest decline over 3 years | -19.71% | -3.68% | -16.03% |
Max Drawdown (5Y)Largest decline over 5 years | -22.64% | -21.29% | -1.35% |
Max Drawdown (10Y)Largest decline over 10 years | -37.21% | — | — |
Current DrawdownCurrent decline from peak | -0.67% | -3.19% | +2.52% |
Average DrawdownAverage peak-to-trough decline | -7.76% | -6.57% | -1.19% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.95% | 1.06% | +0.89% |
Volatility
DFQTX vs. DGSFX - Volatility Comparison
DFA US Core Equity 2 Portfolio I (DFQTX) has a higher volatility of 4.20% compared to DFA Global Sustainability Fixed Income Portfolio (DGSFX) at 0.91%. This indicates that DFQTX's price experiences larger fluctuations and is considered to be riskier than DGSFX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| DFQTX | DGSFX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.20% | 0.91% | +3.29% |
Volatility (6M)Calculated over the trailing 6-month period | 9.54% | 2.75% | +6.79% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.13% | 3.59% | +8.54% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 17.04% | 5.34% | +11.70% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 18.29% | 4.87% | +13.42% |
DFQTX vs. DGSFX - Expense Ratio Comparison
DFQTX has a 0.19% expense ratio, which is lower than DGSFX's 0.26% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.
Dividends
DFQTX vs. DGSFX - Dividend Comparison
DFQTX's dividend yield for the trailing twelve months is around 0.96%, less than DGSFX's 3.53% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DFQTX DFA US Core Equity 2 Portfolio I | 0.96% | 1.06% | 1.15% | 1.74% | 4.43% | 4.74% | 1.29% | 3.50% | 2.84% | 1.97% | 1.80% | 3.78% |
DGSFX DFA Global Sustainability Fixed Income Portfolio | 3.53% | 3.02% | 4.26% | 4.09% | 1.97% | 1.15% | 1.72% | 3.37% | 0.24% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
DFQTX and DGSFX have a correlation of 0.41, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
DFQTX has higher volatility (4.20%) compared to DGSFX (0.91%). In terms of maximum drawdown, DFQTX dropped -59.35% vs DGSFX's -21.57%.
DFQTX currently has the higher Sharpe Ratio (2.36 vs 0.80), 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.
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