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DFREX vs. FNCMX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

DFREX vs. FNCMX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in DFA Real Estate Securities Portfolio Class I (DFREX) and Fidelity NASDAQ Composite Index Fund (FNCMX). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
15.12%
13.14%
DFREX
FNCMX

Returns By Period

In the year-to-date period, DFREX achieves a 11.63% return, which is significantly lower than FNCMX's 27.22% return. Over the past 10 years, DFREX has underperformed FNCMX with an annualized return of 6.71%, while FNCMX has yielded a comparatively higher 15.38% annualized return.


DFREX

YTD

11.63%

1M

-2.72%

6M

15.13%

1Y

24.72%

5Y (annualized)

5.05%

10Y (annualized)

6.71%

FNCMX

YTD

27.22%

1M

2.74%

6M

13.14%

1Y

33.78%

5Y (annualized)

17.66%

10Y (annualized)

15.38%

Key characteristics


DFREXFNCMX
Sharpe Ratio1.602.01
Sortino Ratio2.242.63
Omega Ratio1.281.36
Calmar Ratio1.002.69
Martin Ratio6.1010.08
Ulcer Index4.20%3.50%
Daily Std Dev15.97%17.55%
Max Drawdown-74.36%-55.71%
Current Drawdown-6.82%-1.59%

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DFREX vs. FNCMX - Expense Ratio Comparison

DFREX has a 0.18% expense ratio, which is lower than FNCMX's 0.29% expense ratio.


FNCMX
Fidelity NASDAQ Composite Index Fund
Expense ratio chart for FNCMX: current value at 0.29% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.29%
Expense ratio chart for DFREX: current value at 0.18% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.18%

Correlation

-0.50.00.51.00.6

The correlation between DFREX and FNCMX is 0.58, 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.

Risk-Adjusted Performance

DFREX vs. FNCMX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for DFA Real Estate Securities Portfolio Class I (DFREX) and Fidelity NASDAQ Composite Index Fund (FNCMX). 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 DFREX, currently valued at 1.60, compared to the broader market0.002.004.001.602.01
The chart of Sortino ratio for DFREX, currently valued at 2.24, compared to the broader market0.005.0010.002.242.63
The chart of Omega ratio for DFREX, currently valued at 1.28, compared to the broader market1.002.003.004.001.281.36
The chart of Calmar ratio for DFREX, currently valued at 1.00, compared to the broader market0.005.0010.0015.0020.0025.001.002.69
The chart of Martin ratio for DFREX, currently valued at 6.10, compared to the broader market0.0020.0040.0060.0080.00100.006.1010.08
DFREX
FNCMX

The current DFREX Sharpe Ratio is 1.60, which is comparable to the FNCMX Sharpe Ratio of 2.01. The chart below compares the historical Sharpe Ratios of DFREX and FNCMX, 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 Ratio0.501.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
1.60
2.01
DFREX
FNCMX

Dividends

DFREX vs. FNCMX - Dividend Comparison

DFREX's dividend yield for the trailing twelve months is around 3.00%, more than FNCMX's 0.52% yield.


TTM20232022202120202019201820172016201520142013
DFREX
DFA Real Estate Securities Portfolio Class I
3.00%3.17%2.60%1.59%3.22%2.09%4.88%2.98%3.16%2.86%2.60%3.03%
FNCMX
Fidelity NASDAQ Composite Index Fund
0.52%0.67%0.88%0.47%0.67%0.97%0.94%0.70%0.91%0.89%0.80%0.72%

Drawdowns

DFREX vs. FNCMX - Drawdown Comparison

The maximum DFREX drawdown since its inception was -74.36%, which is greater than FNCMX's maximum drawdown of -55.71%. Use the drawdown chart below to compare losses from any high point for DFREX and FNCMX. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-6.82%
-1.59%
DFREX
FNCMX

Volatility

DFREX vs. FNCMX - Volatility Comparison

The current volatility for DFA Real Estate Securities Portfolio Class I (DFREX) is 4.73%, while Fidelity NASDAQ Composite Index Fund (FNCMX) has a volatility of 5.85%. This indicates that DFREX experiences smaller price fluctuations and is considered to be less risky than FNCMX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%9.00%JuneJulyAugustSeptemberOctoberNovember
4.73%
5.85%
DFREX
FNCMX