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

Correlation

The correlation between DFREX and VITAX is 0.65, 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.


Performance

DFREX vs. VITAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in DFA Real Estate Securities Portfolio Class I (DFREX) and Vanguard Information Technology Index Fund Admiral Shares (VITAX). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

DFREX:

0.62

VITAX:

0.53

Sortino Ratio

DFREX:

1.06

VITAX:

1.02

Omega Ratio

DFREX:

1.14

VITAX:

1.14

Calmar Ratio

DFREX:

0.49

VITAX:

0.67

Martin Ratio

DFREX:

2.14

VITAX:

2.19

Ulcer Index

DFREX:

5.84%

VITAX:

8.38%

Daily Std Dev

DFREX:

17.83%

VITAX:

30.60%

Max Drawdown

DFREX:

-76.45%

VITAX:

-54.81%

Current Drawdown

DFREX:

-13.14%

VITAX:

-4.60%

Returns By Period

In the year-to-date period, DFREX achieves a 2.58% return, which is significantly higher than VITAX's -0.66% return. Over the past 10 years, DFREX has underperformed VITAX with an annualized return of 5.37%, while VITAX has yielded a comparatively higher 20.02% annualized return.


DFREX

YTD

2.58%

1M

3.92%

6M

-1.77%

1Y

10.98%

5Y*

7.86%

10Y*

5.37%

VITAX

YTD

-0.66%

1M

22.02%

6M

2.53%

1Y

16.43%

5Y*

20.50%

10Y*

20.02%

*Annualized

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DFREX vs. VITAX - Expense Ratio Comparison

DFREX has a 0.18% expense ratio, which is higher than VITAX's 0.10% 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%.


Risk-Adjusted Performance

DFREX vs. VITAX — Risk-Adjusted Performance Rank

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

DFREX
The Risk-Adjusted Performance Rank of DFREX is 5959
Overall Rank
The Sharpe Ratio Rank of DFREX is 6060
Sharpe Ratio Rank
The Sortino Ratio Rank of DFREX is 6262
Sortino Ratio Rank
The Omega Ratio Rank of DFREX is 5858
Omega Ratio Rank
The Calmar Ratio Rank of DFREX is 5757
Calmar Ratio Rank
The Martin Ratio Rank of DFREX is 5757
Martin Ratio Rank

VITAX
The Risk-Adjusted Performance Rank of VITAX is 6060
Overall Rank
The Sharpe Ratio Rank of VITAX is 5353
Sharpe Ratio Rank
The Sortino Ratio Rank of VITAX is 6060
Sortino Ratio Rank
The Omega Ratio Rank of VITAX is 5959
Omega Ratio Rank
The Calmar Ratio Rank of VITAX is 6969
Calmar Ratio Rank
The Martin Ratio Rank of VITAX is 5757
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

DFREX vs. VITAX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for DFA Real Estate Securities Portfolio Class I (DFREX) and Vanguard Information Technology Index Fund Admiral Shares (VITAX). 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.


The current DFREX Sharpe Ratio is 0.62, which is comparable to the VITAX Sharpe Ratio of 0.53. The chart below compares the historical Sharpe Ratios of DFREX and VITAX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Dividends

DFREX vs. VITAX - Dividend Comparison

DFREX's dividend yield for the trailing twelve months is around 2.93%, more than VITAX's 0.52% yield.


TTM20242023202220212020201920182017201620152014
DFREX
DFA Real Estate Securities Portfolio Class I
2.93%2.97%3.17%2.60%1.59%3.22%2.09%4.88%2.98%3.16%2.86%2.60%
VITAX
Vanguard Information Technology Index Fund Admiral Shares
0.52%0.60%0.65%0.91%0.64%0.82%1.11%1.30%0.99%1.31%1.28%1.12%

Drawdowns

DFREX vs. VITAX - Drawdown Comparison

The maximum DFREX drawdown since its inception was -76.45%, which is greater than VITAX's maximum drawdown of -54.81%. Use the drawdown chart below to compare losses from any high point for DFREX and VITAX. For additional features, visit the drawdowns tool.


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Volatility

DFREX vs. VITAX - Volatility Comparison

The current volatility for DFA Real Estate Securities Portfolio Class I (DFREX) is 4.61%, while Vanguard Information Technology Index Fund Admiral Shares (VITAX) has a volatility of 7.83%. This indicates that DFREX experiences smaller price fluctuations and is considered to be less risky than VITAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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