DFREX vs. VNQ
Compare and contrast key facts about DFA Real Estate Securities Portfolio Class I (DFREX) and Vanguard Real Estate ETF (VNQ).
DFREX is managed by Dimensional Fund Advisors LP. It was launched on Jan 5, 1993. VNQ is a passively managed fund by Vanguard that tracks the performance of the MSCI US REIT Index. It was launched on Sep 23, 2004.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DFREX or VNQ.
Performance
DFREX vs. VNQ - Performance Comparison
Returns By Period
In the year-to-date period, DFREX achieves a 11.24% return, which is significantly higher than VNQ's 10.50% return. Over the past 10 years, DFREX has outperformed VNQ with an annualized return of 6.67%, while VNQ has yielded a comparatively lower 6.01% annualized return.
DFREX
11.24%
-1.08%
15.70%
25.05%
5.05%
6.67%
VNQ
10.50%
-0.82%
15.80%
24.89%
4.61%
6.01%
Key characteristics
| DFREX | VNQ | |
|---|---|---|
| Sharpe Ratio | 1.52 | 1.48 |
| Sortino Ratio | 2.14 | 2.09 |
| Omega Ratio | 1.27 | 1.26 |
| Calmar Ratio | 0.94 | 0.89 |
| Martin Ratio | 5.77 | 5.33 |
| Ulcer Index | 4.21% | 4.50% |
| Daily Std Dev | 15.96% | 16.22% |
| Max Drawdown | -74.36% | -73.07% |
| Current Drawdown | -7.14% | -8.85% |
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DFREX vs. VNQ - Expense Ratio Comparison
DFREX has a 0.18% expense ratio, which is higher than VNQ's 0.12% 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%.
Correlation
The correlation between DFREX and VNQ is 0.99, 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
DFREX vs. VNQ - 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 Real Estate ETF (VNQ). 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.
Dividends
DFREX vs. VNQ - Dividend Comparison
DFREX's dividend yield for the trailing twelve months is around 3.01%, less than VNQ's 3.85% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DFREX DFA Real Estate Securities Portfolio Class I | 3.01% | 3.17% | 2.60% | 1.59% | 3.22% | 2.09% | 4.88% | 2.98% | 3.16% | 2.86% | 2.60% | 3.03% |
VNQ Vanguard Real Estate ETF | 3.85% | 3.95% | 3.91% | 2.56% | 3.93% | 3.39% | 4.74% | 4.23% | 4.82% | 3.92% | 3.60% | 4.32% |
Drawdowns
DFREX vs. VNQ - Drawdown Comparison
The maximum DFREX drawdown since its inception was -74.36%, roughly equal to the maximum VNQ drawdown of -73.07%. Use the drawdown chart below to compare losses from any high point for DFREX and VNQ. For additional features, visit the drawdowns tool.
Volatility
DFREX vs. VNQ - Volatility Comparison
DFA Real Estate Securities Portfolio Class I (DFREX) and Vanguard Real Estate ETF (VNQ) have volatilities of 4.73% and 4.77%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.