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

Performance

DFREX vs. VSTSX - 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 Total Stock Market Index Fund Institutional Select Shares (VSTSX). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
19.02%
14.25%
DFREX
VSTSX

Returns By Period

In the year-to-date period, DFREX achieves a 11.99% return, which is significantly lower than VSTSX's 25.64% return.


DFREX

YTD

11.99%

1M

-0.66%

6M

19.02%

1Y

25.41%

5Y (annualized)

5.19%

10Y (annualized)

6.71%

VSTSX

YTD

25.64%

1M

2.56%

6M

14.26%

1Y

32.97%

5Y (annualized)

15.12%

10Y (annualized)

N/A

Key characteristics


DFREXVSTSX
Sharpe Ratio1.622.67
Sortino Ratio2.263.57
Omega Ratio1.281.49
Calmar Ratio1.023.92
Martin Ratio6.1517.07
Ulcer Index4.21%1.97%
Daily Std Dev15.96%12.55%
Max Drawdown-74.36%-52.42%
Current Drawdown-6.51%-0.82%

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DFREX vs. VSTSX - Expense Ratio Comparison

DFREX has a 0.18% expense ratio, which is higher than VSTSX's 0.01% 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%.


DFREX
DFA Real Estate Securities Portfolio Class I
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%
Expense ratio chart for VSTSX: current value at 0.01% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.01%

Correlation

-0.50.00.51.00.6

The correlation between DFREX and VSTSX 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. VSTSX - 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 Total Stock Market Index Fund Institutional Select Shares (VSTSX). 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 1.62, compared to the broader market-1.000.001.002.003.004.005.001.622.67
The chart of Sortino ratio for DFREX, currently valued at 2.26, compared to the broader market0.005.0010.002.263.57
The chart of Omega ratio for DFREX, currently valued at 1.28, compared to the broader market1.002.003.004.001.281.49
The chart of Calmar ratio for DFREX, currently valued at 1.02, compared to the broader market0.005.0010.0015.0020.0025.001.023.92
The chart of Martin ratio for DFREX, currently valued at 6.15, compared to the broader market0.0020.0040.0060.0080.00100.006.1517.07
DFREX
VSTSX

The current DFREX Sharpe Ratio is 1.62, which is lower than the VSTSX Sharpe Ratio of 2.67. The chart below compares the historical Sharpe Ratios of DFREX and VSTSX, 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 Ratio0.000.501.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
1.62
2.67
DFREX
VSTSX

Dividends

DFREX vs. VSTSX - Dividend Comparison

DFREX's dividend yield for the trailing twelve months is around 2.99%, more than VSTSX's 1.27% yield.


TTM20232022202120202019201820172016201520142013
DFREX
DFA Real Estate Securities Portfolio Class I
2.99%3.17%2.60%1.59%3.22%2.09%4.88%2.98%3.16%2.86%2.60%3.03%
VSTSX
Vanguard Total Stock Market Index Fund Institutional Select Shares
1.27%1.44%1.67%1.23%1.44%1.79%2.07%1.74%1.11%0.00%0.00%0.00%

Drawdowns

DFREX vs. VSTSX - Drawdown Comparison

The maximum DFREX drawdown since its inception was -74.36%, which is greater than VSTSX's maximum drawdown of -52.42%. Use the drawdown chart below to compare losses from any high point for DFREX and VSTSX. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-6.51%
-0.82%
DFREX
VSTSX

Volatility

DFREX vs. VSTSX - Volatility Comparison

DFA Real Estate Securities Portfolio Class I (DFREX) has a higher volatility of 4.65% compared to Vanguard Total Stock Market Index Fund Institutional Select Shares (VSTSX) at 4.16%. This indicates that DFREX's price experiences larger fluctuations and is considered to be riskier than VSTSX 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
4.65%
4.16%
DFREX
VSTSX