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DFSIX vs. DUSLX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

DFSIX vs. DUSLX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in DFA U.S. Sustainability Core 1 Portfolio (DFSIX) and DFA U.S. Large Cap Growth Portfolio (DUSLX). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
14.53%
14.13%
DFSIX
DUSLX

Returns By Period

The year-to-date returns for both investments are quite close, with DFSIX having a 26.69% return and DUSLX slightly higher at 27.47%. Over the past 10 years, DFSIX has underperformed DUSLX with an annualized return of 13.05%, while DUSLX has yielded a comparatively higher 14.16% annualized return.


DFSIX

YTD

26.69%

1M

4.61%

6M

14.53%

1Y

35.36%

5Y (annualized)

16.04%

10Y (annualized)

13.05%

DUSLX

YTD

27.47%

1M

2.38%

6M

14.13%

1Y

33.38%

5Y (annualized)

16.69%

10Y (annualized)

14.16%

Key characteristics


DFSIXDUSLX
Sharpe Ratio2.672.67
Sortino Ratio3.613.71
Omega Ratio1.491.48
Calmar Ratio4.304.31
Martin Ratio17.0915.82
Ulcer Index2.07%2.11%
Daily Std Dev13.23%12.51%
Max Drawdown-53.65%-30.86%
Current Drawdown-0.42%-1.00%

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DFSIX vs. DUSLX - Expense Ratio Comparison

Both DFSIX and DUSLX have an expense ratio of 0.18%, making them cost-effective options compared to the broader market, where average expense ratios typically range from 0.3% to 0.9%.


DFSIX
DFA U.S. Sustainability Core 1 Portfolio
Expense ratio chart for DFSIX: 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 DUSLX: 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

-0.50.00.51.00.9

The correlation between DFSIX and DUSLX is 0.94, 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

DFSIX vs. DUSLX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for DFA U.S. Sustainability Core 1 Portfolio (DFSIX) and DFA U.S. Large Cap Growth Portfolio (DUSLX). 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 DFSIX, currently valued at 2.67, compared to the broader market-1.000.001.002.003.004.005.002.672.67
The chart of Sortino ratio for DFSIX, currently valued at 3.61, compared to the broader market0.005.0010.003.613.71
The chart of Omega ratio for DFSIX, currently valued at 1.49, compared to the broader market1.002.003.004.001.491.48
The chart of Calmar ratio for DFSIX, currently valued at 4.30, compared to the broader market0.005.0010.0015.0020.004.304.31
The chart of Martin ratio for DFSIX, currently valued at 17.09, compared to the broader market0.0020.0040.0060.0080.00100.0017.0915.82
DFSIX
DUSLX

The current DFSIX Sharpe Ratio is 2.67, which is comparable to the DUSLX Sharpe Ratio of 2.67. The chart below compares the historical Sharpe Ratios of DFSIX and DUSLX, 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 Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.67
2.67
DFSIX
DUSLX

Dividends

DFSIX vs. DUSLX - Dividend Comparison

DFSIX's dividend yield for the trailing twelve months is around 1.02%, which matches DUSLX's 1.01% yield.


TTM20232022202120202019201820172016201520142013
DFSIX
DFA U.S. Sustainability Core 1 Portfolio
1.02%1.21%1.35%0.95%1.19%1.18%1.34%1.43%1.49%1.55%1.36%1.23%
DUSLX
DFA U.S. Large Cap Growth Portfolio
1.01%1.27%1.52%1.10%1.43%1.53%1.90%1.50%1.72%1.75%1.49%1.14%

Drawdowns

DFSIX vs. DUSLX - Drawdown Comparison

The maximum DFSIX drawdown since its inception was -53.65%, which is greater than DUSLX's maximum drawdown of -30.86%. Use the drawdown chart below to compare losses from any high point for DFSIX and DUSLX. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.42%
-1.00%
DFSIX
DUSLX

Volatility

DFSIX vs. DUSLX - Volatility Comparison

DFA U.S. Sustainability Core 1 Portfolio (DFSIX) has a higher volatility of 4.56% compared to DFA U.S. Large Cap Growth Portfolio (DUSLX) at 3.87%. This indicates that DFSIX's price experiences larger fluctuations and is considered to be riskier than DUSLX 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%7.00%JuneJulyAugustSeptemberOctoberNovember
4.56%
3.87%
DFSIX
DUSLX