DFUEX vs. SGOIX
DFUEX (DFA U.S. Social Core Equity 2 Portfolio) and SGOIX (First Eagle Overseas Fund Class I) are both Large Cap Blend Equities funds. Over the past 10 years, DFUEX returned 14.61%/yr vs 8.49%/yr for SGOIX. A 0.64 correlation means they provide meaningful diversification when combined. DFUEX charges 0.21%/yr vs 0.88%/yr for SGOIX.
Performance
DFUEX vs. SGOIX - Performance Comparison
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Returns By Period
In the year-to-date period, DFUEX achieves a 12.53% return, which is significantly higher than SGOIX's 8.49% return. Over the past 10 years, DFUEX has outperformed SGOIX with an annualized return of 14.61%, while SGOIX has yielded a comparatively lower 8.49% annualized return.
DFUEX
- 1D
- 1.23%
- 1M
- 1.67%
- YTD
- 12.53%
- 6M
- 11.32%
- 1Y
- 29.47%
- 3Y*
- 20.80%
- 5Y*
- 13.07%
- 10Y*
- 14.61%
SGOIX
- 1D
- 0.44%
- 1M
- -0.88%
- YTD
- 8.49%
- 6M
- 8.91%
- 1Y
- 27.74%
- 3Y*
- 17.69%
- 5Y*
- 10.37%
- 10Y*
- 8.49%
DFUEX vs. SGOIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
DFUEX DFA U.S. Social Core Equity 2 Portfolio | 12.53% | 15.65% | 22.08% | 25.95% | -17.95% | 27.86% | 15.75% | 33.20% | -9.98% | 18.36% |
SGOIX First Eagle Overseas Fund Class I | 8.49% | 39.06% | 6.45% | 10.73% | -7.86% | 5.25% | 7.25% | 17.90% | -9.95% | 14.38% |
Correlation
The correlation between DFUEX and SGOIX is 0.63, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.63 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.62 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.67 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.67 |
Correlation (All Time) Calculated using the full available price history since Aug 3, 2012 | 0.64 |
The correlation between DFUEX and SGOIX has been stable across timeframes, ranging from 0.62 to 0.67 - a consistent structural relationship.
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Return for Risk
DFUEX vs. SGOIX — Risk / Return Rank
DFUEX
SGOIX
DFUEX vs. SGOIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for DFA U.S. Social Core Equity 2 Portfolio (DFUEX) and First Eagle Overseas Fund Class I (SGOIX). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| DFUEX | SGOIX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.04 | ||
| Sortino ratioReturn per unit of downside risk | +0.18 | ||
| Omega ratioGain probability vs. loss probability | 1.38 | 1.39 | -0.01 |
| Calmar ratioReturn relative to maximum drawdown | 2.98 | 2.35 | +0.62 |
| Martin ratioReturn relative to average drawdown | 12.65 | 7.61 | +5.03 |
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Drawdowns
DFUEX vs. SGOIX - Drawdown Comparison
The maximum DFUEX drawdown since its inception was -37.99%, which is greater than SGOIX's maximum drawdown of -35.54%. Use the drawdown chart below to compare losses from any high point for DFUEX and SGOIX.
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Drawdown Indicators
| DFUEX | SGOIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -37.99% | -35.54% | -2.45% |
Max Drawdown (1Y)Largest decline over 1 year | -10.04% | -11.35% | +1.31% |
Max Drawdown (3Y)Largest decline over 3 years | -21.68% | -11.35% | -10.33% |
Max Drawdown (5Y)Largest decline over 5 years | -25.56% | -20.21% | -5.35% |
Max Drawdown (10Y)Largest decline over 10 years | -37.99% | -24.79% | -13.20% |
Current DrawdownCurrent decline from peak | -0.96% | -4.79% | +3.83% |
Average DrawdownAverage peak-to-trough decline | -4.66% | -4.57% | -0.09% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.35% | 3.50% | -1.15% |
Volatility
DFUEX vs. SGOIX - Volatility Comparison
DFA U.S. Social Core Equity 2 Portfolio (DFUEX) has a higher volatility of 5.21% compared to First Eagle Overseas Fund Class I (SGOIX) at 4.14%. This indicates that DFUEX's price experiences larger fluctuations and is considered to be riskier than SGOIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| DFUEX | SGOIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.21% | 4.14% | +1.07% |
Volatility (6M)Calculated over the trailing 6-month period | 11.19% | 10.88% | +0.31% |
Volatility (1Y)Calculated over the trailing 1-year period | 13.97% | 12.71% | +1.26% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 18.48% | 11.99% | +6.49% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 19.26% | 11.46% | +7.80% |
DFUEX vs. SGOIX - Expense Ratio Comparison
DFUEX has a 0.21% expense ratio, which is lower than SGOIX's 0.88% expense ratio.
Dividends
DFUEX vs. SGOIX - Dividend Comparison
DFUEX's dividend yield for the trailing twelve months is around 0.75%, less than SGOIX's 7.79% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DFUEX DFA U.S. Social Core Equity 2 Portfolio | 0.75% | 0.64% | 0.93% | 1.78% | 4.61% | 4.73% | 1.18% | 5.79% | 3.19% | 2.12% | 2.05% | 2.95% |
SGOIX First Eagle Overseas Fund Class I | 7.79% | 8.45% | 8.49% | 2.45% | 3.81% | 5.92% | 0.47% | 5.70% | 3.36% | 3.59% | 3.80% | 1.58% |
Frequently Asked Questions
DFUEX and SGOIX have a correlation of 0.63, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
DFUEX has higher volatility (5.21%) compared to SGOIX (4.14%). In terms of maximum drawdown, DFUEX dropped -37.99% vs SGOIX's -35.54%.
DFUEX currently has the higher Sharpe Ratio (2.14 vs 2.10), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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