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DFUS vs. DFAT
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


DFUSDFAT
YTD Return27.18%15.91%
1Y Return38.79%36.99%
3Y Return (Ann)9.94%8.52%
Sharpe Ratio3.201.88
Sortino Ratio4.212.76
Omega Ratio1.601.34
Calmar Ratio4.743.76
Martin Ratio20.9810.04
Ulcer Index1.95%3.84%
Daily Std Dev12.77%20.48%
Max Drawdown-24.62%-20.01%
Current Drawdown0.00%0.00%

Correlation

-0.50.00.51.00.8

The correlation between DFUS and DFAT is 0.80, 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.

Performance

DFUS vs. DFAT - Performance Comparison

In the year-to-date period, DFUS achieves a 27.18% return, which is significantly higher than DFAT's 15.91% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
15.39%
12.03%
DFUS
DFAT

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DFUS vs. DFAT - Expense Ratio Comparison

DFUS has a 0.11% expense ratio, which is lower than DFAT's 0.34% expense ratio.


DFAT
Dimensional U.S. Targeted Value ETF
Expense ratio chart for DFAT: current value at 0.34% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.34%
Expense ratio chart for DFUS: current value at 0.11% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.11%

Risk-Adjusted Performance

DFUS vs. DFAT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Dimensional U.S. Equity ETF (DFUS) and Dimensional U.S. Targeted Value ETF (DFAT). 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.


DFUS
Sharpe ratio
The chart of Sharpe ratio for DFUS, currently valued at 3.20, compared to the broader market-2.000.002.004.006.003.20
Sortino ratio
The chart of Sortino ratio for DFUS, currently valued at 4.21, compared to the broader market0.005.0010.004.21
Omega ratio
The chart of Omega ratio for DFUS, currently valued at 1.60, compared to the broader market1.001.502.002.503.001.60
Calmar ratio
The chart of Calmar ratio for DFUS, currently valued at 4.74, compared to the broader market0.005.0010.0015.004.74
Martin ratio
The chart of Martin ratio for DFUS, currently valued at 20.98, compared to the broader market0.0020.0040.0060.0080.00100.00120.0020.98
DFAT
Sharpe ratio
The chart of Sharpe ratio for DFAT, currently valued at 1.88, compared to the broader market-2.000.002.004.006.001.88
Sortino ratio
The chart of Sortino ratio for DFAT, currently valued at 2.76, compared to the broader market0.005.0010.002.76
Omega ratio
The chart of Omega ratio for DFAT, currently valued at 1.34, compared to the broader market1.001.502.002.503.001.34
Calmar ratio
The chart of Calmar ratio for DFAT, currently valued at 3.76, compared to the broader market0.005.0010.0015.003.76
Martin ratio
The chart of Martin ratio for DFAT, currently valued at 10.04, compared to the broader market0.0020.0040.0060.0080.00100.00120.0010.04

DFUS vs. DFAT - Sharpe Ratio Comparison

The current DFUS Sharpe Ratio is 3.20, which is higher than the DFAT Sharpe Ratio of 1.88. The chart below compares the historical Sharpe Ratios of DFUS and DFAT, 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
3.20
1.88
DFUS
DFAT

Dividends

DFUS vs. DFAT - Dividend Comparison

DFUS's dividend yield for the trailing twelve months is around 1.02%, less than DFAT's 1.19% yield.


TTM202320222021
DFUS
Dimensional U.S. Equity ETF
1.02%1.33%1.48%0.85%
DFAT
Dimensional U.S. Targeted Value ETF
1.19%1.34%1.34%1.13%

Drawdowns

DFUS vs. DFAT - Drawdown Comparison

The maximum DFUS drawdown since its inception was -24.62%, which is greater than DFAT's maximum drawdown of -20.01%. Use the drawdown chart below to compare losses from any high point for DFUS and DFAT. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember00
DFUS
DFAT

Volatility

DFUS vs. DFAT - Volatility Comparison

The current volatility for Dimensional U.S. Equity ETF (DFUS) is 4.25%, while Dimensional U.S. Targeted Value ETF (DFAT) has a volatility of 7.87%. This indicates that DFUS experiences smaller price fluctuations and is considered to be less risky than DFAT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
4.25%
7.87%
DFUS
DFAT