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

Performance

DFUVX vs. DFAT - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in DFA U.S. Large Cap Value III Portfolio (DFUVX) and Dimensional U.S. Targeted Value ETF (DFAT). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
8.49%
8.46%
DFUVX
DFAT

Returns By Period

In the year-to-date period, DFUVX achieves a 19.20% return, which is significantly higher than DFAT's 12.32% return.


DFUVX

YTD

19.20%

1M

0.87%

6M

8.59%

1Y

28.19%

5Y (annualized)

10.71%

10Y (annualized)

9.32%

DFAT

YTD

12.32%

1M

2.81%

6M

8.30%

1Y

26.24%

5Y (annualized)

N/A

10Y (annualized)

N/A

Key characteristics


DFUVXDFAT
Sharpe Ratio2.441.41
Sortino Ratio3.472.11
Omega Ratio1.441.26
Calmar Ratio4.722.87
Martin Ratio13.907.27
Ulcer Index2.09%3.85%
Daily Std Dev11.96%19.91%
Max Drawdown-65.60%-20.01%
Current Drawdown-1.35%-3.10%

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DFUVX vs. DFAT - Expense Ratio Comparison

DFUVX has a 0.14% 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 DFUVX: current value at 0.14% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.14%

Correlation

-0.50.00.51.00.9

The correlation between DFUVX and DFAT is 0.92, 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

DFUVX vs. DFAT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for DFA U.S. Large Cap Value III Portfolio (DFUVX) 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.


Sharpe ratio
The chart of Sharpe ratio for DFUVX, currently valued at 2.44, compared to the broader market0.002.004.002.441.41
The chart of Sortino ratio for DFUVX, currently valued at 3.47, compared to the broader market0.005.0010.003.472.11
The chart of Omega ratio for DFUVX, currently valued at 1.44, compared to the broader market1.002.003.004.001.441.26
The chart of Calmar ratio for DFUVX, currently valued at 4.72, compared to the broader market0.005.0010.0015.0020.0025.004.722.87
The chart of Martin ratio for DFUVX, currently valued at 13.90, compared to the broader market0.0020.0040.0060.0080.00100.0013.907.27
DFUVX
DFAT

The current DFUVX Sharpe Ratio is 2.44, which is higher than the DFAT Sharpe Ratio of 1.41. The chart below compares the historical Sharpe Ratios of DFUVX 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 Ratio0.501.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.44
1.41
DFUVX
DFAT

Dividends

DFUVX vs. DFAT - Dividend Comparison

DFUVX's dividend yield for the trailing twelve months is around 1.83%, more than DFAT's 1.23% yield.


TTM20232022202120202019201820172016201520142013
DFUVX
DFA U.S. Large Cap Value III Portfolio
1.83%2.09%2.18%1.64%2.09%2.06%2.42%2.00%2.07%2.36%1.89%1.57%
DFAT
Dimensional U.S. Targeted Value ETF
1.23%1.34%1.34%1.13%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

DFUVX vs. DFAT - Drawdown Comparison

The maximum DFUVX drawdown since its inception was -65.60%, which is greater than DFAT's maximum drawdown of -20.01%. Use the drawdown chart below to compare losses from any high point for DFUVX and DFAT. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.35%
-3.10%
DFUVX
DFAT

Volatility

DFUVX vs. DFAT - Volatility Comparison

The current volatility for DFA U.S. Large Cap Value III Portfolio (DFUVX) is 4.70%, while Dimensional U.S. Targeted Value ETF (DFAT) has a volatility of 8.07%. This indicates that DFUVX 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
4.70%
8.07%
DFUVX
DFAT