DFUVX vs. DURPX
Compare and contrast key facts about DFA U.S. Large Cap Value III Portfolio (DFUVX) and DFA US High Relative Profitability Portfolio (DURPX).
DFUVX is managed by Dimensional Fund Advisors LP. It was launched on Feb 2, 1995. DURPX is managed by Dimensional Fund Advisors LP. It was launched on May 16, 2017.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DFUVX or DURPX.
Performance
DFUVX vs. DURPX - Performance Comparison
Returns By Period
In the year-to-date period, DFUVX achieves a 21.26% return, which is significantly lower than DURPX's 24.97% return.
DFUVX
21.26%
4.27%
11.54%
29.37%
10.81%
9.47%
DURPX
24.97%
3.08%
13.77%
31.73%
15.54%
N/A
Key characteristics
| DFUVX | DURPX | |
|---|---|---|
| Sharpe Ratio | 2.48 | 2.78 |
| Sortino Ratio | 3.53 | 3.90 |
| Omega Ratio | 1.44 | 1.51 |
| Calmar Ratio | 4.83 | 4.26 |
| Martin Ratio | 14.18 | 16.75 |
| Ulcer Index | 2.10% | 1.92% |
| Daily Std Dev | 12.02% | 11.54% |
| Max Drawdown | -65.60% | -31.02% |
| Current Drawdown | 0.00% | -0.04% |
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DFUVX vs. DURPX - Expense Ratio Comparison
DFUVX has a 0.14% expense ratio, which is lower than DURPX's 0.23% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.
Correlation
The correlation between DFUVX and DURPX is 0.83, 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. DURPX - 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 DFA US High Relative Profitability Portfolio (DURPX). 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.
Dividends
DFUVX vs. DURPX - Dividend Comparison
DFUVX's dividend yield for the trailing twelve months is around 1.80%, more than DURPX's 1.18% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DFUVX DFA U.S. Large Cap Value III Portfolio | 1.80% | 2.09% | 2.18% | 1.64% | 2.09% | 2.06% | 2.42% | 2.00% | 2.07% | 2.36% | 1.89% | 1.57% |
DURPX DFA US High Relative Profitability Portfolio | 1.18% | 1.49% | 1.63% | 1.19% | 1.35% | 1.36% | 1.70% | 0.77% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
DFUVX vs. DURPX - Drawdown Comparison
The maximum DFUVX drawdown since its inception was -65.60%, which is greater than DURPX's maximum drawdown of -31.02%. Use the drawdown chart below to compare losses from any high point for DFUVX and DURPX. For additional features, visit the drawdowns tool.
Volatility
DFUVX vs. DURPX - Volatility Comparison
DFA U.S. Large Cap Value III Portfolio (DFUVX) has a higher volatility of 4.76% compared to DFA US High Relative Profitability Portfolio (DURPX) at 3.68%. This indicates that DFUVX's price experiences larger fluctuations and is considered to be riskier than DURPX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.