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

Performance

DFUVX vs. VVIAX - 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 Vanguard Value Index Fund Admiral Shares (VVIAX). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
7.87%
9.35%
DFUVX
VVIAX

Returns By Period

In the year-to-date period, DFUVX achieves a 18.52% return, which is significantly lower than VVIAX's 20.06% return. Over the past 10 years, DFUVX has underperformed VVIAX with an annualized return of 9.26%, while VVIAX has yielded a comparatively higher 10.41% annualized return.


DFUVX

YTD

18.52%

1M

0.30%

6M

7.87%

1Y

27.14%

5Y (annualized)

10.54%

10Y (annualized)

9.26%

VVIAX

YTD

20.06%

1M

-0.85%

6M

9.35%

1Y

27.75%

5Y (annualized)

11.53%

10Y (annualized)

10.41%

Key characteristics


DFUVXVVIAX
Sharpe Ratio2.302.76
Sortino Ratio3.293.87
Omega Ratio1.411.50
Calmar Ratio4.455.47
Martin Ratio13.0917.51
Ulcer Index2.10%1.61%
Daily Std Dev11.95%10.19%
Max Drawdown-65.60%-59.32%
Current Drawdown-1.91%-1.62%

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DFUVX vs. VVIAX - Expense Ratio Comparison

DFUVX has a 0.14% expense ratio, which is higher than VVIAX's 0.05% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


DFUVX
DFA U.S. Large Cap Value III Portfolio
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%
Expense ratio chart for VVIAX: current value at 0.05% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.05%

Correlation

-0.50.00.51.01.0

The correlation between DFUVX and VVIAX is 0.96, 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. VVIAX - 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 Vanguard Value Index Fund Admiral Shares (VVIAX). 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 2.30, compared to the broader market0.002.004.002.302.76
The chart of Sortino ratio for DFUVX, currently valued at 3.29, compared to the broader market0.005.0010.003.293.87
The chart of Omega ratio for DFUVX, currently valued at 1.41, compared to the broader market1.002.003.004.001.411.50
The chart of Calmar ratio for DFUVX, currently valued at 4.45, compared to the broader market0.005.0010.0015.0020.0025.004.455.47
The chart of Martin ratio for DFUVX, currently valued at 13.09, compared to the broader market0.0020.0040.0060.0080.00100.0013.0917.51
DFUVX
VVIAX

The current DFUVX Sharpe Ratio is 2.30, which is comparable to the VVIAX Sharpe Ratio of 2.76. The chart below compares the historical Sharpe Ratios of DFUVX and VVIAX, 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
2.30
2.76
DFUVX
VVIAX

Dividends

DFUVX vs. VVIAX - Dividend Comparison

DFUVX's dividend yield for the trailing twelve months is around 1.84%, less than VVIAX's 2.24% yield.


TTM20232022202120202019201820172016201520142013
DFUVX
DFA U.S. Large Cap Value III Portfolio
1.84%2.09%2.18%1.64%2.09%2.06%2.42%2.00%2.07%2.36%1.89%1.57%
VVIAX
Vanguard Value Index Fund Admiral Shares
2.24%2.45%2.51%2.14%2.54%2.49%2.72%2.29%2.45%2.60%2.22%2.21%

Drawdowns

DFUVX vs. VVIAX - Drawdown Comparison

The maximum DFUVX drawdown since its inception was -65.60%, which is greater than VVIAX's maximum drawdown of -59.32%. Use the drawdown chart below to compare losses from any high point for DFUVX and VVIAX. For additional features, visit the drawdowns tool.


-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.91%
-1.62%
DFUVX
VVIAX

Volatility

DFUVX vs. VVIAX - Volatility Comparison

DFA U.S. Large Cap Value III Portfolio (DFUVX) has a higher volatility of 4.62% compared to Vanguard Value Index Fund Admiral Shares (VVIAX) at 3.52%. This indicates that DFUVX's price experiences larger fluctuations and is considered to be riskier than VVIAX 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%JuneJulyAugustSeptemberOctoberNovember
4.62%
3.52%
DFUVX
VVIAX