DFXIX vs. LSSAX
DFXIX (DFA Diversified Fixed Income Portfolio) and LSSAX (Loomis Sayles Securitized Asset Fund) are both Intermediate Core Bond funds. Over the past 5 years, DFXIX returned 1.03%/yr vs 1.18%/yr for LSSAX. Their correlation of 0.84 means they have usually moved in the same direction. DFXIX charges 0.15%/yr vs 0.00%/yr for LSSAX.
Performance
DFXIX vs. LSSAX - Performance Comparison
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Returns By Period
In the year-to-date period, DFXIX achieves a 0.66% return, which is significantly lower than LSSAX's 0.81% return.
DFXIX
- 1D
- 0.00%
- 1M
- -0.43%
- 6M
- 0.44%
- YTD
- 0.66%
- 1Y
- 2.55%
- 3Y*
- 4.09%
- 5Y*
- 1.03%
- 10Y*
- —
- ALL TIME*
- 1.95%
LSSAX
- 1D
- 0.00%
- 1M
- -0.76%
- 6M
- 0.30%
- YTD
- 0.81%
- 1Y
- 4.81%
- 3Y*
- 5.73%
- 5Y*
- 1.18%
- 10Y*
- 2.36%
- ALL TIME*
- 3.92%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $0.00 | $0.00 | $0.00 |
DFXIX vs. LSSAX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
DFXIX DFA Diversified Fixed Income Portfolio | 0.66% | 5.85% | 3.05% | 4.93% | -7.88% | -0.56% | 5.90% | 5.54% | 1.07% | 0.87% |
LSSAX Loomis Sayles Securitized Asset Fund | 0.81% | 8.32% | 3.94% | 7.01% | -11.82% | 0.64% | 4.68% | 6.81% | 2.48% | 3.40% |
Correlation
The correlation between DFXIX and LSSAX is 0.77, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.77 |
Correlation (3Y) Balances recent behavior with more history. | 0.87 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.89 |
Correlation (All Time) Calculated using the full available price history since Jan 3, 2017 | 0.84 |
The correlation between DFXIX and LSSAX shifts across timeframes, from 0.77 (1 year) to 0.89 (5 years), reflecting how their relationship changes across market environments.
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Return for Risk
DFXIX vs. LSSAX — Risk / Return Rank
DFXIX
LSSAX
DFXIX vs. LSSAX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for DFA Diversified Fixed Income Portfolio (DFXIX) and Loomis Sayles Securitized Asset Fund (LSSAX). 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.
| DFXIX | LSSAX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.24 | ||
| Sortino ratioReturn per unit of downside risk | -0.42 | ||
| Omega ratioGain probability vs. loss probability | 1.21 | 1.26 | -0.05 |
| Calmar ratioReturn relative to maximum drawdown | 1.85 | 2.64 | -0.79 |
| Martin ratioReturn relative to average drawdown | 4.95 | 8.13 | -3.19 |
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Drawdowns
DFXIX vs. LSSAX - Drawdown Comparison
The maximum DFXIX drawdown since its inception was -10.51%, smaller than the maximum LSSAX drawdown of -16.40%. Use the drawdown chart below to compare losses from any high point for DFXIX and LSSAX.
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Drawdown Indicators
| DFXIX | LSSAX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -10.51% | -16.40% | +5.89% |
Max Drawdown (1Y)Largest decline over 1 year | -1.69% | -2.16% | +0.47% |
Max Drawdown (3Y)Largest decline over 3 years | -2.00% | -5.09% | +3.09% |
Max Drawdown (5Y)Largest decline over 5 years | -10.51% | -16.31% | +5.80% |
Max Drawdown (10Y)Largest decline over 10 years | — | -16.40% | — |
Current DrawdownCurrent decline from peak | -0.93% | -1.30% | +0.37% |
Average DrawdownAverage peak-to-trough decline | -2.29% | -1.97% | -0.32% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.63% | 0.67% | -0.04% |
Volatility
DFXIX vs. LSSAX - Volatility Comparison
The current volatility for DFA Diversified Fixed Income Portfolio (DFXIX) is 0.56%, while Loomis Sayles Securitized Asset Fund (LSSAX) has a volatility of 1.04%. This indicates that DFXIX experiences smaller price fluctuations and is considered to be less risky than LSSAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| DFXIX | LSSAX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.56% | 1.04% | -0.48% |
Volatility (6M)Calculated over the trailing 6-month period | 2.01% | 2.89% | -0.88% |
Volatility (1Y)Calculated over the trailing 1-year period | 2.62% | 3.99% | -1.37% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 3.59% | 5.83% | -2.24% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 3.13% | 4.44% | -1.31% |
DFXIX vs. LSSAX - Expense Ratio Comparison
DFXIX has a 0.15% expense ratio, which is higher than LSSAX's 0.00% 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%.
Dividends
DFXIX vs. LSSAX - Dividend Comparison
DFXIX's dividend yield for the trailing twelve months is around 3.86%, less than LSSAX's 4.38% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DFXIX DFA Diversified Fixed Income Portfolio | 3.86% | 3.21% | 3.72% | 3.02% | 2.69% | 2.31% | 1.39% | 2.11% | 2.10% | 1.09% | 0.00% | 0.00% |
LSSAX Loomis Sayles Securitized Asset Fund | 4.38% | 4.23% | 4.54% | 5.65% | 6.47% | 6.38% | 5.95% | 5.48% | 5.62% | 5.42% | 5.12% | 5.20% |
Frequently Asked Questions
DFXIX and LSSAX have a correlation of 0.77, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
LSSAX has higher volatility (1.04%) compared to DFXIX (0.56%). In terms of maximum drawdown, DFXIX dropped -10.51% vs LSSAX's -16.40%.
LSSAX currently has the higher Sharpe Ratio (1.43 vs 1.19), 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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