DGEIX vs. VGPMX
Compare and contrast key facts about DFA Global Equity Portfolio Institutional Class (DGEIX) and Vanguard Global Capital Cycles Fund (VGPMX).
DGEIX is managed by Dimensional. It was launched on Dec 24, 2003. VGPMX is managed by Vanguard. It was launched on May 23, 1984.
Performance
DGEIX vs. VGPMX - Performance Comparison
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DGEIX vs. VGPMX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
DGEIX DFA Global Equity Portfolio Institutional Class | -2.92% | 19.86% | 15.71% | 20.35% | -14.72% | 20.31% | 13.51% | 26.68% | -11.48% | 21.36% |
VGPMX Vanguard Global Capital Cycles Fund | 4.53% | 65.96% | 5.78% | 10.06% | 7.34% | 19.50% | 17.21% | 20.67% | -32.26% | 13.75% |
Returns By Period
In the year-to-date period, DGEIX achieves a -2.92% return, which is significantly lower than VGPMX's 4.53% return. Over the past 10 years, DGEIX has underperformed VGPMX with an annualized return of 11.09%, while VGPMX has yielded a comparatively higher 12.39% annualized return.
DGEIX
- 1D
- -0.46%
- 1M
- -8.33%
- YTD
- -2.92%
- 6M
- 0.08%
- 1Y
- 18.73%
- 3Y*
- 15.30%
- 5Y*
- 8.85%
- 10Y*
- 11.09%
VGPMX
- 1D
- -0.02%
- 1M
- -10.69%
- YTD
- 4.53%
- 6M
- 17.55%
- 1Y
- 57.21%
- 3Y*
- 24.25%
- 5Y*
- 19.13%
- 10Y*
- 12.39%
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DGEIX vs. VGPMX - Expense Ratio Comparison
DGEIX has a 0.25% expense ratio, which is lower than VGPMX's 0.36% expense ratio.
Return for Risk
DGEIX vs. VGPMX — Risk / Return Rank
DGEIX
VGPMX
DGEIX vs. VGPMX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for DFA Global Equity Portfolio Institutional Class (DGEIX) and Vanguard Global Capital Cycles Fund (VGPMX). 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.
| DGEIX | VGPMX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.16 | 2.94 | -1.78 |
Sortino ratioReturn per unit of downside risk | 1.69 | 3.51 | -1.82 |
Omega ratioGain probability vs. loss probability | 1.26 | 1.56 | -0.30 |
Calmar ratioReturn relative to maximum drawdown | 1.39 | 4.24 | -2.86 |
Martin ratioReturn relative to average drawdown | 6.66 | 17.59 | -10.94 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| DGEIX | VGPMX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.16 | 2.94 | -1.78 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.57 | 1.12 | -0.55 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.66 | 0.57 | +0.09 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.48 | 0.25 | +0.23 |
Correlation
The correlation between DGEIX and VGPMX is 0.65, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Dividends
DGEIX vs. VGPMX - Dividend Comparison
DGEIX's dividend yield for the trailing twelve months is around 3.13%, less than VGPMX's 3.73% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DGEIX DFA Global Equity Portfolio Institutional Class | 3.13% | 2.79% | 3.64% | 3.82% | 4.92% | 1.94% | 2.37% | 2.22% | 2.62% | 1.50% | 1.90% | 1.98% |
VGPMX Vanguard Global Capital Cycles Fund | 3.73% | 2.59% | 2.68% | 3.22% | 3.27% | 3.26% | 2.03% | 2.39% | 3.02% | 0.02% | 1.72% | 2.32% |
Drawdowns
DGEIX vs. VGPMX - Drawdown Comparison
The maximum DGEIX drawdown since its inception was -59.77%, smaller than the maximum VGPMX drawdown of -78.85%. Use the drawdown chart below to compare losses from any high point for DGEIX and VGPMX.
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Drawdown Indicators
| DGEIX | VGPMX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -59.77% | -78.85% | +19.08% |
Max Drawdown (1Y)Largest decline over 1 year | -12.05% | -12.80% | +0.75% |
Max Drawdown (5Y)Largest decline over 5 years | -25.20% | -22.71% | -2.49% |
Max Drawdown (10Y)Largest decline over 10 years | -37.00% | -54.59% | +17.59% |
Current DrawdownCurrent decline from peak | -8.85% | -10.73% | +1.88% |
Average DrawdownAverage peak-to-trough decline | -8.05% | -34.69% | +26.64% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.51% | 3.09% | -0.58% |
Volatility
DGEIX vs. VGPMX - Volatility Comparison
The current volatility for DFA Global Equity Portfolio Institutional Class (DGEIX) is 4.58%, while Vanguard Global Capital Cycles Fund (VGPMX) has a volatility of 7.56%. This indicates that DGEIX experiences smaller price fluctuations and is considered to be less risky than VGPMX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| DGEIX | VGPMX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.58% | 7.56% | -2.98% |
Volatility (6M)Calculated over the trailing 6-month period | 8.84% | 13.14% | -4.30% |
Volatility (1Y)Calculated over the trailing 1-year period | 16.42% | 19.28% | -2.86% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 15.61% | 17.15% | -1.54% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.84% | 21.65% | -4.81% |