DMO vs. HGLB
DMO (Dimensional Multi-Asset Fund) and HGLB (Highland Global Allocation Fund) are both Global Allocation funds. Over the past 5 years, DMO returned 4.03%/yr vs 6.79%/yr for HGLB. Their 0.19 correlation means their historical movements had little consistent relationship. DMO charges 0.04%/yr vs 0.02%/yr for HGLB.
Performance
DMO vs. HGLB - Performance Comparison
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Returns By Period
In the year-to-date period, DMO achieves a 0.98% return, which is significantly higher than HGLB's -12.48% return.
DMO
- 1D
- -0.10%
- 1M
- -2.44%
- 6M
- 0.79%
- YTD
- 0.98%
- 1Y
- -0.66%
- 3Y*
- 11.17%
- 5Y*
- 4.03%
- 10Y*
- 3.75%
- ALL TIME*
- 8.24%
HGLB
- 1D
- 1.64%
- 1M
- -2.00%
- 6M
- -9.85%
- YTD
- -12.48%
- 1Y
- 2.90%
- 3Y*
- 8.10%
- 5Y*
- 6.79%
- 10Y*
- —
- ALL TIME*
- 2.60%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $406.77K | $422.33K | $418.75K | |
| $492.61K | $589.18K | $705.98K |
DMO vs. HGLB - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
DMO Dimensional Multi-Asset Fund | 0.98% | 6.95% | 20.24% | 16.79% | -21.64% | 17.12% | -22.32% | 5.09% |
HGLB Highland Global Allocation Fund | -12.48% | 51.74% | -1.52% | -6.15% | 14.53% | 53.22% | -17.98% | -31.46% |
Correlation
The correlation between DMO and HGLB is 0.26, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.26 |
Correlation (3Y) Balances recent behavior with more history. | 0.21 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.20 |
Correlation (All Time) Calculated using the full available price history since Feb 19, 2019 | 0.19 |
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Return for Risk
DMO vs. HGLB — Risk / Return Rank
DMO
HGLB
DMO vs. HGLB - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Dimensional Multi-Asset Fund (DMO) and Highland Global Allocation Fund (HGLB). 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.
| DMO | HGLB | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.09 | ||
| Sortino ratioReturn per unit of downside risk | -0.21 | ||
| Omega ratioGain probability vs. loss probability | 1.00 | 1.03 | -0.03 |
| Calmar ratioReturn relative to maximum drawdown | -0.05 | 0.04 | -0.09 |
| Martin ratioReturn relative to average drawdown | -0.12 | 0.07 | -0.19 |
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Drawdowns
DMO vs. HGLB - Drawdown Comparison
The maximum DMO drawdown since its inception was -49.16%, smaller than the maximum HGLB drawdown of -70.40%. Use the drawdown chart below to compare losses from any high point for DMO and HGLB.
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Drawdown Indicators
| DMO | HGLB | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -49.16% | -70.40% | +21.24% |
Max Drawdown (1Y)Largest decline over 1 year | -8.37% | -24.13% | +15.76% |
Max Drawdown (3Y)Largest decline over 3 years | -9.04% | -24.13% | +15.09% |
Max Drawdown (5Y)Largest decline over 5 years | -29.04% | -29.88% | +0.84% |
Max Drawdown (10Y)Largest decline over 10 years | -49.16% | — | — |
Current DrawdownCurrent decline from peak | -5.13% | -22.14% | +17.01% |
Average DrawdownAverage peak-to-trough decline | -9.55% | -18.26% | +8.71% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.58% | 13.89% | -10.31% |
Volatility
DMO vs. HGLB - Volatility Comparison
The current volatility for Dimensional Multi-Asset Fund (DMO) is 1.47%, while Highland Global Allocation Fund (HGLB) has a volatility of 4.40%. This indicates that DMO experiences smaller price fluctuations and is considered to be less risky than HGLB based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| DMO | HGLB | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.47% | 4.40% | -2.93% |
Volatility (6M)Calculated over the trailing 6-month period | 7.76% | 13.08% | -5.32% |
Volatility (1Y)Calculated over the trailing 1-year period | 10.06% | 21.22% | -11.16% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 12.64% | 22.17% | -9.53% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 19.91% | 27.50% | -7.59% |
DMO vs. HGLB - Expense Ratio Comparison
DMO has a 0.04% expense ratio, which is higher than HGLB's 0.02% 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
DMO vs. HGLB - Dividend Comparison
DMO's dividend yield for the trailing twelve months is around 14.31%, more than HGLB's 13.93% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DMO Dimensional Multi-Asset Fund | 14.31% | 14.01% | 12.92% | 11.46% | 11.51% | 8.88% | 10.95% | 9.63% | 18.93% | 13.30% | 13.19% | 14.09% |
HGLB Highland Global Allocation Fund | 13.93% | 11.57% | 14.27% | 12.82% | 10.32% | 9.39% | 15.44% | 11.35% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
DMO and HGLB have a correlation of 0.26, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
HGLB has higher volatility (4.40%) compared to DMO (1.47%). In terms of maximum drawdown, DMO dropped -49.16% vs HGLB's -70.40%.
HGLB currently has the higher Sharpe Ratio (0.04 vs -0.04), 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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