DREIX vs. GVAL

Last updated Jun 25, 2026

DREIX (DFA World Core Equity Portfolio) and GVAL (Cambria Global Value ETF) are both Global Equities funds. Over the past 10 years, DREIX returned 12.57%/yr vs 11.68%/yr for GVAL. A 0.74 correlation means they provide meaningful diversification when combined. DREIX charges 0.27%/yr vs 0.64%/yr for GVAL.

Performance

DREIX vs. GVAL - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in DFA World Core Equity Portfolio (DREIX) and Cambria Global Value ETF (GVAL). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, DREIX achieves a 10.90% return, which is significantly lower than GVAL's 15.95% return. Over the past 10 years, DREIX has outperformed GVAL with an annualized return of 12.57%, while GVAL has yielded a comparatively lower 11.68% annualized return.

DREIX

• 1D: -1.77%
• 1M: -0.29%
• YTD: 10.90%
• 6M: 9.92%
• 1Y: 25.33%
• 3Y*: 19.71%
• 5Y*: 10.63%
• 10Y*: 12.57%

GVAL

• 1D: -1.23%
• 1M: 2.99%
• YTD: 15.95%
• 6M: 15.40%
• 1Y: 39.29%
• 3Y*: 26.91%
• 5Y*: 13.95%
• 10Y*: 11.68%

*Multi-year figures are annualized to reflect compound growth (CAGR)

DREIX vs. GVAL - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
DREIX DFA World Core Equity Portfolio	10.90%	21.88%	14.91%	20.52%	-14.84%	19.09%	13.43%	25.48%	-12.30%	24.27%
GVAL Cambria Global Value ETF	15.95%	55.87%	2.59%	13.30%	-7.98%	10.70%	-8.51%	17.24%	-14.30%	29.50%

Correlation

The correlation between DREIX and GVAL is 0.77, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.77
Correlation (3Y) Calculated over the trailing 3-year period	0.70
Correlation (5Y) Calculated over the trailing 5-year period	0.72
Correlation (10Y) Calculated over the trailing 10-year period	0.74
Correlation (All Time) Calculated using the full available price history since Mar 12, 2014	0.74

The correlation between DREIX and GVAL has been stable across timeframes, ranging from 0.70 to 0.77 - a consistent structural relationship.

Return for Risk

DREIX vs. GVAL — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

DREIX

DREIX Risk / Return Rank: 70
DREIX Sharpe Ratio Rank: 71
DREIX Sortino Ratio Rank: 68
DREIX Omega Ratio Rank: 67
DREIX Calmar Ratio Rank: 69
DREIX Martin Ratio Rank: 75

GVAL

GVAL Risk / Return Rank: 81
GVAL Sharpe Ratio Rank: 87
GVAL Sortino Ratio Rank: 85
GVAL Omega Ratio Rank: 84
GVAL Calmar Ratio Rank: 75
GVAL Martin Ratio Rank: 76

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

DREIX vs. GVAL - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for DFA World Core Equity Portfolio (DREIX) and Cambria Global Value ETF (GVAL). 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.

	DREIX	GVAL	Difference
Sharpe ratio: Return per unit of total volatility	2.21	2.54	-0.33
Sortino ratio: Return per unit of downside risk	3.06	3.39	-0.33
Omega ratio: Gain probability vs. loss probability	1.40	1.45	-0.05
Calmar ratio: Return relative to maximum drawdown	2.97	3.43	-0.46
Martin ratio: Return relative to average drawdown	12.77	13.04	-0.27

DREIX vs. GVAL - Sharpe Ratio Comparison

The current DREIX Sharpe Ratio is 2.21, which is comparable to the GVAL Sharpe Ratio of 2.54. The chart below compares the historical Sharpe Ratios of DREIX and GVAL, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

DREIX vs. GVAL - Drawdown Comparison

The maximum DREIX drawdown since its inception was -36.65%, smaller than the maximum GVAL drawdown of -46.82%. Use the drawdown chart below to compare losses from any high point for DREIX and GVAL.

Drawdown Indicators

	DREIX	GVAL	Difference
Max Drawdown Largest peak-to-trough decline	-36.65%	-46.82%	+10.17%
Max Drawdown (1Y) Largest decline over 1 year	-9.15%	-11.50%	+2.35%
Max Drawdown (3Y) Largest decline over 3 years	-16.19%	-15.72%	-0.47%
Max Drawdown (5Y) Largest decline over 5 years	-24.83%	-30.83%	+6.00%
Max Drawdown (10Y) Largest decline over 10 years	-36.65%	-46.82%	+10.17%
Current Drawdown Current decline from peak	-2.30%	-3.51%	+1.21%
Average Drawdown Average peak-to-trough decline	-4.80%	-13.82%	+9.02%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.12%	3.02%	-0.90%

Volatility

DREIX vs. GVAL - Volatility Comparison

The current volatility for DFA World Core Equity Portfolio (DREIX) is 5.02%, while Cambria Global Value ETF (GVAL) has a volatility of 6.52%. This indicates that DREIX experiences smaller price fluctuations and is considered to be less risky than GVAL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	DREIX	GVAL	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.02%	6.52%	-1.50%
Volatility (6M) Calculated over the trailing 6-month period	10.30%	13.85%	-3.55%
Volatility (1Y) Calculated over the trailing 1-year period	12.34%	15.62%	-3.28%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	15.39%	18.60%	-3.21%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.41%	19.01%	-2.60%

DREIX vs. GVAL - Expense Ratio Comparison

DREIX has a 0.27% expense ratio, which is lower than GVAL's 0.64% expense ratio.

Dividends

DREIX vs. GVAL - Dividend Comparison

DREIX's dividend yield for the trailing twelve months is around 4.77%, more than GVAL's 2.46% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
DREIX DFA World Core Equity Portfolio	4.77%	5.06%	3.22%	3.23%	3.54%	1.40%	1.47%	2.12%	2.88%	1.42%	1.77%	2.11%
GVAL Cambria Global Value ETF	2.46%	2.93%	4.75%	6.12%	5.05%	2.97%	1.90%	2.84%	4.65%	2.00%	2.54%	2.11%

Frequently Asked Questions

Can I hold both DREIX and GVAL in my portfolio?

DREIX and GVAL 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.

Which is riskier, DREIX or GVAL?

GVAL has higher volatility (6.52%) compared to DREIX (5.02%). In terms of maximum drawdown, DREIX dropped -36.65% vs GVAL's -46.82%.

Which has better risk-adjusted returns?

GVAL currently has the higher Sharpe Ratio (2.54 vs 2.21), 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.