DURPX vs. ^RTSI

Last updated Jun 9, 2026

DURPX (DFA US High Relative Profitability Portfolio) is Large Cap Blend Equities fund managed by Dimensional, while ^RTSI (RTS Index) is an index. Over the past 5 years, DURPX returned 12.30%/yr vs -7.45%/yr for ^RTSI. At a 0.20 correlation, their price movements are largely independent.

Performance

DURPX vs. ^RTSI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in DFA US High Relative Profitability Portfolio (DURPX) and RTS Index (^RTSI). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, DURPX achieves a 7.14% return, which is significantly higher than ^RTSI's 0.37% return.

DURPX

• 1D: -2.21%
• 1M: 2.57%
• YTD: 7.14%
• 6M: 7.57%
• 1Y: 17.02%
• 3Y*: 18.35%
• 5Y*: 12.30%
• 10Y*: —

^RTSI

• 1D: -1.70%
• 1M: 1.53%
• YTD: 0.37%
• 6M: 1.40%
• 1Y: 0.87%
• 3Y*: 2.07%
• 5Y*: -7.45%
• 10Y*: 2.17%

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

DURPX vs. ^RTSI - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
DURPX DFA US High Relative Profitability Portfolio	7.14%	12.81%	20.49%	21.85%	-11.82%	25.27%	19.29%	33.11%	-5.11%	17.77%
^RTSI RTS Index	0.37%	24.73%	-17.56%	11.63%	-39.18%	15.01%	-10.42%	44.93%	-7.42%	3.08%

Correlation

The correlation between DURPX and ^RTSI is -0.00, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	-0.00
Correlation (3Y) Calculated over the trailing 3-year period	0.04
Correlation (5Y) Calculated over the trailing 5-year period	0.10
Correlation (All Time) Calculated using the full available price history since May 16, 2017	0.20

The correlation between DURPX and ^RTSI shifts across timeframes, from -0.00 (1 year) to 0.20 (all time), reflecting how their relationship changes across market environments.

Return for Risk

DURPX vs. ^RTSI — Risk / Return Rank

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

DURPX

DURPX Risk / Return Rank: 35
DURPX Sharpe Ratio Rank: 34
DURPX Sortino Ratio Rank: 32
DURPX Omega Ratio Rank: 31
DURPX Calmar Ratio Rank: 34
DURPX Martin Ratio Rank: 43

^RTSI

^RTSI Risk / Return Rank: 11
^RTSI Sharpe Ratio Rank: 11
^RTSI Sortino Ratio Rank: 11
^RTSI Omega Ratio Rank: 11
^RTSI Calmar Ratio Rank: 11
^RTSI Martin Ratio Rank: 11

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.

DURPX vs. ^RTSI - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for DFA US High Relative Profitability Portfolio (DURPX) and RTS Index (^RTSI). 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.

	DURPX	^RTSI	Difference
Sharpe ratio: Return per unit of total volatility	1.57	-0.06	+1.63
Sortino ratio: Return per unit of downside risk	2.24	0.07	+2.17
Omega ratio: Gain probability vs. loss probability	1.28	1.01	+0.27
Calmar ratio: Return relative to maximum drawdown	2.08	-0.07	+2.15
Martin ratio: Return relative to average drawdown	8.83	-0.15	+8.98
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

DURPX vs. ^RTSI - Sharpe Ratio Comparison

The current DURPX Sharpe Ratio is 1.57, which is higher than the ^RTSI Sharpe Ratio of -0.06. The chart below compares the historical Sharpe Ratios of DURPX and ^RTSI, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	DURPX	^RTSI	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.57	-0.06	+1.63
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.78	-0.21	+0.99
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.07	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.84	0.21	+0.63

Drawdowns

DURPX vs. ^RTSI - Drawdown Comparison

The maximum DURPX drawdown since its inception was -31.02%, smaller than the maximum ^RTSI drawdown of -93.26%. Use the drawdown chart below to compare losses from any high point for DURPX and ^RTSI.

Drawdown Indicators

	DURPX	^RTSI	Difference
Max Drawdown Largest peak-to-trough decline	-31.02%	-93.26%	+62.24%
Max Drawdown (1Y) Largest decline over 1 year	-8.67%	-17.79%	+9.12%
Max Drawdown (3Y) Largest decline over 3 years	-18.38%	-40.03%	+21.65%
Max Drawdown (5Y) Largest decline over 5 years	-21.90%	-62.14%	+40.24%
Max Drawdown (10Y) Largest decline over 10 years	—	-62.14%	—
Current Drawdown Current decline from peak	-2.21%	-55.05%	+52.84%
Average Drawdown Average peak-to-trough decline	-4.06%	-43.30%	+39.24%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.04%	8.17%	-6.13%

Volatility

DURPX vs. ^RTSI - Volatility Comparison

The current volatility for DFA US High Relative Profitability Portfolio (DURPX) is 3.29%, while RTS Index (^RTSI) has a volatility of 5.98%. This indicates that DURPX experiences smaller price fluctuations and is considered to be less risky than ^RTSI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	DURPX	^RTSI	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.29%	5.98%	-2.69%
Volatility (6M) Calculated over the trailing 6-month period	8.94%	12.81%	-3.87%
Volatility (1Y) Calculated over the trailing 1-year period	11.49%	21.07%	-9.58%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	15.90%	36.06%	-20.16%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.59%	31.01%	-13.42%

Frequently Asked Questions

Can I hold both DURPX and ^RTSI in my portfolio?

DURPX and ^RTSI have a correlation of -0.00, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, DURPX or ^RTSI?

^RTSI has higher volatility (5.98%) compared to DURPX (3.29%). In terms of maximum drawdown, DURPX dropped -31.02% vs ^RTSI's -93.26%.

Which has better risk-adjusted returns?

DURPX currently has the higher Sharpe Ratio (1.57 vs -0.06), 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.