DURPX vs. DFUSX
Compare and contrast key facts about DFA US High Relative Profitability Portfolio (DURPX) and DFA U.S. Large Company Portfolio (DFUSX).
DURPX is managed by Dimensional Fund Advisors LP. It was launched on May 16, 2017. DFUSX is managed by Dimensional Fund Advisors LP. It was launched on Sep 23, 1999.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DURPX or DFUSX.
Performance
DURPX vs. DFUSX - Performance Comparison
Returns By Period
In the year-to-date period, DURPX achieves a 22.71% return, which is significantly lower than DFUSX's 25.46% return.
DURPX
22.71%
0.08%
11.62%
30.21%
15.34%
N/A
DFUSX
25.46%
1.16%
12.18%
32.07%
15.54%
13.11%
Key characteristics
| DURPX | DFUSX | |
|---|---|---|
| Sharpe Ratio | 2.60 | 2.59 |
| Sortino Ratio | 3.66 | 3.47 |
| Omega Ratio | 1.48 | 1.48 |
| Calmar Ratio | 3.96 | 3.76 |
| Martin Ratio | 15.57 | 16.93 |
| Ulcer Index | 1.92% | 1.88% |
| Daily Std Dev | 11.48% | 12.26% |
| Max Drawdown | -31.02% | -54.96% |
| Current Drawdown | -1.85% | -1.36% |
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DURPX vs. DFUSX - Expense Ratio Comparison
DURPX has a 0.23% expense ratio, which is higher than DFUSX's 0.08% 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%.
Correlation
The correlation between DURPX and DFUSX is 0.97, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Risk-Adjusted Performance
DURPX vs. DFUSX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for DFA US High Relative Profitability Portfolio (DURPX) and DFA U.S. Large Company Portfolio (DFUSX). 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.
Dividends
DURPX vs. DFUSX - Dividend Comparison
DURPX's dividend yield for the trailing twelve months is around 1.20%, more than DFUSX's 1.11% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DURPX DFA US High Relative Profitability Portfolio | 1.20% | 1.49% | 1.63% | 1.19% | 1.35% | 1.36% | 1.70% | 0.77% | 0.00% | 0.00% | 0.00% | 0.00% |
DFUSX DFA U.S. Large Company Portfolio | 1.11% | 1.34% | 1.58% | 1.14% | 1.60% | 1.76% | 1.95% | 1.86% | 2.08% | 2.02% | 1.81% | 1.79% |
Drawdowns
DURPX vs. DFUSX - Drawdown Comparison
The maximum DURPX drawdown since its inception was -31.02%, smaller than the maximum DFUSX drawdown of -54.96%. Use the drawdown chart below to compare losses from any high point for DURPX and DFUSX. For additional features, visit the drawdowns tool.
Volatility
DURPX vs. DFUSX - Volatility Comparison
The current volatility for DFA US High Relative Profitability Portfolio (DURPX) is 3.55%, while DFA U.S. Large Company Portfolio (DFUSX) has a volatility of 4.07%. This indicates that DURPX experiences smaller price fluctuations and is considered to be less risky than DFUSX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.