GTRAX vs. DIPSX
Compare and contrast key facts about PGIM Global Total Return Fund (GTRAX) and DFA Inflation-Protected Securities Portfolio (DIPSX).
GTRAX is managed by PGIM Investments. It was launched on Jul 6, 1986. DIPSX is managed by Dimensional Fund Advisors LP. It was launched on Sep 17, 2006.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: GTRAX or DIPSX.
Key characteristics
| GTRAX | DIPSX | |
|---|---|---|
| YTD Return | 1.08% | 2.50% |
| 1Y Return | 8.08% | 6.28% |
| 3Y Return (Ann) | -4.71% | -2.39% |
| 5Y Return (Ann) | -2.56% | 2.06% |
| 10Y Return (Ann) | 0.64% | 2.15% |
| Sharpe Ratio | 1.35 | 1.14 |
| Sortino Ratio | 1.95 | 1.68 |
| Omega Ratio | 1.25 | 1.20 |
| Calmar Ratio | 0.30 | 0.46 |
| Martin Ratio | 4.70 | 4.93 |
| Ulcer Index | 1.62% | 1.17% |
| Daily Std Dev | 5.67% | 5.08% |
| Max Drawdown | -33.05% | -15.57% |
| Current Drawdown | -19.23% | -7.18% |
Correlation
The correlation between GTRAX and DIPSX is 0.47, 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.
Performance
GTRAX vs. DIPSX - Performance Comparison
In the year-to-date period, GTRAX achieves a 1.08% return, which is significantly lower than DIPSX's 2.50% return. Over the past 10 years, GTRAX has underperformed DIPSX with an annualized return of 0.64%, while DIPSX has yielded a comparatively higher 2.15% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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GTRAX vs. DIPSX - Expense Ratio Comparison
GTRAX has a 0.88% expense ratio, which is higher than DIPSX's 0.11% expense ratio.
Risk-Adjusted Performance
GTRAX vs. DIPSX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for PGIM Global Total Return Fund (GTRAX) and DFA Inflation-Protected Securities Portfolio (DIPSX). 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
GTRAX vs. DIPSX - Dividend Comparison
GTRAX's dividend yield for the trailing twelve months is around 3.39%, more than DIPSX's 3.20% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
GTRAX PGIM Global Total Return Fund | 3.39% | 3.68% | 3.88% | 3.29% | 3.62% | 3.38% | 3.42% | 3.18% | 3.73% | 3.55% | 4.26% | 4.34% |
DIPSX DFA Inflation-Protected Securities Portfolio | 3.20% | 3.74% | 8.15% | 4.82% | 1.28% | 1.97% | 2.28% | 2.64% | 1.75% | 0.60% | 1.91% | 1.37% |
Drawdowns
GTRAX vs. DIPSX - Drawdown Comparison
The maximum GTRAX drawdown since its inception was -33.05%, which is greater than DIPSX's maximum drawdown of -15.57%. Use the drawdown chart below to compare losses from any high point for GTRAX and DIPSX. For additional features, visit the drawdowns tool.
Volatility
GTRAX vs. DIPSX - Volatility Comparison
PGIM Global Total Return Fund (GTRAX) has a higher volatility of 1.89% compared to DFA Inflation-Protected Securities Portfolio (DIPSX) at 1.35%. This indicates that GTRAX's price experiences larger fluctuations and is considered to be riskier than DIPSX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.