HGLB vs. DMO
HGLB (Highland Global Allocation Fund) and DMO (Dimensional Multi-Asset Fund) are both Global Allocation funds. Over the past 5 years, HGLB returned 7.17%/yr vs 3.74%/yr for DMO. Their 0.19 correlation means their historical movements had little consistent relationship. HGLB charges 0.02%/yr vs 0.04%/yr for DMO.
Performance
HGLB vs. DMO - Performance Comparison
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Returns By Period
In the year-to-date period, HGLB achieves a -11.30% return, which is significantly lower than DMO's 1.47% return.
HGLB
- 1D
- 1.35%
- 1M
- -0.68%
- 6M
- -9.87%
- YTD
- -11.30%
- 1Y
- 4.28%
- 3Y*
- 8.34%
- 5Y*
- 7.17%
- 10Y*
- —
- ALL TIME*
- 2.79%
DMO
- 1D
- 0.48%
- 1M
- -1.97%
- 6M
- 1.09%
- YTD
- 1.47%
- 1Y
- -0.18%
- 3Y*
- 11.35%
- 5Y*
- 3.74%
- 10Y*
- 3.74%
- ALL TIME*
- 8.27%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $390.22K | $423.19K | $410.94K | |
| $511.47K | $591.22K | $713.91K |
HGLB vs. DMO - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
HGLB Highland Global Allocation Fund | -11.30% | 51.74% | -1.52% | -6.15% | 14.53% | 53.22% | -17.98% | -31.46% |
DMO Dimensional Multi-Asset Fund | 1.47% | 6.95% | 20.24% | 16.79% | -21.64% | 17.12% | -22.32% | 5.09% |
Correlation
The correlation between HGLB and DMO is 0.27, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.27 |
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
HGLB vs. DMO — Risk / Return Rank
HGLB
DMO
HGLB vs. DMO - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Highland Global Allocation Fund (HGLB) and Dimensional Multi-Asset Fund (DMO). 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.
| HGLB | DMO | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.22 | ||
| Sortino ratioReturn per unit of downside risk | +0.41 | ||
| Omega ratioGain probability vs. loss probability | 1.06 | 1.01 | +0.05 |
| Calmar ratioReturn relative to maximum drawdown | 0.18 | -0.02 | +0.20 |
| Martin ratioReturn relative to average drawdown | 0.31 | -0.05 | +0.36 |
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Drawdowns
HGLB vs. DMO - Drawdown Comparison
The maximum HGLB drawdown since its inception was -70.40%, which is greater than DMO's maximum drawdown of -49.16%. Use the drawdown chart below to compare losses from any high point for HGLB and DMO.
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Drawdown Indicators
| HGLB | DMO | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -70.40% | -49.16% | -21.24% |
Max Drawdown (1Y)Largest decline over 1 year | -24.13% | -8.37% | -15.76% |
Max Drawdown (3Y)Largest decline over 3 years | -24.13% | -9.04% | -15.09% |
Max Drawdown (5Y)Largest decline over 5 years | -29.88% | -29.04% | -0.84% |
Max Drawdown (10Y)Largest decline over 10 years | — | -49.16% | — |
Current DrawdownCurrent decline from peak | -21.09% | -4.67% | -16.42% |
Average DrawdownAverage peak-to-trough decline | -18.26% | -9.54% | -8.72% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 13.95% | 3.59% | +10.36% |
Volatility
HGLB vs. DMO - Volatility Comparison
Highland Global Allocation Fund (HGLB) has a higher volatility of 4.58% compared to Dimensional Multi-Asset Fund (DMO) at 1.57%. This indicates that HGLB's price experiences larger fluctuations and is considered to be riskier than DMO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| HGLB | DMO | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.58% | 1.57% | +3.01% |
Volatility (6M)Calculated over the trailing 6-month period | 13.14% | 7.77% | +5.37% |
Volatility (1Y)Calculated over the trailing 1-year period | 21.21% | 10.08% | +11.13% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 22.18% | 12.61% | +9.57% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 27.49% | 19.92% | +7.57% |
HGLB vs. DMO - Expense Ratio Comparison
HGLB has a 0.02% expense ratio, which is lower than DMO's 0.04% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.
Dividends
HGLB vs. DMO - Dividend Comparison
HGLB's dividend yield for the trailing twelve months is around 13.75%, less than DMO's 14.24% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DMO Dimensional Multi-Asset Fund | 14.24% | 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 | 13.75% | 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
HGLB and DMO have a correlation of 0.27, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
HGLB has higher volatility (4.58%) compared to DMO (1.57%). In terms of maximum drawdown, HGLB dropped -70.40% vs DMO's -49.16%.
HGLB currently has the higher Sharpe Ratio (0.20 vs -0.02), 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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