JPDVX vs. DGTSX
JPDVX (JPMorgan Diversified Fund) and DGTSX (DFA Global Allocation 25/75 Portfolio) are both Diversified Portfolio funds. Over the past 10 years, JPDVX returned 8.57%/yr vs 5.28%/yr for DGTSX. Their correlation of 0.93 suggests significant overlap in exposure. JPDVX charges 0.60%/yr vs 0.24%/yr for DGTSX.
Performance
JPDVX vs. DGTSX - Performance Comparison
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Returns By Period
The year-to-date returns for both investments are quite close, with JPDVX having a 4.12% return and DGTSX slightly higher at 4.23%. Over the past 10 years, JPDVX has outperformed DGTSX with an annualized return of 8.57%, while DGTSX has yielded a comparatively lower 5.28% annualized return.
JPDVX
- 1D
- -0.25%
- 1M
- 0.82%
- YTD
- 4.12%
- 6M
- 3.74%
- 1Y
- 13.03%
- 3Y*
- 11.93%
- 5Y*
- 3.69%
- 10Y*
- 8.57%
DGTSX
- 1D
- -0.07%
- 1M
- 0.69%
- YTD
- 4.23%
- 6M
- 4.08%
- 1Y
- 9.62%
- 3Y*
- 8.40%
- 5Y*
- 5.27%
- 10Y*
- 5.28%
JPDVX vs. DGTSX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
JPDVX JPMorgan Diversified Fund | 4.12% | 13.61% | 10.15% | 14.91% | -15.43% | 1.94% | 17.17% | 30.24% | -7.96% | 17.91% |
DGTSX DFA Global Allocation 25/75 Portfolio | 4.23% | 8.39% | 7.43% | 8.93% | -8.06% | 10.20% | 7.29% | 9.80% | -1.85% | 5.83% |
Correlation
The correlation between JPDVX and DGTSX is 0.95, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.95 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.93 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.93 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.92 |
Correlation (All Time) Calculated using the full available price history since Dec 26, 2003 | 0.93 |
The correlation between JPDVX and DGTSX has been stable across timeframes, ranging from 0.92 to 0.95 - a consistent structural relationship.
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Return for Risk
JPDVX vs. DGTSX — Risk / Return Rank
JPDVX
DGTSX
JPDVX vs. DGTSX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for JPMorgan Diversified Fund (JPDVX) and DFA Global Allocation 25/75 Portfolio (DGTSX). 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.
| JPDVX | DGTSX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.30 | ||
| Sortino ratioReturn per unit of downside risk | -2.06 | ||
| Omega ratioGain probability vs. loss probability | 1.27 | 1.57 | -0.30 |
| Calmar ratioReturn relative to maximum drawdown | 1.71 | 3.76 | -2.05 |
| Martin ratioReturn relative to average drawdown | 7.31 | 16.52 | -9.21 |
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Drawdowns
JPDVX vs. DGTSX - Drawdown Comparison
The maximum JPDVX drawdown since its inception was -32.29%, which is greater than DGTSX's maximum drawdown of -16.71%. Use the drawdown chart below to compare losses from any high point for JPDVX and DGTSX.
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Drawdown Indicators
| JPDVX | DGTSX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -32.29% | -16.71% | -15.58% |
Max Drawdown (1Y)Largest decline over 1 year | -8.08% | -2.64% | -5.44% |
Max Drawdown (3Y)Largest decline over 3 years | -11.40% | -7.46% | -3.94% |
Max Drawdown (5Y)Largest decline over 5 years | -29.29% | -11.26% | -18.03% |
Max Drawdown (10Y)Largest decline over 10 years | -29.29% | -11.26% | -18.03% |
Current DrawdownCurrent decline from peak | -0.56% | -0.20% | -0.36% |
Average DrawdownAverage peak-to-trough decline | -5.53% | -1.64% | -3.89% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.88% | 0.60% | +1.28% |
Volatility
JPDVX vs. DGTSX - Volatility Comparison
JPMorgan Diversified Fund (JPDVX) has a higher volatility of 3.34% compared to DFA Global Allocation 25/75 Portfolio (DGTSX) at 1.38%. This indicates that JPDVX's price experiences larger fluctuations and is considered to be riskier than DGTSX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| JPDVX | DGTSX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.34% | 1.38% | +1.96% |
Volatility (6M)Calculated over the trailing 6-month period | 7.94% | 2.97% | +4.97% |
Volatility (1Y)Calculated over the trailing 1-year period | 9.40% | 3.60% | +5.80% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 11.49% | 5.98% | +5.51% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 11.85% | 5.24% | +6.61% |
JPDVX vs. DGTSX - Expense Ratio Comparison
JPDVX has a 0.60% expense ratio, which is higher than DGTSX's 0.24% expense ratio.
Dividends
JPDVX vs. DGTSX - Dividend Comparison
JPDVX's dividend yield for the trailing twelve months is around 13.58%, more than DGTSX's 5.70% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DGTSX DFA Global Allocation 25/75 Portfolio | 5.70% | 5.54% | 7.28% | 4.75% | 2.77% | 7.62% | 2.12% | 2.57% | 2.99% | 1.25% | 1.26% | 1.50% |
JPDVX JPMorgan Diversified Fund | 13.58% | 14.14% | 4.07% | 1.34% | 7.02% | 8.33% | 9.35% | 16.68% | 11.26% | 6.99% | 2.59% | 4.52% |
Frequently Asked Questions
With a correlation of 0.95, JPDVX and DGTSX move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.
JPDVX has higher volatility (3.34%) compared to DGTSX (1.38%). In terms of maximum drawdown, JPDVX dropped -32.29% vs DGTSX's -16.71%.
DGTSX currently has the higher Sharpe Ratio (2.77 vs 1.47), 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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