MXGBX vs. DFGBX
MXGBX (Great-West Global Bond Fund) and DFGBX (DFA Five Year Global Fixed Income Portfolio) are both Global Bonds funds. Over the past 10 years, MXGBX returned -0.17%/yr vs 1.24%/yr for DFGBX. At a 0.12 correlation, their price movements are largely independent. MXGBX charges 1.00%/yr vs 0.23%/yr for DFGBX.
Performance
MXGBX vs. DFGBX - Performance Comparison
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Returns By Period
In the year-to-date period, MXGBX achieves a -2.30% return, which is significantly lower than DFGBX's 1.40% return. Over the past 10 years, MXGBX has underperformed DFGBX with an annualized return of -0.17%, while DFGBX has yielded a comparatively higher 1.24% annualized return.
MXGBX
- 1D
- -0.29%
- 1M
- -1.16%
- 6M
- -2.16%
- YTD
- -2.30%
- 1Y
- -0.16%
- 3Y*
- 2.31%
- 5Y*
- -1.81%
- 10Y*
- -0.17%
DFGBX
- 1D
- -0.20%
- 1M
- 0.05%
- 6M
- 1.10%
- YTD
- 1.40%
- 1Y
- 3.34%
- 3Y*
- 4.18%
- 5Y*
- 1.24%
- 10Y*
- 1.24%
MXGBX vs. DFGBX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
MXGBX Great-West Global Bond Fund | -2.30% | 7.54% | -0.88% | 5.13% | -14.65% | -6.57% | 5.46% | 4.08% | -0.27% | 0.14% |
DFGBX DFA Five Year Global Fixed Income Portfolio | 1.40% | 3.13% | 5.37% | 5.00% | -6.63% | -1.03% | 1.52% | 4.04% | 1.68% | 0.88% |
Correlation
The correlation between MXGBX and DFGBX is 0.56, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.56 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.24 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.40 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.17 |
Correlation (All Time) Calculated using the full available price history since Jul 28, 1999 | 0.12 |
Over the past year, MXGBX and DFGBX have become more correlated (0.56) than their long-term average of 0.12, meaning their price movements have been converging.
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Return for Risk
MXGBX vs. DFGBX — Risk / Return Rank
MXGBX
DFGBX
MXGBX vs. DFGBX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Great-West Global Bond Fund (MXGBX) and DFA Five Year Global Fixed Income Portfolio (DFGBX). 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.
| MXGBX | DFGBX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.28 | ||
| Sortino ratioReturn per unit of downside risk | -3.40 | ||
| Omega ratioGain probability vs. loss probability | 0.99 | 1.56 | -0.57 |
| Calmar ratioReturn relative to maximum drawdown | -0.11 | 2.45 | -2.55 |
| Martin ratioReturn relative to average drawdown | -0.36 | 8.63 | -8.99 |
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Drawdowns
MXGBX vs. DFGBX - Drawdown Comparison
The maximum MXGBX drawdown since its inception was -45.02%, which is greater than DFGBX's maximum drawdown of -9.63%. Use the drawdown chart below to compare losses from any high point for MXGBX and DFGBX.
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Drawdown Indicators
| MXGBX | DFGBX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -45.02% | -9.63% | -35.39% |
Max Drawdown (1Y)Largest decline over 1 year | -6.80% | -1.38% | -5.42% |
Max Drawdown (3Y)Largest decline over 3 years | -7.25% | -1.67% | -5.58% |
Max Drawdown (5Y)Largest decline over 5 years | -24.16% | -9.63% | -14.53% |
Max Drawdown (10Y)Largest decline over 10 years | -26.80% | -9.63% | -17.17% |
Current DrawdownCurrent decline from peak | -34.57% | -0.40% | -34.17% |
Average DrawdownAverage peak-to-trough decline | -20.64% | -0.93% | -19.71% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.05% | 0.39% | +1.66% |
Volatility
MXGBX vs. DFGBX - Volatility Comparison
Great-West Global Bond Fund (MXGBX) has a higher volatility of 1.24% compared to DFA Five Year Global Fixed Income Portfolio (DFGBX) at 0.52%. This indicates that MXGBX's price experiences larger fluctuations and is considered to be riskier than DFGBX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| MXGBX | DFGBX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.24% | 0.52% | +0.72% |
Volatility (6M)Calculated over the trailing 6-month period | 3.62% | 1.38% | +2.24% |
Volatility (1Y)Calculated over the trailing 1-year period | 9.47% | 1.53% | +7.94% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 7.39% | 2.20% | +5.19% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 6.46% | 1.92% | +4.54% |
MXGBX vs. DFGBX - Expense Ratio Comparison
MXGBX has a 1.00% expense ratio, which is higher than DFGBX's 0.23% expense ratio.
Dividends
MXGBX vs. DFGBX - Dividend Comparison
MXGBX's dividend yield for the trailing twelve months is around 3.14%, less than DFGBX's 4.62% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DFGBX DFA Five Year Global Fixed Income Portfolio | 4.62% | 2.91% | 4.69% | 3.61% | 1.63% | 0.73% | 0.03% | 2.30% | 4.74% | 0.89% | 1.16% | 1.72% |
MXGBX Great-West Global Bond Fund | 3.14% | 3.07% | 2.69% | 0.84% | 1.28% | 0.07% | 1.05% | 3.82% | 3.04% | 0.14% | 0.00% | 0.00% |
Frequently Asked Questions
MXGBX and DFGBX have a correlation of 0.56, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
MXGBX has higher volatility (1.24%) compared to DFGBX (0.52%). In terms of maximum drawdown, MXGBX dropped -45.02% vs DFGBX's -9.63%.
DFGBX currently has the higher Sharpe Ratio (2.20 vs -0.08), 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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