NCATX vs. DMREX

Last updated Jun 4, 2026

NCATX (Northern California Tax Exempt Fund) and DMREX (DFA Municipal Real Return Portfolio) are both Municipal Bonds funds. Over the past 10 years, NCATX returned 1.56%/yr vs 2.88%/yr for DMREX. At a 0.26 correlation, their price movements are largely independent. NCATX charges 0.45%/yr vs 0.24%/yr for DMREX.

Performance

NCATX vs. DMREX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Northern California Tax Exempt Fund (NCATX) and DFA Municipal Real Return Portfolio (DMREX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, NCATX achieves a 1.10% return, which is significantly lower than DMREX's 2.23% return. Over the past 10 years, NCATX has underperformed DMREX with an annualized return of 1.56%, while DMREX has yielded a comparatively higher 2.88% annualized return.

NCATX

• 1D: 0.09%
• 1M: 0.59%
• YTD: 1.10%
• 6M: 1.31%
• 1Y: 6.74%
• 3Y*: 3.51%
• 5Y*: 0.08%
• 10Y*: 1.56%

DMREX

• 1D: 0.09%
• 1M: 0.28%
• YTD: 2.23%
• 6M: 2.29%
• 1Y: 3.60%
• 3Y*: 3.40%
• 5Y*: 2.55%
• 10Y*: 2.88%

*Multi-year figures are annualized to reflect compound growth (CAGR)

NCATX vs. DMREX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
NCATX Northern California Tax Exempt Fund	1.10%	3.65%	1.89%	5.74%	-11.26%	0.74%	4.85%	7.67%	1.00%	4.97%
DMREX DFA Municipal Real Return Portfolio	2.23%	2.77%	3.10%	2.56%	-1.42%	6.75%	4.11%	6.64%	-0.51%	2.57%

Correlation

The correlation between NCATX and DMREX is 0.02, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.02
Correlation (3Y) Calculated over the trailing 3-year period	0.21
Correlation (5Y) Calculated over the trailing 5-year period	0.24
Correlation (10Y) Calculated over the trailing 10-year period	0.27
Correlation (All Time) Calculated using the full available price history since Jan 5, 2015	0.26

Over the past year, the correlation between NCATX and DMREX has dropped to 0.02 - well below their long-term average of 0.26, suggesting their price drivers have been diverging.

Return for Risk

NCATX vs. DMREX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

NCATX

NCATX Risk / Return Rank: 66
NCATX Sharpe Ratio Rank: 79
NCATX Sortino Ratio Rank: 85
NCATX Omega Ratio Rank: 91
NCATX Calmar Ratio Rank: 40
NCATX Martin Ratio Rank: 33

DMREX

DMREX Risk / Return Rank: 95
DMREX Sharpe Ratio Rank: 97
DMREX Sortino Ratio Rank: 98
DMREX Omega Ratio Rank: 98
DMREX Calmar Ratio Rank: 97
DMREX Martin Ratio Rank: 86

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

NCATX vs. DMREX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Northern California Tax Exempt Fund (NCATX) and DFA Municipal Real Return Portfolio (DMREX). 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.

	NCATX	DMREX	Difference
Sharpe ratio: Return per unit of total volatility	2.59	3.67	-1.08
Sortino ratio: Return per unit of downside risk	4.04	6.28	-2.24
Omega ratio: Gain probability vs. loss probability	1.67	2.12	-0.46
Calmar ratio: Return relative to maximum drawdown	2.40	7.10	-4.70
Martin ratio: Return relative to average drawdown	7.34	16.54	-9.20
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

NCATX vs. DMREX - Sharpe Ratio Comparison

The current NCATX Sharpe Ratio is 2.59, which is comparable to the DMREX Sharpe Ratio of 3.67. The chart below compares the historical Sharpe Ratios of NCATX and DMREX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	NCATX	DMREX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.59	3.67	-1.08
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.02	1.04	-1.02
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.37	0.92	-0.55
Sharpe Ratio (All Time) Calculated using the full available price history	1.05	0.88	+0.17

Drawdowns

NCATX vs. DMREX - Drawdown Comparison

The maximum NCATX drawdown since its inception was -16.55%, which is greater than DMREX's maximum drawdown of -13.22%. Use the drawdown chart below to compare losses from any high point for NCATX and DMREX.

Drawdown Indicators

	NCATX	DMREX	Difference
Max Drawdown Largest peak-to-trough decline	-16.55%	-13.22%	-3.33%
Max Drawdown (1Y) Largest decline over 1 year	-2.80%	-0.51%	-2.29%
Max Drawdown (3Y) Largest decline over 3 years	-5.80%	-2.48%	-3.32%
Max Drawdown (5Y) Largest decline over 5 years	-16.55%	-5.33%	-11.22%
Max Drawdown (10Y) Largest decline over 10 years	-16.55%	-13.22%	-3.33%
Current Drawdown Current decline from peak	-1.02%	0.00%	-1.02%
Average Drawdown Average peak-to-trough decline	-2.42%	-0.88%	-1.54%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.91%	0.22%	+0.69%

Volatility

NCATX vs. DMREX - Volatility Comparison

Northern California Tax Exempt Fund (NCATX) has a higher volatility of 1.04% compared to DFA Municipal Real Return Portfolio (DMREX) at 0.39%. This indicates that NCATX's price experiences larger fluctuations and is considered to be riskier than DMREX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	NCATX	DMREX	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.04%	0.39%	+0.65%
Volatility (6M) Calculated over the trailing 6-month period	2.04%	0.79%	+1.25%
Volatility (1Y) Calculated over the trailing 1-year period	2.61%	0.99%	+1.62%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	4.14%	2.45%	+1.69%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	4.26%	3.14%	+1.12%

NCATX vs. DMREX - Expense Ratio Comparison

NCATX has a 0.45% expense ratio, which is higher than DMREX's 0.24% expense ratio.

Dividends

NCATX vs. DMREX - Dividend Comparison

NCATX's dividend yield for the trailing twelve months is around 3.02%, less than DMREX's 3.24% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
DMREX DFA Municipal Real Return Portfolio	3.24%	2.95%	3.55%	1.96%	1.16%	0.98%	1.44%	2.26%	1.54%	1.32%	1.15%	1.09%
NCATX Northern California Tax Exempt Fund	3.02%	2.85%	3.39%	2.46%	1.47%	2.18%	2.85%	3.82%	3.51%	3.19%	4.08%	3.21%

Frequently Asked Questions

Can I hold both NCATX and DMREX in my portfolio?

NCATX and DMREX have a correlation of 0.02, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, NCATX or DMREX?

NCATX has higher volatility (1.04%) compared to DMREX (0.39%). In terms of maximum drawdown, NCATX dropped -16.55% vs DMREX's -13.22%.

Which has better risk-adjusted returns?

DMREX currently has the higher Sharpe Ratio (3.67 vs 2.59), 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.