NCBIX vs. DGTSX
NCBIX (New Covenant Balanced Income Fund) and DGTSX (DFA Global Allocation 25/75 Portfolio) are both Diversified Portfolio funds. Over the past 10 years, NCBIX returned 5.53%/yr vs 5.07%/yr for DGTSX. Their correlation of 0.92 means they have usually moved in the same direction. NCBIX charges 0.15%/yr vs 0.24%/yr for DGTSX.
Performance
NCBIX vs. DGTSX - Performance Comparison
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Returns By Period
In the year-to-date period, NCBIX achieves a 3.05% return, which is significantly lower than DGTSX's 4.21% return. Over the past 10 years, NCBIX has outperformed DGTSX with an annualized return of 5.53%, while DGTSX has yielded a comparatively lower 5.07% annualized return.
NCBIX
- 1D
- 0.64%
- 1M
- -0.71%
- 6M
- 2.35%
- YTD
- 3.05%
- 1Y
- 8.35%
- 3Y*
- 8.55%
- 5Y*
- 3.82%
- 10Y*
- 5.53%
- ALL TIME*
- 4.34%
DGTSX
- 1D
- 0.42%
- 1M
- -0.07%
- 6M
- 2.97%
- YTD
- 4.21%
- 1Y
- 8.21%
- 3Y*
- 7.71%
- 5Y*
- 5.06%
- 10Y*
- 5.07%
- ALL TIME*
- 4.71%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $0.00 | $0.00 | $0.00 |
NCBIX vs. DGTSX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
NCBIX New Covenant Balanced Income Fund | 3.05% | 10.38% | 8.77% | 11.71% | -13.79% | 6.85% | 11.65% | 14.60% | -2.01% | 8.69% |
DGTSX DFA Global Allocation 25/75 Portfolio | 4.21% | 8.39% | 7.43% | 8.93% | -8.06% | 10.20% | 7.29% | 9.80% | -1.85% | 5.83% |
Correlation
The correlation between NCBIX and DGTSX is 0.93, meaning they have usually moved in the same direction, including during past declines.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.93 |
Correlation (3Y) Balances recent behavior with more history. | 0.89 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.92 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.91 |
Correlation (All Time) Calculated using the full available price history since Dec 26, 2003 | 0.92 |
The correlation between NCBIX and DGTSX has been stable across timeframes, ranging from 0.89 to 0.93 - a consistent structural relationship.
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Return for Risk
NCBIX vs. DGTSX — Risk / Return Rank
NCBIX
DGTSX
NCBIX vs. DGTSX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for New Covenant Balanced Income Fund (NCBIX) 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.
| NCBIX | DGTSX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.75 | ||
| Sortino ratioReturn per unit of downside risk | -1.15 | ||
| Omega ratioGain probability vs. loss probability | 1.26 | 1.43 | -0.17 |
| Calmar ratioReturn relative to maximum drawdown | 2.00 | 3.02 | -1.02 |
| Martin ratioReturn relative to average drawdown | 8.60 | 13.04 | -4.44 |
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Drawdowns
NCBIX vs. DGTSX - Drawdown Comparison
The maximum NCBIX drawdown since its inception was -32.19%, which is greater than DGTSX's maximum drawdown of -16.71%. Use the drawdown chart below to compare losses from any high point for NCBIX and DGTSX.
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Drawdown Indicators
| NCBIX | DGTSX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -32.19% | -16.71% | -15.48% |
Max Drawdown (1Y)Largest decline over 1 year | -4.05% | -2.64% | -1.41% |
Max Drawdown (3Y)Largest decline over 3 years | -6.29% | -7.46% | +1.17% |
Max Drawdown (5Y)Largest decline over 5 years | -17.67% | -11.26% | -6.41% |
Max Drawdown (10Y)Largest decline over 10 years | -17.67% | -11.26% | -6.41% |
Current DrawdownCurrent decline from peak | -1.00% | -0.28% | -0.72% |
Average DrawdownAverage peak-to-trough decline | -3.46% | -1.64% | -1.82% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.94% | 0.61% | +0.33% |
Volatility
NCBIX vs. DGTSX - Volatility Comparison
New Covenant Balanced Income Fund (NCBIX) has a higher volatility of 1.56% compared to DFA Global Allocation 25/75 Portfolio (DGTSX) at 0.91%. This indicates that NCBIX'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
| NCBIX | DGTSX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.56% | 0.91% | +0.65% |
Volatility (6M)Calculated over the trailing 6-month period | 4.61% | 3.01% | +1.60% |
Volatility (1Y)Calculated over the trailing 1-year period | 5.65% | 3.65% | +2.00% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 7.23% | 5.98% | +1.25% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 7.08% | 5.23% | +1.85% |
NCBIX vs. DGTSX - Expense Ratio Comparison
NCBIX has a 0.15% expense ratio, which is lower than DGTSX's 0.24% 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
NCBIX vs. DGTSX - Dividend Comparison
NCBIX's dividend yield for the trailing twelve months is around 5.99%, more than DGTSX's 5.81% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DGTSX DFA Global Allocation 25/75 Portfolio | 5.81% | 5.54% | 7.28% | 4.75% | 2.77% | 7.62% | 2.12% | 2.57% | 2.99% | 1.25% | 1.26% | 1.50% |
NCBIX New Covenant Balanced Income Fund | 5.99% | 6.15% | 5.21% | 1.97% | 2.72% | 4.22% | 5.49% | 4.14% | 5.85% | 2.05% | 1.23% | 7.37% |
Frequently Asked Questions
With a correlation of 0.93, NCBIX 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.
NCBIX has higher volatility (1.56%) compared to DGTSX (0.91%). In terms of maximum drawdown, NCBIX dropped -32.19% vs DGTSX's -16.71%.
DGTSX currently has the higher Sharpe Ratio (2.19 vs 1.44), 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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