NCICX vs. DFAIX

Last updated Jun 24, 2026

NCICX (New Covenant Income Fund) and DFAIX (DFA Short-Duration Real Return Portfolio) are both Short-Term Bond funds. Over the past 10 years, NCICX returned 1.37%/yr vs 3.25%/yr for DFAIX. At a 0.40 correlation, their price movements are largely independent. NCICX charges 0.96%/yr vs 0.22%/yr for DFAIX.

Performance

NCICX vs. DFAIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in New Covenant Income Fund (NCICX) and DFA Short-Duration Real Return Portfolio (DFAIX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, NCICX achieves a -0.20% return, which is significantly lower than DFAIX's 2.10% return. Over the past 10 years, NCICX has underperformed DFAIX with an annualized return of 1.37%, while DFAIX has yielded a comparatively higher 3.25% annualized return.

NCICX

• 1D: -0.19%
• 1M: 0.28%
• YTD: -0.20%
• 6M: 0.16%
• 1Y: 3.70%
• 3Y*: 4.06%
• 5Y*: 0.19%
• 10Y*: 1.37%

DFAIX

• 1D: -0.19%
• 1M: -0.09%
• YTD: 2.10%
• 6M: 2.19%
• 1Y: 4.08%
• 3Y*: 5.59%
• 5Y*: 3.73%
• 10Y*: 3.25%

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

NCICX vs. DFAIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
NCICX New Covenant Income Fund	-0.20%	7.13%	2.13%	5.15%	-11.32%	-2.06%	5.93%	7.16%	-0.10%	2.51%
DFAIX DFA Short-Duration Real Return Portfolio	2.10%	4.86%	6.38%	5.64%	-2.77%	5.40%	2.75%	5.63%	0.11%	1.71%

Correlation

The correlation between NCICX and DFAIX is 0.28, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.28
Correlation (3Y) Calculated over the trailing 3-year period	0.24
Correlation (5Y) Calculated over the trailing 5-year period	0.39
Correlation (10Y) Calculated over the trailing 10-year period	0.38
Correlation (All Time) Calculated using the full available price history since Jan 2, 2014	0.40

The correlation between NCICX and DFAIX shifts across timeframes, from 0.24 (3 years) to 0.40 (all time), reflecting how their relationship changes across market environments.

Return for Risk

NCICX vs. DFAIX — Risk / Return Rank

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

NCICX

NCICX Risk / Return Rank: 20
NCICX Sharpe Ratio Rank: 21
NCICX Sortino Ratio Rank: 22
NCICX Omega Ratio Rank: 19
NCICX Calmar Ratio Rank: 22
NCICX Martin Ratio Rank: 18

DFAIX

DFAIX Risk / Return Rank: 98
DFAIX Sharpe Ratio Rank: 98
DFAIX Sortino Ratio Rank: 97
DFAIX Omega Ratio Rank: 98
DFAIX Calmar Ratio Rank: 98
DFAIX Martin Ratio Rank: 98

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.

NCICX vs. DFAIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for New Covenant Income Fund (NCICX) and DFA Short-Duration Real Return Portfolio (DFAIX). 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.

	NCICX	DFAIX	Difference
Sharpe ratio: Return per unit of total volatility	1.20	3.47	-2.28
Sortino ratio: Return per unit of downside risk	1.80	5.52	-3.72
Omega ratio: Gain probability vs. loss probability	1.21	2.00	-0.79
Calmar ratio: Return relative to maximum drawdown	1.56	8.73	-7.17
Martin ratio: Return relative to average drawdown	4.36	36.27	-31.91

NCICX vs. DFAIX - Sharpe Ratio Comparison

The current NCICX Sharpe Ratio is 1.20, which is lower than the DFAIX Sharpe Ratio of 3.47. The chart below compares the historical Sharpe Ratios of NCICX and DFAIX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

NCICX vs. DFAIX - Drawdown Comparison

The maximum NCICX drawdown since its inception was -21.12%, which is greater than DFAIX's maximum drawdown of -5.63%. Use the drawdown chart below to compare losses from any high point for NCICX and DFAIX.

Drawdown Indicators

	NCICX	DFAIX	Difference
Max Drawdown Largest peak-to-trough decline	-21.12%	-5.63%	-15.49%
Max Drawdown (1Y) Largest decline over 1 year	-2.51%	-0.47%	-2.04%
Max Drawdown (3Y) Largest decline over 3 years	-4.71%	-3.12%	-1.59%
Max Drawdown (5Y) Largest decline over 5 years	-16.08%	-5.46%	-10.62%
Max Drawdown (10Y) Largest decline over 10 years	-16.36%	-5.63%	-10.73%
Current Drawdown Current decline from peak	-1.73%	-0.46%	-1.27%
Average Drawdown Average peak-to-trough decline	-2.55%	-0.94%	-1.61%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.90%	0.11%	+0.79%

Volatility

NCICX vs. DFAIX - Volatility Comparison

New Covenant Income Fund (NCICX) has a higher volatility of 1.05% compared to DFA Short-Duration Real Return Portfolio (DFAIX) at 0.51%. This indicates that NCICX's price experiences larger fluctuations and is considered to be riskier than DFAIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	NCICX	DFAIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.05%	0.51%	+0.54%
Volatility (6M) Calculated over the trailing 6-month period	2.47%	1.01%	+1.46%
Volatility (1Y) Calculated over the trailing 1-year period	3.28%	1.19%	+2.09%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	4.82%	3.18%	+1.64%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	3.80%	2.55%	+1.25%

NCICX vs. DFAIX - Expense Ratio Comparison

NCICX has a 0.96% expense ratio, which is higher than DFAIX's 0.22% expense ratio.

Dividends

NCICX vs. DFAIX - Dividend Comparison

NCICX's dividend yield for the trailing twelve months is around 3.29%, less than DFAIX's 4.56% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
DFAIX DFA Short-Duration Real Return Portfolio	4.56%	4.65%	4.14%	3.66%	1.68%	0.98%	0.82%	2.53%	2.72%	1.71%	1.41%	1.29%
NCICX New Covenant Income Fund	3.29%	3.24%	3.17%	2.79%	1.51%	1.46%	3.17%	2.43%	2.26%	1.92%	1.72%	1.80%

Frequently Asked Questions

Can I hold both NCICX and DFAIX in my portfolio?

NCICX and DFAIX have a correlation of 0.28, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, NCICX or DFAIX?

NCICX has higher volatility (1.05%) compared to DFAIX (0.51%). In terms of maximum drawdown, NCICX dropped -21.12% vs DFAIX's -5.63%.

Which has better risk-adjusted returns?

DFAIX currently has the higher Sharpe Ratio (3.47 vs 1.20), 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.