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TILIX vs. DFREX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

TILIX vs. DFREX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in TIAA-CREF Large-Cap Growth Index Fund (TILIX) and DFA Real Estate Securities Portfolio Class I (DFREX). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
12.99%
14.35%
TILIX
DFREX

Returns By Period

In the year-to-date period, TILIX achieves a 29.01% return, which is significantly higher than DFREX's 10.88% return. Over the past 10 years, TILIX has outperformed DFREX with an annualized return of 16.33%, while DFREX has yielded a comparatively lower 6.64% annualized return.


TILIX

YTD

29.01%

1M

1.63%

6M

13.30%

1Y

36.18%

5Y (annualized)

19.21%

10Y (annualized)

16.33%

DFREX

YTD

10.88%

1M

-3.38%

6M

14.35%

1Y

24.79%

5Y (annualized)

4.60%

10Y (annualized)

6.64%

Key characteristics


TILIXDFREX
Sharpe Ratio2.141.54
Sortino Ratio2.792.17
Omega Ratio1.391.27
Calmar Ratio2.750.95
Martin Ratio10.785.88
Ulcer Index3.35%4.20%
Daily Std Dev16.94%15.99%
Max Drawdown-51.32%-74.36%
Current Drawdown-2.41%-7.44%

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TILIX vs. DFREX - Expense Ratio Comparison

TILIX has a 0.05% expense ratio, which is lower than DFREX's 0.18% 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%.


DFREX
DFA Real Estate Securities Portfolio Class I
Expense ratio chart for DFREX: current value at 0.18% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.18%
Expense ratio chart for TILIX: current value at 0.05% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.05%

Correlation

-0.50.00.51.00.6

The correlation between TILIX and DFREX is 0.60, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Risk-Adjusted Performance

TILIX vs. DFREX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for TIAA-CREF Large-Cap Growth Index Fund (TILIX) and DFA Real Estate Securities Portfolio Class I (DFREX). 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.


Sharpe ratio
The chart of Sharpe ratio for TILIX, currently valued at 2.14, compared to the broader market0.002.004.002.141.54
The chart of Sortino ratio for TILIX, currently valued at 2.79, compared to the broader market0.005.0010.002.792.17
The chart of Omega ratio for TILIX, currently valued at 1.39, compared to the broader market1.002.003.004.001.391.27
The chart of Calmar ratio for TILIX, currently valued at 2.75, compared to the broader market0.005.0010.0015.0020.0025.002.750.95
The chart of Martin ratio for TILIX, currently valued at 10.78, compared to the broader market0.0020.0040.0060.0080.00100.0010.785.88
TILIX
DFREX

The current TILIX Sharpe Ratio is 2.14, which is higher than the DFREX Sharpe Ratio of 1.54. The chart below compares the historical Sharpe Ratios of TILIX and DFREX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Rolling 12-month Sharpe Ratio0.501.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.14
1.54
TILIX
DFREX

Dividends

TILIX vs. DFREX - Dividend Comparison

TILIX's dividend yield for the trailing twelve months is around 0.59%, less than DFREX's 3.02% yield.


TTM20232022202120202019201820172016201520142013
TILIX
TIAA-CREF Large-Cap Growth Index Fund
0.59%0.76%1.10%0.87%0.71%1.09%1.43%1.22%1.33%1.49%1.39%1.37%
DFREX
DFA Real Estate Securities Portfolio Class I
3.02%3.17%2.60%1.59%3.22%2.09%4.88%2.98%3.16%2.86%2.60%3.03%

Drawdowns

TILIX vs. DFREX - Drawdown Comparison

The maximum TILIX drawdown since its inception was -51.32%, smaller than the maximum DFREX drawdown of -74.36%. Use the drawdown chart below to compare losses from any high point for TILIX and DFREX. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.41%
-7.44%
TILIX
DFREX

Volatility

TILIX vs. DFREX - Volatility Comparison

TIAA-CREF Large-Cap Growth Index Fund (TILIX) has a higher volatility of 5.49% compared to DFA Real Estate Securities Portfolio Class I (DFREX) at 5.06%. This indicates that TILIX's price experiences larger fluctuations and is considered to be riskier than DFREX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%9.00%JuneJulyAugustSeptemberOctoberNovember
5.49%
5.06%
TILIX
DFREX