PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
VMVAX vs. DFFVX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


VMVAXDFFVX
YTD Return20.09%15.86%
1Y Return34.97%36.46%
3Y Return (Ann)6.93%8.55%
5Y Return (Ann)10.71%14.62%
10Y Return (Ann)9.37%9.90%
Sharpe Ratio2.871.76
Sortino Ratio4.032.61
Omega Ratio1.511.32
Calmar Ratio2.843.49
Martin Ratio17.959.75
Ulcer Index1.93%3.72%
Daily Std Dev12.07%20.61%
Max Drawdown-43.07%-64.21%
Current Drawdown-0.82%-1.24%

Correlation

-0.50.00.51.00.9

The correlation between VMVAX and DFFVX is 0.92, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Performance

VMVAX vs. DFFVX - Performance Comparison

In the year-to-date period, VMVAX achieves a 20.09% return, which is significantly higher than DFFVX's 15.86% return. Over the past 10 years, VMVAX has underperformed DFFVX with an annualized return of 9.37%, while DFFVX has yielded a comparatively higher 9.90% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
12.03%
11.23%
VMVAX
DFFVX

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


VMVAX vs. DFFVX - Expense Ratio Comparison

VMVAX has a 0.07% expense ratio, which is lower than DFFVX's 0.29% expense ratio.


DFFVX
DFA U.S. Targeted Value Portfolio
Expense ratio chart for DFFVX: current value at 0.29% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.29%
Expense ratio chart for VMVAX: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%

Risk-Adjusted Performance

VMVAX vs. DFFVX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Mid-Cap Value Index Fund Admiral Shares (VMVAX) and DFA U.S. Targeted Value Portfolio (DFFVX). 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.


VMVAX
Sharpe ratio
The chart of Sharpe ratio for VMVAX, currently valued at 2.87, compared to the broader market0.002.004.002.87
Sortino ratio
The chart of Sortino ratio for VMVAX, currently valued at 4.03, compared to the broader market0.005.0010.004.03
Omega ratio
The chart of Omega ratio for VMVAX, currently valued at 1.51, compared to the broader market1.002.003.004.001.51
Calmar ratio
The chart of Calmar ratio for VMVAX, currently valued at 2.84, compared to the broader market0.005.0010.0015.0020.0025.002.84
Martin ratio
The chart of Martin ratio for VMVAX, currently valued at 17.95, compared to the broader market0.0020.0040.0060.0080.00100.0017.95
DFFVX
Sharpe ratio
The chart of Sharpe ratio for DFFVX, currently valued at 1.76, compared to the broader market0.002.004.001.76
Sortino ratio
The chart of Sortino ratio for DFFVX, currently valued at 2.61, compared to the broader market0.005.0010.002.61
Omega ratio
The chart of Omega ratio for DFFVX, currently valued at 1.32, compared to the broader market1.002.003.004.001.32
Calmar ratio
The chart of Calmar ratio for DFFVX, currently valued at 3.49, compared to the broader market0.005.0010.0015.0020.0025.003.49
Martin ratio
The chart of Martin ratio for DFFVX, currently valued at 9.75, compared to the broader market0.0020.0040.0060.0080.00100.009.75

VMVAX vs. DFFVX - Sharpe Ratio Comparison

The current VMVAX Sharpe Ratio is 2.87, which is higher than the DFFVX Sharpe Ratio of 1.76. The chart below compares the historical Sharpe Ratios of VMVAX and DFFVX, 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
2.87
1.76
VMVAX
DFFVX

Dividends

VMVAX vs. DFFVX - Dividend Comparison

VMVAX's dividend yield for the trailing twelve months is around 2.06%, more than DFFVX's 1.33% yield.


TTM20232022202120202019201820172016201520142013
VMVAX
Vanguard Mid-Cap Value Index Fund Admiral Shares
2.06%2.27%2.27%1.78%2.36%2.05%2.75%1.86%1.91%2.04%1.67%1.54%
DFFVX
DFA U.S. Targeted Value Portfolio
1.33%1.44%1.38%1.41%1.52%1.35%1.24%1.20%1.00%1.36%0.97%0.64%

Drawdowns

VMVAX vs. DFFVX - Drawdown Comparison

The maximum VMVAX drawdown since its inception was -43.07%, smaller than the maximum DFFVX drawdown of -64.21%. Use the drawdown chart below to compare losses from any high point for VMVAX and DFFVX. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.82%
-1.24%
VMVAX
DFFVX

Volatility

VMVAX vs. DFFVX - Volatility Comparison

The current volatility for Vanguard Mid-Cap Value Index Fund Admiral Shares (VMVAX) is 3.53%, while DFA U.S. Targeted Value Portfolio (DFFVX) has a volatility of 8.05%. This indicates that VMVAX experiences smaller price fluctuations and is considered to be less risky than DFFVX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
3.53%
8.05%
VMVAX
DFFVX