WTCOX vs. DMREX
Compare and contrast key facts about Segall Bryant & Hamill Colorado Tax Free Fund (WTCOX) and DFA Municipal Real Return Portfolio (DMREX).
WTCOX is managed by Segall Bryant & Hamill. It was launched on May 30, 1991. DMREX is managed by Dimensional. It was launched on Nov 3, 2014.
Performance
WTCOX vs. DMREX - Performance Comparison
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WTCOX vs. DMREX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
WTCOX Segall Bryant & Hamill Colorado Tax Free Fund | -0.21% | 3.29% | 2.39% | 5.03% | -10.64% | 1.87% | 5.09% | 7.14% | 0.69% | 5.12% |
DMREX DFA Municipal Real Return Portfolio | 1.10% | 2.77% | 3.10% | 2.56% | -1.42% | 6.75% | 4.11% | 6.64% | -0.51% | 2.57% |
Returns By Period
In the year-to-date period, WTCOX achieves a -0.21% return, which is significantly lower than DMREX's 1.10% return. Over the past 10 years, WTCOX has underperformed DMREX with an annualized return of 1.70%, while DMREX has yielded a comparatively higher 2.77% annualized return.
WTCOX
- 1D
- 0.10%
- 1M
- -1.71%
- YTD
- -0.21%
- 6M
- 1.08%
- 1Y
- 2.85%
- 3Y*
- 2.98%
- 5Y*
- 0.22%
- 10Y*
- 1.70%
DMREX
- 1D
- -0.04%
- 1M
- 0.42%
- YTD
- 1.10%
- 6M
- 1.08%
- 1Y
- 2.58%
- 3Y*
- 2.54%
- 5Y*
- 2.70%
- 10Y*
- 2.77%
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WTCOX vs. DMREX - Expense Ratio Comparison
WTCOX has a 0.65% expense ratio, which is higher than DMREX's 0.24% expense ratio.
Return for Risk
WTCOX vs. DMREX — Risk / Return Rank
WTCOX
DMREX
WTCOX vs. DMREX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Segall Bryant & Hamill Colorado Tax Free Fund (WTCOX) 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.
| WTCOX | DMREX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.09 | 2.31 | -1.22 |
Sortino ratioReturn per unit of downside risk | 1.41 | 3.35 | -1.94 |
Omega ratioGain probability vs. loss probability | 1.31 | 1.62 | -0.31 |
Calmar ratioReturn relative to maximum drawdown | 1.06 | 2.90 | -1.84 |
Martin ratioReturn relative to average drawdown | 3.74 | 9.38 | -5.64 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| WTCOX | DMREX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.09 | 2.31 | -1.22 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.08 | 1.10 | -1.02 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.54 | 0.88 | -0.34 |
Sharpe Ratio (All Time)Calculated using the full available price history | 1.10 | 0.86 | +0.24 |
Correlation
The correlation between WTCOX and DMREX is 0.26, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Dividends
WTCOX vs. DMREX - Dividend Comparison
WTCOX's dividend yield for the trailing twelve months is around 3.20%, less than DMREX's 3.30% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
WTCOX Segall Bryant & Hamill Colorado Tax Free Fund | 3.20% | 3.41% | 3.43% | 3.11% | 2.91% | 2.20% | 2.71% | 3.48% | 3.06% | 2.80% | 2.98% | 2.70% |
DMREX DFA Municipal Real Return Portfolio | 3.30% | 2.95% | 3.55% | 1.96% | 1.16% | 0.98% | 1.44% | 2.26% | 1.54% | 1.32% | 1.15% | 1.09% |
Drawdowns
WTCOX vs. DMREX - Drawdown Comparison
The maximum WTCOX drawdown since its inception was -13.61%, roughly equal to the maximum DMREX drawdown of -13.22%. Use the drawdown chart below to compare losses from any high point for WTCOX and DMREX.
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Drawdown Indicators
| WTCOX | DMREX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -13.61% | -13.22% | -0.39% |
Max Drawdown (1Y)Largest decline over 1 year | -3.07% | -0.92% | -2.15% |
Max Drawdown (5Y)Largest decline over 5 years | -13.61% | -5.33% | -8.28% |
Max Drawdown (10Y)Largest decline over 10 years | -13.61% | -13.22% | -0.39% |
Current DrawdownCurrent decline from peak | -1.71% | -0.32% | -1.39% |
Average DrawdownAverage peak-to-trough decline | -1.63% | -0.89% | -0.74% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.87% | 0.29% | +0.58% |
Volatility
WTCOX vs. DMREX - Volatility Comparison
Segall Bryant & Hamill Colorado Tax Free Fund (WTCOX) has a higher volatility of 0.70% compared to DFA Municipal Real Return Portfolio (DMREX) at 0.49%. This indicates that WTCOX'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.
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Volatility by Period
| WTCOX | DMREX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.70% | 0.49% | +0.21% |
Volatility (6M)Calculated over the trailing 6-month period | 1.05% | 0.71% | +0.34% |
Volatility (1Y)Calculated over the trailing 1-year period | 2.81% | 1.17% | +1.64% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 2.87% | 2.47% | +0.40% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 3.16% | 3.14% | +0.02% |